US Futures Trade and Quote Guide

version 2.2 (Jul 2021)

CONTACT US

We are here to help you do great things with our market and reference data. For questions, feedback, and other concerns, you may reach our team of experts using the following contact information:

algoseek customer support

support@algoseek.com

(+1) 646 583 1832

algoseek sales

sales@algoseek.com

(+1) 646 583 1832

TABLE OF CONTENTS

INTRODUCTION        5

DATA ORGANIZATION AND FILE FORMAT        5

TIMESTAMP AND MAINTENANCE PERIODS        9

APPENDIX A. TYPEMASK COLUMN        11

APPENDIX B. FREQUENTLY ASKED QUESTIONS        13

INTRODUCTION

algoseek’s Futures, Spreads, and Future Options Trade and Quote datasets contain high-quality intraday trade and quote data for all securities listed on US exchanges.

The contract specifications such as underlying asset, the quantity of the asset or contract size, expiration months, delivery location, and the delivery date upon execution can be found on the US futures products list, which is available on the following link: http://www.cmegroup.com/trading/products/.

DATA ORGANIZATION AND FILE FORMAT

algoseek provides Futures market data in plain-text CSV files. The first row of the CSV file is a fixed header, and then rows of data corresponding to individual events (see Table 1). By default, data is organized into one file per symbol per trading day. For example, all events for ticker ESH0 on Jan 28, 2020, are stored in one CSV file.

Due to the large data size, CSV files are gzip-compressed (having a csv.gz extension) with a compression ratio of about 8:1.

Table 1: Sample Trade and Quote Data

Note: Columns UTCDate, UTCTime, and SecurityID are not shown.

Table 2 (below) provides the name, description, and data type for each data field (column) in a Futures TAQ data file.

Table 2: CSV File Fields Schema 

Ticker

Ticker represents the name of the instrument with a maximum of 20 characters. It is a combination of the product code and an expiration month and year code. It may also include a code for spread type, call or put code, and its corresponding strike price for options on futures.

The general symbology scheme for Futures/Futures Options is ZZZMY/ZZZMY.SXXXX, where ZZZ is the base symbol, M is the expiration month code and Y is the last digit of the expiration year, S is the type of the option contract (Call/Put), XXXX is the option contract’s strike price.

Some sample tickers:

• ESZ5: E-mini S&P 500 futures contract expiring in December 2025.
• ESZ5 P3600: E-mini S&P 500 futures put option with a strike price of $3600 expiring in December 2025.
• ZSX3-ZSF3: Soybean Spread between November 2023 and January 2023.

Use the link below to match the expiration month code with the corresponding month https://www.cmegroup.com/month-codes.html. The expiration year code corresponds to the last digit of the year.    

Event Types

Table 3 and Table 4 contain names and descriptions of event types which can be found in Futures TAQ data files.

Table 3: Trade and Quote Event Types

Table 4: Statistics Event Types

Implied Events. Each event type present in the table above can have an implied indicator. For instance, an implied trading volume is IMPLIED TRADE VOLUME, implied Bid quote is IMPLIED QUOTE BID, etc. An implied event represents a quantity not derived from any fundamental market information

Implied Quotes. An Implied Quote is based on relationships between futures contracts. It is not the actual price of the Futures' bid or ask but is rather implied from another trade ( e.g., as part of a spread). It is often away from the current regular bid or ask. For more details, see: http://www.cmegroup.com/confluence/display/EPICSANDBOX/Implied+Orders

Multiple settlement prices. There are multiple settlement prices because exchanges  publish settlement prices several times during the day. For the SETTLEMENT PRICE event type, the field “Quantity” represents the trade date (yyyymmdd format) that the settlement price references. For further details, please refer to the link below: http://www.cmegroup.com/market-data/settlements/settlements-details.html

Empty Book. This is used by exchanges to indicate that there is no current bid or ask. It is used during regular trading hours when there is a reset in the feed, and during maintenance or halt periods when stopping and starting the feed. An EMPTY BOOK event may also be displayed as EMPTY BOOK BID, EMPTY BOOK FINAL, or EMPTY BOOK BID FINAL.

