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
• Multi-Fill Orders: An order that was matched with multiple orders will contain a record for each fill with trade size and price

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:

File Specifications

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