Market Data - S3
We offer Amazon S3 bulk downloads to retrieve massive historical datasets for select data types, delivered in Apache Parquet format.
Market Datasets
| Market Type | Feature Type | Sample Files |
|---|---|---|
| Spot | Order Book Snapshots | Download |
| Spot | Order Book Events | Download |
| Spot | Tickers | Download |
| Spot | Trades | Download |
| Spot | OHLCV | Download (minutely) Download (hourly) Download (daily) |
| Futures | Funding Rates | Download |
| Futures | Insurance Funds | Download |
| Futures | Liquidations | Download |
| Futures | Long/Short Ratio | Download (minutely) Download (hourly) Download (daily) |
| Futures | Order Book Snapshots | Download |
| Futures | Order Book Events | Download |
| Futures | Open Interest | Download |
| Futures | Tickers | Download |
| Futures | Trades | Download |
| Options | Liquidations | Download |
| Options | Open Interest | Download |
| Options | Order Book Snapshots | Download |
| Options | Order Book Updates | Download |
| Options | Tickers | Download |
| Options | Trades | Download |
Market Data Fields & Descriptions
Spot - Order Book Snapshots
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the order book snapshot took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | Indicates if the order is a bid or ask: true for a bid and false for an ask. |
| timestamp | The time at which the order book snapshot took place. |
| receivedTimestamp | Timestamp when Amberdata received the order book snapshot. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with the order book data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields. |
| maxPrice | The maximum price for the asset pair. Any buy orders you submit higher than this price, will be clamped to this maximum. |
| minPrice | The minimum price for the asset pair. Any sell orders you submit lower than this price will be clamped to this minimum. |
Spot - Order Book Events
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the order book event took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | Indicates if the order is a bid or ask: true for a bid and false for an ask. |
| receivedTimestamp | Timestamp when Amberdata received order book event. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | Timestamp when Amberdata received order book event. |
| metadata | The metadata associated with the order book data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields. |
Spot - Tickers
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| timestamp | The time at which the event occurred. |
| timestampNanoseconds | The nanosecond part of the timestamp where applicable. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the ticker data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with the ticker data. |
| sequence | The sequence number provided by the exchange (equal to null if it is not provided by the exchange). |
| ask | The ask price of the market pair. |
| askVolume | It represents the requested order size of all best asks. |
| bid | The bid price of the market pair. |
| bidVolume | It represents the requested order size of all best bids. |
| last | The last price of the market pair. |
| mid | The mid price of the market pair. |
Spot - Trades
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the trade took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| tradeId | The exchange provided id of the trade. |
| receivedTimestamp | The time Amberdata received the trade data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| metadata | The metadata associated with the trade data. |
| isBuySide | Indicates if the trade is a buy or sell: true for a buy and false for a sell. |
| price | The price at which the asset was traded. |
| quoteSize | Quote size at the moment of trade NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| size | The total amount of that asset that was traded. |
Spot - OHLCV
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| pair | The name of the asset pair. |
| exchangeTimestamp | The time at which the trade took place. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. NOTE: This is an optional field whose value may or may not be provided by the exchanges. |
| open | The opening price of the trading pair for the specified time period. |
| high | The highest price of the trading pair during the specified time period. |
| low | The lowest price of the trading pair during the specified time period. |
| close | The closing price of the trading pair for the specified time period. |
| volume | The total volume of the trading pair traded during the specified time period, in the base currency. |
| quotedVolume | The total volume of the trading pair traded during the specified time period, represented in the quote currency. |
| derived | A boolean flag indicating whether the OHLCV data was derived from aggregated trade data or directly provided as derived data by the exchange. |
| count | The total number of trades executed for the trading pair within the specified time period. |
Futures - Funding Rates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| fundingInterval | The funding interval for which data is available. |
| fundingRate | The funding rate for which data is available. |
| nextFundingRate | The next funding rate for which data is available. |
| nextFundingTime | The next funding time for which data is available. |
