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:

-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

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

Bucketing Categories:

• Participant: Customer/Firm
  • Volume classification is based on Customer Type Indicator (CTI) as described in https://www.nfa.futures.org/news/newsNotice.asp?ArticleID=1362
  • Customer = CTI 4 (non-member)
  • Firm = CTI 1-3 (member)
• Side: Buy/Sell

Subscription:

Delivery Times:

• 10-minute intervals:
  • Intraday (15-minute delay) available only for RTH session
    • Effective Dec 16^th, 2024, we will be adding the 8:30 interval file (filename format: CFE_report_YYYY-MM-DD_08_30.csv.zip). This file will include the cumulative GTH volumes from 5:00PM the previous day up until 8:30AM and will be delivered shortly after 8:45AM CT.
  • 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

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.