ODCS v3.2.0Draft · 0.1.0licensed-dataoptions-on-futurescme-groupbar

US Future Options Trade and Quote Minute Bar

One-minute event-based bars for CME-listed options on futures combining quote and trade activity: bid/ask/trade open-high-low-close with times and sizes, spreads, VWAP and aggressor-side trade counts.

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. Bars are event-based: a row exists only for a minute with at least one regular quote or trade. TAQ bars can therefore have Volume 0 and TotalTrades 0 with all trade fields blank (most sample rows); do not assume a row for every minute, and do not forward-fill without stating it. Bar window: UTCTimeBarStart is the UTC minute start; all Open/High/Low/Close time columns are UTC and fall inside that minute in the sample. Local fields are Chicago time, so LocalDate can differ from UTCDate (guide example: UTC 2017-08-15 01:30 = local 2017-08-14 20:30). Open/High/Low/Close are computed separately for bids, asks and trades: High/Low are by price, each with its own time and size; Open/Close are first/last event in the bar. If a bar has only one event of a kind, Open=High=Low=Close for price, size and time. Implied bid/ask quotes (e.g. crude oil spread-implied) are ignored when building bars, and calculated trade prices that are not real trades are excluded; only real quotes and actual trades count.

Coverage

Page: CME-listed future options contracts, 50+ fields per bar, full historical archive plus daily automated updates. Guide: Futures, Spreads and Futures Options bars for securities listed on US exchanges. Start of history not stated.

Venues (1)

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 (8)

Primary key is inferred; AlgoSeek's guide does not name one.
Documentation discrepancyGuide says UTCTimeBarStart/LocalTimeBarStart are HH:MM for minute bars (HH:MM:SS for second bars); the minute-bar sample shows HH:MM:SS (e.g. 22:00:00).
Documentation discrepancyIn this sample no bar has a trade (Volume and TotalTrades are 0), and all six aggressor columns are blank in all 100 bars, whereas the guide's Missing column says 0.
Documentation discrepancyGuide's note says a one-minute bar 11:04 covers times greater than 11:04 to less than 11:05, and a one-second bar 13:03:02 covers times greater than 13:03:01 up to 13:03:02 (end-labelled), which conflicts with the column name BarStart; in the sample every event time lies in [start, start+60 s) (offsets 0.019 s to 59.974 s), i.e. a start-labelled window.
Documentation discrepancyGuide VolumeWeightPrice note speaks of shares and 'TotalShares' (equity wording); for futures the weights are contracts.
Documentation discrepancyMinSpread/MaxSpread are blank in 3 sample bars (UTCTimeBarStart 22:38:00, 22:43:00, 22:47:00) that do have both an open bid and an open ask, although the guide only says a bid and an ask are required and negative spreads become 0; the exact rule is undocumented.
Documentation discrepancyGuide Table 1 lists CallPut/Strike/Month/ExpirationYear after LocalTimeBarStart; this sample places them right after UTCDate (before UTCTimeBarStart), as in the trade-only minute-bar guide. Sample header order was followed.
Documentation discrepancyGuide intro says 'bar file' is created if there are 3 or more quotes or 1 or more trades within 24 hours, while elsewhere saying a bar is created whenever a trade or quote event occurs in the minute; the per-bar minimum is therefore not precisely stated (sample quote counts range from 2 to 59).

57 columns in delivery order · file or table name fut_opt_taq_1min. Types are ODCS logical types; the format line shows how values are written.