Orders

For trade events, this field is zero before Nov 22, 2015. Starting Nov 22, 2015. the exchanges moved from FAST/FIX  to MDP protocol. That is when this field started to get populated. But it still needs to be ignored as per specs for trades.

Flags

Some events have a flag set for extra information about the event message.  Table 5 summarizes flag values.

Table 5: Flags Used in the Dataset

SHFlag and SLFlag refer to the session’s high and low prices.

Note: When backtesting or building trade bars, do not include trades with Flag 8. This indicates that no actual contracts are being bought/sold as these are calculated prices without any quantity.

TIMESTAMP AND MAINTENANCE PERIODS

Daily File

Each symbol has one file per contract on each trading day containing quotes,  trades, open interest, settlement prices, etc. A trading day means UTC time from 00:00 to 24:00.

UTC Timestamps

The field “UTCTime'' contains timestamps based on a 24-hour system and follows an HHMMSSZZZ format wherein HHMMSS represents 2-digit values for hours, minutes, and seconds, while ZZZ indicates a 3-digit millisecond value.

Local Timestamps

The field “LocalTime” reflects the current time in Chicago (CST). During winter, the local timestamp is adjusted to UTC –6 and is changed to UTC –5 during daylight saving time (DST). For example, an algoseek Futures timestamp of 181514415 is 18:15:14.415 UTC. During daylight saving time, this converts to 13:15:14.415 CST.

Maintenance and Halt Periods

Futures contracts have different maintenance and trading halt periods based on each specification. For example, Gold’s (GC) daily maintenance period is specifically set from 4 pm to 5 pm CST. Please refer to https://www.cmegroup.com/trading-hours.html for the comprehensive list of trading hours and maintenance periods for all US exchanges-traded instruments.

During the maintenance period, you will see Quote Bid and Quote Sell prices towards the end of the period. This is indicative of the opening price at 5 pm CST.

Table 6 below shows an example of a maintenance period. The last trade before the period and the first trade afterward are highlighted in red.

Table 6: Maintenance Period in GCQ7 Trading Session

APPENDIX A. TYPEMASK COLUMN

The Typemask Column is an event type in an 8-bit mask format.

Note: the bit position 0 corresponds to the rightmost bit and 7 is the leftmost bit.

Table 7: TypeMask Flags

Table 8 lists integer codes for message type bits.

Table 8: Message Type (Bits 0-4)

Event Type Examples

Example 1. SETTLEMENT PRICE: Type 39 = 0010 0111

Message Type (Bits 0-4) = 7, Settlement Price

Bit 5, Transaction Complete

Example 2. TRADE VOLUME: Type 42 = 0010 1010

Message Type (Bits 0-4) = 10, Trade Volume

Bit 5, Transaction Complete

Example 3. OPEN INTEREST: Type 43 = 0010 1011

Message Type (Bits 0-4) = 11, Open Interest

Bit 5, Transaction Complete

Example 4. EMPTY BOOK: Type 108 = 0110 1100

Message Type (Bits 0-4) = 12, EmptyBook

Bit 5, TransactionComplete; Bit 6, Ignore for EmptyBook

Example 5. QUOTE SELL: Type 97 = 0110 0001

Message Type (Bits 0-4) = 1, Quote

Bit 5, Transaction Complete; Bit 6, Aggressor on Offer

Example 6. QUOTE BID: Type 161 = 1010 0001

Message Type (Bits 0-4) = 1, Quote

Bit 5, Transaction Complete; Bit 7, Aggressor on Bid

Example 7. TRADE AGRESSOR ON SELL: Type 98 = 0110 0010

Message Type (Bits 0-4) = 2, Trade

Bit 5, Transaction Complete; Bit 6, Aggressor on Sell

Example 8. TRADE AGRESSOR ON BUY: Type 162 = 1010 0010

Message Type (Bits 0-4) = 2, Trade

Bit 5, Transaction Complete Bit; 7, Aggressor on Buy

APPENDIX B. FREQUENTLY ASKED QUESTIONS

Why do I see incorrect timestamps while importing data into Excel or data frame?

The data columns UTCTime and LocalTime should be imported as text and then just split according to the following scheme      

HHMMSSZZZ should be HH:MM:SS.ZZZ