Futures - Insurance Funds
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| fund | The fund of insurance fund. |
| underlying | The underlying asset for the instrument. |
Futures - Liquidations
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the liquidation occurred. |
| action | The type of action taken during the liquidation process (for example: delete, insert, update, etc). |
| orderId | The order identifier. |
| price | The price of the instrument at the time of the liquidation. |
| side | The direction of the trade. |
| status | The status of the liquidation. |
| timeInForce | How long the order is to remain active before it is executed or expires, for example: - IOC: immediate-or-cancel - FOK: fill-or-kill - GTC: good-'till-canceled - etc. |
| type | The type of liquidation. |
| volume |
Futures - Long/Short Ratio
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| period | The number of the period. |
| longAccount | The long account number ratio of all traders |
| ratio | The long/short account number ratio of all traders |
| shortAccount | The short account number ratio of all traders |
Futures - Order Book Updates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | true if the order is a bid, false otherwise. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields, aggregated by exchange. |
| status |
Futures - Open Interest
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| type | The type of instrument. |
| value | The total outstanding number of contracts. |
Futures - Tickers
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| timestamp | Timestamp when Amberdata received the data. |
| timestampNanoseconds | The nanosecond part of the timestamp. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| ask | The ask price for instrument. |
| askVolume | It represents the requested order size of all best asks. |
| baseVolume | |
| bid | The bid price for instrument. |
| bidVolume | It represents the requested order size of all best bids. |
| last | The last price for instrument. |
| mid | The mid price for instrument. |
| quoteVolume | |
| markPrice | |
| lastVolume |
Futures - Trades
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| tradeId | The exchange provided id of the trade. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| isBuySide | true if the trade is a buy, false otherwise. |
| price | The price at which the asset was traded. |
| quoteVolume | |
| volume | The total amount of that asset that was traded. |
| sequence | |
| isLiquidation |
Options - Liquidations
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the liquidation occurred. |
| action | The type of action taken during the liquidation process (for example: delete, insert, update, etc). |
| orderId | The order identifier. |
| price | The price of the instrument at the time of the liquidation. |
| side | The direction of the trade. |
| status | The status of the liquidation. |
| timeInForce | How long the order is to remain active before it is executed or expires, for example: - IOC: immediate-or-cancel - FOK: fill-or-kill - GTC: good-'till-canceled - etc. |
| type | The type of liquidation. |
| volume |
Options - Open Interest
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| type | The type of instrument. |
| value | The total outstanding number of contracts. |
Options - Order Book Snapshots
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| sequence | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| metadata | |
| stats | |
| state | |
| asks | |
| askIv | |
| bids | |
| bidIv | |
| bestAskAmount | |
| bestAskPrice | |
| bestBidAmount | |
| bestBidPrice | |
| estimatedDeliveryPrice | |
| greeks | |
| indexPrice | |
| interestRate | |
| lastPrice | |
| lastPrice | |
| markIv | |
| markPrice | |
| maxPrice | |
| minPrice | |
| openInterest | |
| underlyingIndex | |
| underlyingPrice |
Options - Order Book Updates
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| instrument | The name of the instrument. |
| exchangeTimestamp | The time at which the event occurred. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| isBid | true if the order is a bid, false otherwise. |
| receivedTimestamp | Timestamp when Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| timestamp | The time at which the event occurred. |
| sequence | The sequence number (equal to null if it is not provided by the exchange). |
| data | The order book data corresponding to the columns fields, aggregated by exchange. |
| status |
Options - Tickers
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| sequence | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| stats | |
| state | |
| ask | |
| askIv | |
| askVolume | |
| baseVolume | |
| bid | |
| bidIv | |
| bidVolume | |
| quoteVolume | |
| lastVolume | |
| estimatedDeliveryPrice | |
| greeks | |
| indexPrice | |
| interestRate | |
| mid | |
| last | |
| markIv | |
| markPrice | |
| maxPrice | |
| minPrice | |
| openInterest | |
| settlementPrice | |
| underlyingIndex | |
| underlyingPrice | |
| open24H | |
| high24H | |
| low24H |
Options - Trades
| Field | Description |
|---|---|
| exchange | |
| instrument | |
| exchangeTimestamp | |
| exchangeTimestampNanoseconds | |
| tradeId | |
| isBuySide | |
| receivedTimestamp | |
| receivedTimestampNanoseconds | |
| metadata | |
