CME Globex MDP 3.0

Dataset ID: GLBX.MDP3

CME Globex powers trading on all four CME Group exchanges, the world's largest derivatives marketplace. Its full order book feed provides futures and options on futures across equities, interest rates, agriculture, energy, metals, and more.

Asset class

Futures â‹… Options on futures

Venues

CME, CBOT, NYMEX, COMEX

Available history

16 years

Symbols

650,000+

Get started

Asset class

Futures â‹… Options on futures

Venues

CME, CBOT, NYMEX, COMEX

Available history

16 years

Symbols

650,000+

Products

Batch download

1-10 of 10,787
Rows per page
10
Advanced symbol selection via API

It’s easier to handle a large number of symbols using our API. Read our API guide ->

Specifications

Asset class

Futures & Options on futures

Available from

2010-06-06

UTC

Symbols

650,000+

Historical data availability could vary between schemas.

Venue

Data category

Normalized market data, Reference data

Schemas

MBO, MBP-1, MBP-10, TBBO, Trades, BBO-1s, BBO-1m, OHLCV-1s, OHLCV-1m, OHLCV-1h, OHLCV-1d, Definition, Statistics, Status, CMBP-1, CBBO-1s, CBBO-1m

Encodings

DBN, CSV, JSON

Origin

Directly captured at Aurora DC3 with an FPGA-based network card and hardware timestamping. Synchronized to UTC with PTP. Data prior to 2017-05-21 is retrieved from FIX flat files and does not have capture timestamps

Source resolution

Immediate publication, nanosecond-resolution timestamps Timestamps prior to 2015-11-20 are limited to millisecond resolution.

Databento resolution

Immediate publication, nanosecond-resolution timestamps. Data prior to 2017-05-21 does not have capture timestamps

Release time

Access methodRelease timeLicense required
LiveReal-time
HistoricalDelayed 20 minutes
HistoricalDelayed 8 hours

The CME Group Market Data Platform (MDP) 3.0 disseminates event-based bid, ask, trade, and statistical data for CME Group markets and also provides recovery and support services for market data processing. MDP 3.0 includes the introduction of Simple Binary Encoding (SBE) and Event Driven Messaging to the CME Group Market Data Platform. Simple Binary Encoding (SBE) is based on simple primitive encoding, and is optimized for low bandwidth, low latency, and direct data access. Since March 2017, MDP 3.0 has changed from providing aggregated depth at every price level (like CME's legacy FAST feed) to providing full granularity of every order event for every instrument's direct book.

MDP 3.0 is the sole data feed for all instruments traded on CME Globex, including futures, options, spreads and combinations.

Note: We classify exchange-traded spreads between futures outrights as futures, and option combinations as options.

Real-time data is included with any CME subscription. Historical data is available for usage-based rates or with any CME subscription. Explore pricing for more details or to upgrade your plan.

License

Live data

Live data is available with a subscription plan for CME Globex MDP 3.0.

A license is needed to access live data for this dataset per exchange requirements. In your portal, you can activate a new license or upload an existing one.

Databento can serve as your vendor of record (VoR) for this dataset. You may be eligible for instant approval, where we handle reporting on your behalf so you won’t have to secure a license directly with the exchange.

Historical data

A license isn’t required to access historical data.

Sample data

Schema

MBO
MBP-1
TBBO
Trades
BBO-1s
OHLCV-1s
Definition
Statistics
Status
CMBP-1
CBBO-1s

ts_recv

The capture-server-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

size

The order quantity.

ts_event

The matching-engine-received timestamp expressed as the number of nanoseconds since the UNIX epoch.

channel_id

The channel ID assigned by Databento as an incrementing integer starting at zero.

rtype

The record type. Each schema corresponds with a single rtype value.

order_id

The order ID assigned at the venue.

publisher_id

The publisher ID assigned by Databento, which denotes dataset and venue.

flags

A bit field indicating event end, message characteristics, and data quality.

instrument_id

The numeric instrument ID.

ts_in_delta

The matching-engine-sending timestamp expressed as the number of nanoseconds before ts_recv.

action

The event action. Can be Add, Cancel, Modify, cleaR book, Trade, Fill, or None.

sequence

The message sequence number assigned at the venue.

side

The side that initiates the event. Can be Ask for a sell order (or sell aggressor in a trade), Bid for a buy order (or buy aggressor in a trade), or None where no side is specified by the original source.

symbol

The requested symbol for the instrument.

price

The order price expressed as a signed integer where every 1 unit corresponds to 1e-9, i.e. 1/1,000,000,000 or 0.000000001.

ts_recv
ts_event
rtype
publisher_id
instrument_id
action
side
price
size
channel_id
order_id
flags
ts_in_delta
sequence
symbol

API examples

Python
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import databento as db
client = db.Historical("YOUR_API_KEY")

df = client.timeseries.get_range(
    dataset="GLBX.MDP3",
    schema="trades",
    symbols=["ESU3-ESZ3"],
    start="2023-08-25",
).to_df()

print(df)
Output
See more in docs ->

Pricing

Usage-based

Pay as you go for historical data. Lowest cost to get started.

Pricing

Estimated - GB

Features

Historical data only

CME, CBOT, NYMEX, COMEX

16+ years of available history

All futures, options, spreads

650,000+ symbols

Pay as you go

Standard

Popular

Frequently-used data. Ideal for individuals and small teams.

$199

per month
Monthly subscription

All Usage-based features, and:

No license fees

16+ years of

history

1 year of L1 history

1 month of L2 and L3 history

Pay as you go for more history

Plus

Ideal for investment firms and institutional service providers.

$1,750

per month
Annual contract required

All Standard features, and:

External distribution

16+ years of L1 history

Dedicated account manager

Dedicated connectivity

ACH and wire payments

Unlimited

Ideal for firms requiring complete history.

$4,500

per month
Annual contract required

All Plus features, and:

16+ years in all schemas

Compare all features

Historical data

CME, CBOT, NYMEX, COMEX

650,000+

16+ years

L0
L0
L0
L0
L1
L1
L1
L1
L2
L3

Live data

L0
L0
L0
L0
L1
L1
L1
L1
L1
L1
L2
L3

Billing

Billed monthly

Support

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