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CFE Summary
  • Futures

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.

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(GTH includes RTH)

Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
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