| sequence | |
| price | |
| quoteSize | |
| size | |
| tickDirection | |
| markPrice | |
| iv | |
| indexPrice |
CME Only
Futures - Open Interest (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradeStatistics | Object - view more details here |
| tradeStatistics.openInterest | The total open interest for the market at the close of the prior trading session. |
| tradeStatistics.clearedVolume | Cleared volume quantity. |
| tradeStatistics.settlementFinal | Final settlement price |
| tradeStatistics.settlementPrice | Settlement price. |
| tradeStatistics.openInterestDate | Open interest trade date Format: "YYYY-MM-DD" |
| tradeStatistics.settlementActual | Actual settlement price |
| tradeStatistics.clearedVolumeDate | Cleared volume date. |
| tradeStatistics.settlementRounded | Rounded settlement price |
| tradeStatistics.settlementPriceDate | Date of trade session corresponding to a statistic entry. Format: "YYYY-MM-DD" |
| tradeStatistics.openInterestTimestamp | Open interest update time. |
| tradeStatistics.clearedVolumeTimestamp | Cleared volume time. |
| tradeStatistics.settlementPriceTimestamp | Time of trade session corresponding to a statistic entry. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
| instrument.productType | Product Type |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Futures - Tickers (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradingStatus | Identifies the trading status applicable to the instrument or product group. |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
| instrument.productType | Product Type |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
| askLevel | Object - view more details here |
| askLevel.qty | Order quantity. |
| askLevel.price | Price of the MD Entry. |
| askLevel.orderCnt | Aggregate number of orders at the given price level. |
| askLevel.lastUpdateTime | Last update time for ask price Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
| bidLevel | Object - view more details here |
| bidLevel.qty | Order quantity |
| bidLevel.price | Price of the MD Entry. |
| bidLevel.orderCnt | Aggregate number of orders at the given price level. |
| bidLevel.lastUpdateTime | Last update time for bid price. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
Futures - Trades (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradeSummary | Object - view more details here |
| tradeSummary.orderQty | Object - view more details here |
| tradeSummary.orderQty.orderId | Unique ID assigned by CME Globex to identify orders. |
| tradeSummary.orderQty.lastOrdQty | Quantity of trade |
| tradeSummary.tradeQty | Total traded quantity. |
| tradeSummary.tradePrice | Trade price. |
| tradeSummary.aggressorSide | Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: - at Market Open - after a Pre-Open or after a Pause - when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. |
| tradeSummary.mdTradeEntryId | Common Trade ID that links each trade execution. |
| tradeSummary.tradeOrderCount | Identifies the total number of non-implied orders per instrument that participated in a match event. |
| tradeSummary.tradeUpdateAction | Trade market data update action. |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
| instrument.productType | Product Type |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Options - Open Interest (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradeStatistics | Object - view more details here |
| tradeStatistics.openInterest | The total open interest for the market at the close of the prior trading session. |
| tradeStatistics.clearedVolume | Cleared volume quantity. |
| tradeStatistics.settlementFinal | Final settlement price |
| tradeStatistics.settlementPrice | Settlement price. |
| tradeStatistics.openInterestDate | Open interest trade date Format: "YYYY-MM-DD" |
| tradeStatistics.settlementActual | Actual settlement price |
| tradeStatistics.clearedVolumeDate | Cleared volume date. |
| tradeStatistics.settlementRounded | Rounded settlement price |
| tradeStatistics.settlementPriceDate | Date of trade session corresponding to a statistic entry. Format: "YYYY-MM-DD" |
| tradeStatistics.openInterestTimestamp | Open interest update time. |
| tradeStatistics.clearedVolumeTimestamp | Cleared volume time. |
| tradeStatistics.settlementPriceTimestamp | Time of trade session corresponding to a statistic entry. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.periodCode | The calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
| instrument.productType | Product Type. |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
Options - Tickers (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradingStatus | Identifies the trading status applicable to the instrument or product group. |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.putOrCall | Indicates whether an option instrument is a put or call. |
| instrument.periodCode | This field provides the calendar month reflected in the instrument symbol. Format YYYYMM (e.g., 201912) For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | An exchange-specific code assigned to a group of related securities, which are concurrently affected by market events. |
| instrument.productType | Product type |
| instrument.strikePrice | The strike price. |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
