• Twitter YouTube Facebook LinkedIn Apps RSS Feed

Sorry - this product is no longer available

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
Buy This Data
*
Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
Total: $0.00