CFE Summary files aggregate and bucket anonymized trading volume and trade count in all CFE products including spreads and trade at settlement products.

Sessions available: Extended Futures session (GTH) files and Regular Trading Hours (RTH) files available

Snapshots Available: 10-minute intervals and End-of-Day (EOD) Summary

Subscription:

Delivery Times:

• 10-minute intervals:
  • Intraday (15-minute delay) available only for RTH session
  • End of day delivery for Futures session and RTH session, delivered after 5:15pm ET on day of market close
• EOD Summary – GTH session and RTH session delivered after 7:15pm ET on day of market close

Historical Data:

• 10-minute intervals:  Available from March 2022
• EOD:  Available for both GTH and RTH from March 2018

Bucketing Categories:

• Participant: Customer/Firm
• Side:  Buy/Sell

Additional Value-Added Information included:

• Product Symbol (Futures, Spreads, TAS)
• Futures Root
• Settlement Date
• Total volume
• Opening trade price in snapshot
• Highest trade price in snapshot
• Lowest trade price in snapshot
• Last trade price in snapshot
• Daily Settlement Value
• Start of day Open Interest
• Timestamped reference quote
• TAS volume is combined into the volume of the specific futures contracts in EOD Summary files.

Reference:

File Specifications

Trading Hours & Holidays:

Please refer to Cboe’s CFE Hours & Holidays for more information on GTH and RTH hours and modified hours around U.S. Holidays.