|
The CME Volume by Tick file is made available in the late evening for the previous day
of trading. Files are named
vtyymmdd.zip and contain four text files named
vtyymmdd.div where div represents either the CME, International Monetary Market®
(IMM), Index and Option Market® (IOM) or Growth and Emerging Markets® (GEM) division.
| Files |
| ta |
CME Quadrant |
| tb |
IMM Quadrant |
| tc |
IOM Quadrant |
| td |
GEM Quadrant |
|
File Layout
| Length |
From |
To |
Datatype* |
Format |
Description & Comments |
| 2 |
1 |
2 |
AN |
X(2) |
Ticker Symbol |
| 9 |
3 |
11 |
|
|
Filler |
| 2 |
12 |
13 |
AN |
X(2) |
Commodity Code |
| 9 |
14 |
22 |
|
|
Filler |
| 8 |
23 |
30 |
N |
N(8) |
Contract Period Code as YYYYMMDD, where DD is 00 for standard
monthly products |
| 1 |
31 |
31 |
|
|
Filler |
| 1 |
32 |
32 |
A |
X(1) |
Put / Call Code, if an option |
| 1 |
33 |
33 |
|
|
Filler |
| 7 |
34 |
40 |
N |
9(7) |
Strike Price, if an option |
| 1 |
41 |
41 |
|
|
Filler |
| 6 |
42 |
47 |
N |
9(6) |
Trade Date as YYMMDD |
| 1 |
48 |
48 |
|
|
Filler |
| 6 |
49 |
54 |
N |
9(6) |
CTR Assigned Time as HHMMSS |
| 1 |
55 |
55 |
|
|
Filler |
| 1 |
56 |
56 |
N |
9(1) |
Trade Type: 1=Non-spread; 6=Spread |
| 1 |
57 |
57 |
|
|
Filler |
| 7 |
58 |
64 |
N |
9(7) |
Trade Price |
| 1 |
65 |
65 |
|
|
Filler |
| 10 |
66 |
75 |
N |
9(10) |
Volume |
|
* A=Alpha; N=Numeric
|
|
