Daily archive of Cboe Futures Exchange depth of book real-time feed with execution information.
Includes CFE Top (Level 1) with BBO quotes, last sale information, and Strategy BBO information (spreads).
Includes CFE Book Depth (Level 2) with full depth of the market.
Licensing & Redistribution Rights
This dataset is proprietary to Cboe Global Markets. External redistribution of this data is strictly prohibited.
Subscription Details
Daily end-of-day delivery to the SFTP. Files will typically become available for download after 6:30pm U.S. Eastern.
Historical Data Availability
Available from August 2018 to present
File Specifications & References
Cboe Multicast PITCH Specification (Futures)
On a regular trade date, customers receive 1 file per Matching Engine Unit (ME) per trade date, the ME unit will always be a 2 digit number and will have a leading 0 from ME's 1-9. Around holidays where extended Global Trading Hours (GTH) combined with Regular Trading Hours (RTH) crosses 3 calendar dates, files will have a trading segment 1 and trading segment 2 indicator for each ME unit.
Filename pattern: <YYYY-MM-DD>_mc_pitch_<ME>_<segment>_cfe.dat.gz
Example filenames: 2023-11-24_mc_pitch_01_1_cfe.dat.gz, 2023-11-24_mc_pitch_01_2_cfe.dat.gz
Trading Hours & Holidays
For market hours, please see Cboe U.S. Futures Trading Hours
For upcoming holidays, please see Cboe U.S. Futures Market Holidays
Cboe Open-Close Volume Summary
Detailed option trading data volume summary by capacity (Customer, Pro-Customer, Broker, Firm, MM) on Cboe exchanges (BZX, C1, C2, EDGX) available End-of-Day (EOD) and in 10-minute intervals
Enhanced US Options Trade-by-Trade Execution Detail
Trade-by-Trade (TBT) provides full transaction-level detail for every executed options trade, enabling granular market analysis and historical reconstruction.
Option EOD Summary
End-of-day snapshot and 3:45PM ET snapshot for quotes, OHLC prices, and volume summaries along with optional Calcs data (implied volatilities and Greeks)
CFE Futures Trades
Daily report of all futures trades done on the Cboe Futures Exchange (CFE) with insights into originating orders and side adding/taking liquidity
Option Quotes
1 minute or n-minute interval summaries including NBBO with size, OHLC prices, and trade volumes along with optional open interest and Calcs data (implied volatilities and Greeks)
Option Trades
Daily option trades with print details and contextual market information along with optional Calcs data (Implied Volatility & Delta)