BBO - Options SPX (sp500 mini)
BBO Options on S&P500 mini
Top-of-Book (BBO) Data Contains all top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data for CME Globex traded products.
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BBO Futures (SP500)
Model of the BBO Futures star schema
Top-of-Book (BBO) Data Contains all top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data for CME Globex traded products.
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BBO Options (SP500)
BBO Options
Top-of-Book (BBO) Data Contains all top bid, bid size, top ask, ask size, last trade, trade volume and time-stamp data for CME Globex traded products.
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EOD - End of Day
This star schema holds end of day transactions for futures and options on over over 1700 instruments like
Natural Gas (Henry Hub) Physical,
Crude Oil,
Heating Oil Physical,
Copper,
Gold,
Eurodollar,
Soybean,
Silver,
U.S. Treasury Bond &
S&P 500
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TIC - Tick transactions
This star schema holds intraday transactions for options and futures on over 1700 securities. Data is available from 19720103 to 20120514
The 10 top liquid ones are:
cti_cd cti_dsc
LN Natural Gas (Henry Hub) Physical
ON Natural Gas (Henry Hub) Physical
LO Crude Oil
AO Crude Oil
HX Copper
OG Gold
OH Heating Oil Physical
CZO Soybean
SO Silver
CG U.S. Treasury Bond
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TickData - Trades SP
Global Futures Trade and Quote Data
http://www.tickdata.com/pdf/Futures_File_Format_Guide.pdf
Through 6/30/2003, Tick Data’s Historical Futures Data Set contains only day-session pit trading activity for all markets that were not electronic-only (i.e. had pit-only or pit and electronic trading). Electronic-only markets have partial night session trading (i.e. eMini trading days begin at 12:00am and close on the day session close), but do not have trading volume. While additional fields can be output via TickWrite, the source data only contains five (5) fields:Date,Time,Price (always the filtered price),Volume (always zero),Market Flag (‘P’ or ‘E’ for Pit or Electronic trades),TickWrite can also output the symbol, tick count, up-ticks, down-ticks, and Date and Time (combined into one field; i.e. used by NinjaTrader)
From 7/1/2003 forward, all futures data has a second stamp, and all electronic trades contain volume. Tick Data’s Historical Futures data contains same five (5) fields:
Date,Time,Price (always the filtered price),Volume (except in a few markets pit trades do not show Volume),Market Flag (‘P’ or ‘E’ for Pit or Electronic trades),Beginning 7/1/2011, Tick Data’s Historical Futures data contains a millisecond time stamp and includes additional information in the following eight (8) fields:
Date,Time,Price (filtered price),Volume (except in a few markets pit trades do not show Volume),Market Flag (P/E for Pit or Electronic ,trades),Sales Condition (if available; see below for specific exchange info)
Exclude Record Flag (flags off-exchange trades, i.e. EFPs and block trades),Unfiltered Price
More information can be found at the FAQ on Tick Data’s website: http://www.tickdata.com/support/futures-data-support/futures-and-index-faq/
This data was purchsed by Anna Cielsak from TickData.
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