| instrument.underlyingSymbol | Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol. |
| askLevel | Object - view more details here |
| askLevel.qty | Order quantity. |
| askLevel.price | Price of the MD Entry. |
| askLevel.orderCnt | Aggregate number of orders at the given price level. |
| askLevel.lastUpdateTime | Last update time for ask price Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
| bidLevel | Object - view more details here |
| bidLevel.qty | Order quantity |
| bidLevel.price | Price of the MD Entry. |
| bidLevel.orderCnt | Aggregate number of orders at the given price level. |
| bidLevel.lastUpdateTime | Last update time for bid price. Format: "yyyy-MM-dd'T'HH:mm:ss.n" |
Options - Trades (CME only)
| Field | Description |
|---|---|
| exchange | The name of the exchange. |
| symbol | Instrument Name or Symbol. |
| exchangeTimestamp | Timestamp provided by CME. |
| exchangeTimestampNanoseconds | The nanosecond part of the exchangeTimestamp where applicable. |
| receivedTimestamp | The time Amberdata received the data. |
| receivedTimestampNanoseconds | The nanosecond part of the receivedTimestamp. |
| sentTime | Time CME MDP gateway sends the message (UTC). |
| tradeSummary | Object - view more details here |
| tradeSummary.orderQty | |
| tradeSummary.orderQty.orderId | Unique ID assigned by CME Globex to identify orders. |
| tradeSummary.orderQty.lastOrdQty | Quantity of trade |
| tradeSummary.tradeQty | Total traded quantity. |
| tradeSummary.tradePrice | Trade price. |
| tradeSummary.aggressorSide | Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Trades without aggressors occur: at Market Open after a Pre-Open or after a Pause when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. |
| tradeSummary.mdTradeEntryId | Common Trade ID that links each trade execution. |
| tradeSummary.tradeOrderCount | Identifies the total number of non-implied orders per instrument that participated in a match event. |
| tradeSummary.tradeUpdateAction | Trade market data update action. |
| instrument | Object - view more details here |
| instrument.id | Unique instrument ID as qualified by the exchange per market segment. The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. |
| instrument.symbol | Instrument Name or Symbol. |
| instrument.putOrCall | Indicates whether an option instrument is a put or call. |
| instrument.periodCode | The calendar month reflected in the instrument symbol. For futures spreads, this field contains the first leg's calendar month reflected in the instrument symbol. |
| instrument.exchangeMic | Exchange used to identify a security. |
| instrument.productCode | String field that indicates the underlying asset code (Product Code). Example: SR1 (SOFR), ES (E-Minis). |
| instrument.productType | Product Type. |
| instrument.strikePrice | The strike price. |
| instrument.productGroup | Product Group Code. |
| instrument.marketSegmentId | Identifies the market segment. Populated for all CME Globex instruments. |
| instrument.definitionSource | Identifies user-defined instruments. If the tag is not present, the instrument is not user-defined. |
| instrument.underlyingSymbol | Underlying Instrument Symbol (Contract Name) * this value will be the same as that contained in Leg Instrument's Security Definition Tag 55-Symbol. |
FAQs
Why is delivery via S3 important?
- With data in S3, our customers can bulk download historical data in an analytics friendly format. This allows them to dig deep into the data and perform their own proprietary research and test trading strategies without being limited by our REST API throughput.
How does a customer get access to these datasets?
- Customers will need to have their own AWS credentials in which we will provision for S3 access. If you are interested in downloading data via S3, please contact your Account Executive.
Why Parquet format instead of a GZIP compressed JSON file?
- Parquet is a columnar storage format for structured data that is optimized for querying and analysis. In Parquet format, data is stored in columns rather than rows, allowing for more efficient compression and encoding of data. This can result in significant performance improvements for analytical workloads that involve large datasets and complex queries. Parquet is widely used in big data environments for data warehousing, analytics, and machine learning applications and can be easily integrated into existing data pipelines.
How do I download a parquet sample file and open it to see which fields are returned?
- If you only want to see the fields, simply download the sample parquet file, load it as a pandas dataframe in Python and use dataframe.dtypes, that'll give you a quick output of the field types. Here is the code available for you to try out:
#Import the pandas library
import pandas as pd
# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet'
# Load the Parquet file as a pandas DataFrame
df = pd.read_parquet(parquet_file)
# Display the data types of the DataFrame
print(df.dtypes)
- Now if you wanted to actually read the parquet data, once you've downloaded the sample parquet file, you can run the following Python code:
#Import the pandas library
import pandas as pd
# Replace 'your_parquet_file.parquet' with the path to your Parquet file
parquet_file = 'your_parquet_file.parquet'
pd.read_parquet(parquet_file, engine='pyarrow')
Updated about 1 month ago