Research Computing >> Data >> CME Selective Time & Sales
CME SELECTIVE TIME AND SALES DATA
The CME Selective Time and Sales data (CME tick data) can be accessed by Kellogg faculty and doctoral students in skew3. The files are in flat ASCII format, stored in skew3 in the /kellogg/data/cme path.
The files can be read with any statistical or mathematical software.
The CME Selective Time and Sales data covers the period between April 21, 1982 and June 30, 2000, tick-by-tick. The commodities included are S&P 500 options, futures and cash index. The latter would best reflect the value of the underlying futures and options market. Variables in the dataset include delivery date, price, strike price, time, trade date, ask/bid indicator and trade sequence number, among others.
For more information about the contents, refer to the file layouts.
CME data files for the last six months (including Time & Sales data) can be downloaded from:
Record Retention Department
To access the files, users must write programs to read the data. Research Computing has a photocopy of the accompanying documentation, which has been transcribed in the following page:
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