Schema columns with type, key role and description
Column	Type	Key	Description
Ticker	string	Key 1 · Partition · Required	Option ticker: futures-style code, a space, then C/P and strike (e.g. 'ESH4 C4800'). Missing values: Never · Source: vendor guide and sample
UTCDate	dateyyyymmdd	Key 2 · Partition · Required	UTC trade date of the bar (the UTC calendar day of the bar start). Missing values: Never · Source: vendor guide and sample
CallPut	string · enum (2)		Option type, C (call) or P (put). Guide: available only in the Future Options dataset. Missing values: Never · Source: vendor guide and sample 2 allowed values C Call P Put
Strike	integeri64		Option strike: fixed price for buying or selling the underlying outright future, in the future's price units. Missing values: Never · Source: vendor guide and sample
Month	string · enum (12)single-letter CME month code		Option expiration month as a single-letter code (CME month codes, per the table the guide links). Missing values: Never · Source: vendor guide and sample 12 allowed values F January G February H March J April K May M June N July Q August U September V October X November Z December
ExpirationYear	integeri64		Option expiration year as a four-digit number. Missing values: Never · Source: vendor guide and sample
UTCTimeBarStart	timeHH:MM:SS (sample); guide says HH:MM for minute bars	Key 3 · Required	UTC start of the one-minute bar, HH:MM:SS in the sample (guide says HH:MM for minute bars). Sample events fall in [start, start+60 s). Missing values: Never · Source: vendor guide and sample
LocalDate	dateyyyymmdd	Required	Chicago calendar date of the bar start (guide: local trade date); differs from UTCDate when UTC is 5-6 h ahead of the date. Missing values: Never · Source: vendor guide and sample
LocalTimeBarStart	timeHH:MM:SS (sample); guide says HH:MM for minute bars		Chicago local start time of the bar (DST-aware), same layout as UTCTimeBarStart. Missing values: Never · Source: vendor guide and sample
OpenBidTime	timeHH:MM:SS.mmm (UTC)		UTC time of the first bid quote in the bar. Missing values: Blank · Source: vendor guide and sample
OpenBidPrice	number		Price of the first bid quote in the bar. Missing values: Blank · Source: vendor guide and sample
OpenBidSize	integeri64		Size of the first bid quote in the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
OpenAskTime	timeHH:MM:SS.mmm (UTC)		UTC time of the first ask quote in the bar. Missing values: Blank · Source: vendor guide and sample
OpenAskPrice	number		Price of the first ask quote in the bar. Missing values: Blank · Source: vendor guide and sample
OpenAskSize	integeri64		Size of the first ask quote in the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
OpenTradeTime	timeHH:MM:SS.mmm (UTC)		UTC time of the first trade in the bar. Missing values: Blank · Source: vendor guide and sample
OpenTradePrice	number		Price of the first trade in the bar. Missing values: Blank · Source: vendor guide and sample
OpenTradeSize	integeri64		Contracts in the first trade of the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
HighBidTime	timeHH:MM:SS.mmm (UTC)		UTC time of the highest bid price in the bar. Missing values: Blank · Source: vendor guide and sample
HighBidPrice	number		Highest bid price in the bar. Missing values: Blank · Source: vendor guide and sample
HighBidSize	integeri64		Bid size at the highest bid price. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
HighAskTime	timeHH:MM:SS.mmm (UTC)		UTC time of the highest ask price in the bar. Missing values: Blank · Source: vendor guide and sample
HighAskPrice	number		Highest ask price in the bar. Missing values: Blank · Source: vendor guide and sample
HighAskSize	integeri64		Ask size at the highest ask price. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
HighTradeTime	timeHH:MM:SS.mmm (UTC)		UTC time of the highest-priced trade in the bar. Missing values: Blank · Source: vendor guide and sample
HighTradePrice	number		Price of the highest trade in the bar. Missing values: Blank · Source: vendor guide and sample
HighTradeSize	integeri64		Contracts in the highest-priced trade. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
LowBidTime	timeHH:MM:SS.mmm (UTC)		UTC time of the lowest bid price in the bar. Missing values: Blank · Source: vendor guide and sample
LowBidPrice	number		Lowest bid price in the bar. Missing values: Blank · Source: vendor guide and sample
LowBidSize	integeri64		Bid size at the lowest bid price. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
LowAskTime	timeHH:MM:SS.mmm (UTC)		UTC time of the lowest ask price in the bar. Missing values: Blank · Source: vendor guide and sample
LowAskPrice	number		Lowest ask price in the bar. Missing values: Blank · Source: vendor guide and sample
LowAskSize	integeri64		Ask size at the lowest ask price. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
LowTradeTime	timeHH:MM:SS.mmm (UTC)		UTC time of the lowest-priced trade in the bar. Missing values: Blank · Source: vendor guide and sample
LowTradePrice	number		Price of the lowest trade in the bar. Missing values: Blank · Source: vendor guide and sample
LowTradeSize	integeri64		Contracts in the lowest-priced trade. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
CloseBidTime	timeHH:MM:SS.mmm (UTC)		UTC time of the last bid quote in the bar. Missing values: Blank · Source: vendor guide and sample
CloseBidPrice	number		Price of the last bid quote in the bar. Missing values: Blank · Source: vendor guide and sample
CloseBidSize	integeri64		Size of the last bid quote in the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
CloseAskTime	timeHH:MM:SS.mmm (UTC)		UTC time of the last ask quote in the bar. Missing values: Blank · Source: vendor guide and sample
CloseAskPrice	number		Price of the last ask quote in the bar. Missing values: Blank · Source: vendor guide and sample
CloseAskSize	integeri64		Size of the last ask quote in the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
CloseTradeTime	timeHH:MM:SS.mmm (UTC)		UTC time of the last trade in the bar. Missing values: Blank · Source: vendor guide and sample
CloseTradePrice	number		Price of the last trade in the bar. Missing values: Blank · Source: vendor guide and sample
CloseTradeSize	integeri64		Contracts in the last trade of the bar. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
MinSpread	number		Smallest bid-ask spread in the bar; needs both a bid and an ask in the minute; a negative spread is reported as 0. Missing values: Blank · Source: vendor guide and sample
MaxSpread	number		Largest bid-ask spread in the bar; needs both a bid and an ask in the minute. Missing values: Blank · Source: vendor guide and sample
VolumeWeightPrice	number		Trade volume-weighted average price: sum(size x price) / total contracts traded in the bar. Missing values: Blank · Source: vendor guide and sample
TotalRegularQuotes	integeri64		Count of regular bid/ask quotes in the bar; implied quotes are ignored; blank if the bar has no bid or ask events. Unit: count · Missing values: Blank · Source: vendor guide and sample
BuyAggressorTrades	integeri64		Number of trades in the bar typed 'Trade Aggressor at Buy'. Unit: count · Missing values: 0 · Source: vendor guide and sample
SellAggressorTrades	integeri64		Number of trades in the bar typed 'Trade Aggressor at Sell'. Unit: count · Missing values: 0 · Source: vendor guide and sample
NoAggressorTrades	integeri64		Number of trades where the exchange does not publish the aggressor side. Unit: count · Missing values: 0 · Source: vendor guide and sample
BuyAggressorQuantity	integeri64		Sum of contracts in trades typed 'Trade Aggressor at Buy'. Unit: contracts · Missing values: 0 · Source: vendor guide and sample
SellAggressorQuantity	integeri64		Sum of contracts in trades typed 'Trade Aggressor at Sell'. Unit: contracts · Missing values: 0 · Source: vendor guide and sample
NoAggressorQuantity	integeri64		Sum of contracts in trades where the aggressor side is not published. Unit: contracts · Missing values: 0 · Source: vendor guide and sample
Volume	integeri64		Total contracts traded in the bar. Unit: contracts · Missing values: 0 · Source: vendor guide and sample
TotalTrades	integeri64		Total number of trades in the bar. Unit: count · Missing values: 0 · Source: vendor guide and sample

