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Data Subscriptions

Open-Close data is a volume summary file for trading activity on the C1 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C1. End-of-day data is delivered overnight after midnight U.S. Eastern, 10-minute files are delivered intraday a few minutes after each interval closes. For pricing, please see “LiveVol Fees” in the Cboe Exchange Fee Schedule.


To purchase historical data, please see Open-Close C1 Historical


Open-Close subscriptions are also available for: BZX, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the BZX exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on BZX. End-of-day data is delivered overnight after midnight U.S. Eastern, 10-minute files are delivered intraday a few minutes after each interval closes. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


To purchase historical data, please see Open-Close BZX Historical


Open-Close subscriptions are also available for: C1, C2, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the C2 exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on C2. End-of-day data is delivered overnight after midnight U.S. Eastern, 10-minute files are delivered intraday a few minutes after each interval closes. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


To purchase historical data, please see Open-Close C2 Historical


Open-Close subscriptions are also available for: C1, BZX, and EDGX


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Open-Close data is a volume summary file for trading activity on the EDGX exchange. Available in 10-minute summary intervals or as an end-of-day summary, it aggregates and buckets the volume by origin (customer, professional customer, broker-dealer, and market maker), buying/selling, and opening/closing criteria. The customer and professional customer volume are further broken down into trade size buckets (fewer than 100 contracts, 100-199 contracts, greater than 199 contracts). Fields 10-17 will only be available in the end-of-day files and will not be populated in the 10-minute intervals. It contains all series in an underlying security's chain-if it has volume on EDGX. End-of-day data is delivered overnight after midnight U.S. Eastern, 10-minute files are delivered intraday a few minutes after each interval closes. For pricing, please see “LiveVol Fees” in the Exchange Fee Schedule.


To purchase historical data, please see Open-Close EDGX Historical


Open-Close subscriptions are also available for: C1, BZX, and C2


The downloadable sample contains 2 files: 1 sample of the EOD format, 1 of the 10-minute

Volatility skew data allows users to analyze relative option pricing levels over time series by comparing “virtual” option strikes with identical time to maturity and levels relative to spot. Our Volatility Skew files show the implied volatility levels of virtual options expiring at constant maturities, with option strikes defined by either moneyness (% from spot) or by option delta. These files allow for more appropriate comparison of implied volatility levels over time. LiveVol volatility skew data is provided with either moneyness increments (5% steps from spot from 0-60%, with additional values at 2.5% from spot) or delta increments (5 delta increments for both calls and puts). Standard maturity periods range from 30 to 360 calendar days. An auxiliary set of skew index data will be provided with each purchase. Skew indexes represent a measure of option skew by symbol and maturity for a particular day. Delta skew data is used to generate the skew index metrics: for example, SKEW90 represents the (IV of 25 delta put – IV of 25 delta call)/(50 delta call IV) for virtual options expiring in 90 days.
Multicast PITCH provides a history of real-time depth of book quotations and execution information with nearly half the latency of TCP PITCH and 20% fewer PITCH events. This is achieved by using binary messages (PITCH 2.0).
The Cboe Europe Trades and Quotes Files are a historical record of the PITCH feed depth of book quotations and execution information. It is the most granular historical record offered on trade and quote level data on Cboe Europe.
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 futures contract obtained from the Cboe Futures Exchange (CFE).
Order Book data on cryptocurrencies such as Bitcoin and Ethereum recorded by Gemini, a digital asset exchange. The offering shows open orders at the beginning of the day, orders placed, filled, and canceled during the day and are distinguished by the Event Type field. A filter to only receive the Fill events is also available. Auction data is not included. The currency pair symbols are formatted as CCY1CCY2 where prices are in CCY2 and quantities are in CCY1, the following pairs are supported:

Currency Pair Quantity currency Price currency
BTCUSD BTC USD
ETHUSD ETH USD
ETHBTC ETH BTC
ZECUSD ZEC USD
ZECBTC ZEC BTC
ZECETH ZEC ETH

The Gemini marketplace conducts auctions for certain trading pairs every day (including weekends and holidays), which foster moments of elevated liquidity and price discovery. The Auction file contains the auction-only order book for the 4pm ET BTCUSD, ETHUSD, or ZECUSD auction on the Gemini exchange on weekdays (non-NYSE holidays).


The auction-only order book supports both market and limit orders. These orders rest on the auction-only book until the auction runs. Auction-only orders may be placed up until the auction runs but may not be cancelled after the final indicative price is published at 3:50pm ET


Only auction-only orders that were explicitly accepted to the book show up in this file. Orders that were placed but rejected due to insufficient funds or self-cross do not show up in this file. There is not an explicit close event portrayed in this file. An auction-only order is closed and off the books when that order id is either cancelled or filled with no quantity remaining. Fill events are portrayed as a single rows for each order filled during the auction; both continuous book and auction book orders may be filled. Auction-only orders are distinguished by the Execution Option value auction-only.


Availability dates:
Gemini launched the 4pm ET BTCUSD auction on 21 September 2016.
Gemini launched the 4pm ET ETHUSD auction on 28 July 2017.
Gemini launched the 4pm ET ZECUSD auction on 22 May 2018