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Historical Data

CFE OHLC data is an end of day summary file that contains the volume traded, open interest, open, high, low and last sale price along with last bid and last ask of each VIX futures contract obtained from the Cboe Futures Exchange (CFE). The historical data is available by month back to April 2004.
CFE VIX Tick data includes trades and quotes of all VIX futures contracts (VX) from the Cboe Futures Exchange (CFE). The historical data is available back to April 2004. Timestamps prior to and including February 23, 2018 are stated in U.S. Central (CST) and in Greenwich Mean Time (GMT) afterwards.

* VIX TAS data is not included

The CoinRoutes RealPrices are cryptocurrency depth of market Indices. CoinRoutes RealPrice Indices provide a consolidated bid-ask spread (RealBid x RealAsk) at multiple coin depths for top cryptocurrency-pairs. Aggregating order book data from multiple trading venues and factoring in trading fees, CoinRoutes RealPrice Indices provide a robust and previously unavailable view into cryptocurrency markets. Prices are quoted in 1-minute snapshots for the entire 24-hour day.


Examples:
^BTCUSD1 – provides the RealBid x RealAsk spread at a depth of one Bitcoin
^BTCUSD5 – provides the RealBid x RealAsk spread at a depth of five Bitcoins

Prices are currently quoted in USD. The following coins and sizes are included:


Code Description Sizes
BCH Bitcoin Cash 1, 5, 10, 20, 40, 100
BTC Bitcoin 0.2, 1, 5, 10, 20
ETH Ethereum 5, 20, 50, 100, 200, 400
LINK Chainlink 100, 500, 1000
LTC Litecoin 5, 10, 25, 50, 100, 200
DOT Polkadot 250, 1000, 2500, 5000, 10000
Historical end of day quotes and trade summary for S&P 500 (SP) and e-mini futures (ES) from the Chicago Mercantile Exchange.

Our end-of-day option quotes file actually provides two snapshots of market quote and size, one at 15:45 and another at the market close (market closing time is product dependent). Summary trading data is also included in the files. The first, last, lowest and highest trade in every series, as well as, the total volume, VWAP and open interest. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.


File Layout: End-of-Day Option Quotes Layout.


For an ongoing subscription, please order End-of-Day Option Quotes Data – Subscription

Our end-of-day option quotes with Calcs file provides all of the fields in the end-of-day Option quotes file plus market implied volatility for each option, as well as, the greeks (Delta, Gamma, Theta, Vega and Rho). Implied volatility and Greeks are calculated off of the 1545 timestamp, since it is considered a more accurate snapshot of market liquidity than the end of day market. Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.


File Layout: End-of-Day Option Quotes With Calcs Layout.


To purchase subscription data, please see: End-of-Day Option Quotes with Calcs – Subscription