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CFE Book Depth

This product contains trades and quotes, including book depth, on CFE VIX Futures. CFE Book Depth data is comprised of three components, quotes, simple orders, and complex orders. When putting the three components together, one may reconstruct the CFE Book depth.
Fields include:

ORDER table:

  • TRADE_DATE
  • CLASS_SYMBOL
  • EXPR_DATE
  • PRODUCT_TYPE_CODE
  • PROD_UID
  • TIME_IN_FORCE_IND
  • SBT_ORDER_UID
  • BUY_SELL_CODE
  • ORDER_PRICE
  • ORDER_RCV_TIME
  • ORDER_RCV_TIME_THOU
  • EVENT_TYPE
  • EVENT_TIME
  • EVENT_TIME_THOU
  • ACTIVITY_TIME
  • BOOK_QTY
  • TRADE_QTY
  • CNCL_QTY


COMPLEX table:

  • TRADE_DATE
  • CLASS_SYMBOL
  • PRODUCT_TYPE_CODE
  • PROD_UID
  • TIME_IN_FORCE_IND
  • SBT_ORDER_UID
  • CNTG_TYPE_CODE
  • BUY_SELL_CODE
  • ORDER_PRICE
  • ORDER_ENTRY_DATE
  • ORDER_RCV_TIME
  • ORDER_RCV_TIME_THOU
  • SBT_ORDER_HIST_UID
  • EVENT_TYPE
  • EVENT_TIME
  • EVENT_TIME_THOU
  • ACTIVITY_TIME
  • BOOK_QTY
  • TRADE_QTY
  • CNCL_QTY
  • TBD


QUOTE table:

  • TRADE_DATE
  • CLASS_SYMBOL
  • EXPR_DATE
  • PRODUCT_TYPE_CODE
  • PROD_UID
  • EVENT_TYPE
  • EVENT_TIME
  • EVENT_TIME_THOU
  • QUOTE_KEY
  • BID_PRICE
  • BID_QTY
  • ASK_PRICE
  • ASK_QTY
  • TRADE_PRICE
  • TRADE_QTY
  • BUY_SELL_CODE
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Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
Total: $0.00
Note: Data will be available for download after purchase as long as the file size is below 500GB. Larger files will be shipped to you on a hard drive.