US Futures Trade Only Guide

version 2.2 (Jul 2021)

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TABLE OF CONTENTS

INTRODUCTION        5

DATA ORGANIZATION AND FILE FORMAT        5

TIMESTAMP AND MAINTENANCE PERIODS        9

APPENDIX A. TYPEMASK COLUMN        10

APPENDIX B. FREQUENTLY ASKED QUESTIONS        12

INTRODUCTION

algoseek’s Futures, Spreads, and Future Options Trade Only datasets contain high-quality intraday trade 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 Only 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 Trade Only 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 option 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 TAQ data files.

Table 3: Trade 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

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 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.

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 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