US Future Options Trade and Quote

How to use it

UTCDate/UTCTime are the event time in UTC and files cover UTC calendar days; LocalDate/LocalTime are Chicago clock time. The ticker is '<futures contract> <C|P><strike>' (e.g. 'ESU3 P4450'); the underlying is that futures contract month, not the spot index.

Typical use

Options-on-futures pricing and flow research on CME Group venues.

Limitations

Delivered as recorded from the source feed: AlgoSeek does not remove crossed or locked quotes, bad prints, or out-of-sequence packets unless contracted to. Consumers own cleaning. Row grain is one exchange event for one contract; there is no sequence-number column, so ties within the same millisecond are only ordered by file position. In the 100-row sample (UTCDate, UTCTime, Ticker, TypeMask) repeats; adding Price, Quantity, Orders and Flags makes the sample rows unique, but uniqueness is not guaranteed in full files. UTCDate/UTCTime are the event time in UTC and the daily file is cut at UTC midnight, so a CME overnight session spans two files. LocalDate is a Chicago calendar date: the TAQ and minute-bar samples keep the same LocalDate from 17:00 CT onward (no roll to the next CME trade date). Evening activity that crosses 00:00 UTC (e.g. Sunday 18:00 CST = Monday 00:00 UTC) appears under the next UTCDate with the earlier LocalDate. Aggressor side comes from TypeMask bits 7 (buyer-initiated) and 6 (seller-initiated) and the matching Type label; plain TRADE (mask 34 in samples) means the initiator is unknown. For quotes the same bits denote bid (bit 7) or offer (bit 6). Flags 2 (SHFlag) and 4 (SLFlag) mark session high/low prices; guide Table 6 shows such a row with Quantity 0 and Orders 0, and this dataset's sample has them as TRADE (mask 34) rows with Quantity 0 and Orders 0. Filter on Quantity > 0 when counting trades or summing volume. Flag 8 (calculated price, no contracts) must be excluded when building bars.

Coverage

Page: all CME-traded future options contracts; tick-level history plus daily automated updates. Guide: Futures, Spreads and Future Options datasets cover securities listed on US exchanges; products are on cmegroup.com. Start of history not stated.

Answers to common questions

What time zone are the timestamps in?

UTC, with LocalDate/LocalTime fields in US Central (Chicago) time.

Usage constraints

• Licensed vendor data: never export raw rows to a tenant-local destination or include them verbatim in a public artifact; serve only through entitlement-checked platform reads.
• Do not treat the vendor's `Ticker` as a stable identity across time; join on an AlgoSeek security key (SecId or ASID, which are distinct) or the platform symbol mapping.

Known issues (10)

• Primary key is inferred; AlgoSeek's guide does not name one.
• Documentation discrepancyGuide field table lists TypeMask as 'Not in use' (integer), yet every sample row populates it and Appendix A defines its 8-bit encoding; treat TypeMask as live.
• Documentation discrepancyGuide field table describes UTCTime/LocalTime as nanosecond timestamps (milliseconds before 2016) in HH:MM:SS.mmm[iiinnn] form; the Timestamps section says HHMMSSZZZ (3-digit ms) and every sample value is a 9-digit HHMMSSmmm string with ms precision.
• Documentation discrepancyGuide calls UTCDate and LocalDate the 'trading date'; its Daily File rule is UTC 00:00-24:00 and LocalDate is the Chicago calendar date of the event (guide Table 1 shows LocalDate 20200127 at 18:00 local, i.e. 00:00 UTC on 2020-01-28; the family's future-options trade-only sample has UTCDate 20230802 with LocalDate 20230801 at 00:01 UTC).
• Documentation discrepancyGuide describes the ticker scheme as ZZZMY/ZZZMY.SXXXX, but its own example (ESZ5 P3600) and the options samples (ESU3 P4450, ESH4 P4600) separate the futures code and option code/strike with a space, not a dot; the year is a single digit.
• Documentation discrepancySecurityID: this guide says 'internal security ID used by algoseek'; the Multiple Depth guide calls the same-named column a 'CME security identifier'. This sample has SecurityID 634394 for ESU3 P4450; other family samples show a 4-digit value (ESU3 = 3445) and 6-digit values, so the scheme is not confirmed as the exchange's.
• Documentation discrepancyGuide Table 6 (GCQ7 maintenance example) shows TypeMask 2, 12, 7 and 5 (aggressor trades carry mask 2), which do not follow the Appendix A encoding (final bit 32, side bits 64/128); Table 1 and the 2023 samples use 161/97/162/98.
• Documentation discrepancyGuide example ZSX3-ZSF3 is described as a Nov 2023 vs Jan 2023 soybean spread, an implausible pairing, which shows the single year digit is ambiguous in tickers.
• Documentation discrepancyProduct page says Flags carry 'exchange condition codes'; the guide's Flags are implied, session-high/low, calculated-price and opening markers (0/1/2/4/8/16).
• Documentation discrepancyProduct page speaks of bid/ask quotes; the Type label for the ask side is QUOTE SELL (no 'QUOTE ASK' value exists in the guide or samples).