This report covers all Cboe Futures Exchange (CFE) futures trades, including Trades at Settlement (TAS) and Block trades.
Trades from Global Trading Hours (GTH) can be included as an additional purchase option.
Each trade contains basic transaction details, the prevailing market at trade time, and insights into matched orders:
- Side Added Liquidity: Reports whether Buyer or Seller initially posted liquidity
- Complex Orders/Spreads: Each trade record contains a Buy and Sell Order ID that can be used to link legs of complex orders
- Trades At Settlement (TAS) - Includes original order match time, contract settlement price, and full transaction price
Sessions available:
-Regular Trading Hours (RTH): 8:30am - 3:15pm U.S. Central time
-Global Trading Hours (GTH): 5:00pm (previous day) - 4:00pm (current day) U.S. Central time
-Selecting GTH will also include RTH
Licensing & Redistribution Rights:
This dataset is proprietary to Cboe Global Markets. External redistribution of this data is strictly prohibited.
Subscription:
Daily end-of-day file delivery. All customers will receive one file for Regular Trading Hours (RTH) and, optionally, an additional file for Global Trading Hours (GTH)
Historical Data:
Available from March 2018 to present
For previous history (VIX only) please visit VIX Trades and Quotes (Legacy)
Reference:
Fields:
- trade_datetime
- session
- symbol_id
- symbol
- futures_root
- is_tas_trade
- contract_settlement_date
- contract_settlement_price
- trade_id
- side_added_liquidity
- was_canceled
- canceled_at_datetime
- trade_price
- trade_size
- bid
- ask
- off_order_book_type
- buy_order_datetime
- sell_order_datetime
- buy_order_id
- sell_order_id
- buy_order_num_legs
- sell_order_num_legs
- buy_order_fill_count
- sell_order_fill_count