errorrow_count_positivecompleteness
Every delivered partition (trade date, or snapshot) carries at least one row.
rowCount must be greater than 0
errorprimary_key_uniqueuniqueness
The declared primary key is unique within each delivered partition (one file or table snapshot).
duplicateValues (properties: Ticker, UTCDate, UTCTimeBarStart) must be 0

errortrade_high_ge_lowaccuracy

HighTradePrice is never below LowTradePrice in the same row.

SELECT COUNT(*) FROM {object} WHERE HighTradePrice IS NOT NULL AND LowTradePrice IS NOT NULL AND HighTradePrice < LowTradePrice

errorbid_high_ge_lowaccuracy

HighBidPrice is never below LowBidPrice in the same row.

SELECT COUNT(*) FROM {object} WHERE HighBidPrice IS NOT NULL AND LowBidPrice IS NOT NULL AND HighBidPrice < LowBidPrice

errorask_high_ge_lowaccuracy

HighAskPrice is never below LowAskPrice in the same row.

SELECT COUNT(*) FROM {object} WHERE HighAskPrice IS NOT NULL AND LowAskPrice IS NOT NULL AND HighAskPrice < LowAskPrice

warningvwap_within_rangeaccuracy

VWAP (sum(price*shares)/sum(shares)) lies within the bar's trade range.

SELECT COUNT(*) FROM {object} WHERE VolumeWeightPrice > HighTradePrice OR VolumeWeightPrice < LowTradePrice

errorCloseAskSize_non_negativeaccuracy
CloseAskSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE CloseAskSize < 0
```
errorCloseBidSize_non_negativeaccuracy
CloseBidSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE CloseBidSize < 0
```
errorCloseTradeSize_non_negativeaccuracy
CloseTradeSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE CloseTradeSize < 0
```
errorHighAskSize_non_negativeaccuracy
HighAskSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE HighAskSize < 0
```
errorHighBidSize_non_negativeaccuracy
HighBidSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE HighBidSize < 0
```
errorHighTradeSize_non_negativeaccuracy
HighTradeSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE HighTradeSize < 0
```
errorLowAskSize_non_negativeaccuracy
LowAskSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE LowAskSize < 0
```
errorLowBidSize_non_negativeaccuracy
LowBidSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE LowBidSize < 0
```
errorLowTradeSize_non_negativeaccuracy
LowTradeSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE LowTradeSize < 0
```
errorOpenAskSize_non_negativeaccuracy
OpenAskSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE OpenAskSize < 0
```
errorOpenBidSize_non_negativeaccuracy
OpenBidSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE OpenBidSize < 0
```
errorOpenTradeSize_non_negativeaccuracy
OpenTradeSize is never negative.
```
SELECT COUNT(*) FROM {object} WHERE OpenTradeSize < 0
```
errorTotalTrades_non_negativeaccuracy
TotalTrades is never negative.
```
SELECT COUNT(*) FROM {object} WHERE TotalTrades < 0
```
errorVolume_non_negativeaccuracy
Volume is never negative.
```
SELECT COUNT(*) FROM {object} WHERE Volume < 0
```
warningclose_quote_not_crossedaccuracy
Closing NBBO is rarely crossed; AlgoSeek ships crossed quotes as-is, so this only warns.
```
SELECT COUNT(*) FROM {object} WHERE CloseBidPrice > 0 AND CloseAskPrice > 0 AND CloseBidPrice > CloseAskPrice
```

Key (inferred): Ticker, UTCDate, UTCTimeBarStart; The vendor does not name a key; this one is inferred from the documentation.
One row is: One contract x one UTC minute that had at least one regular quote or trade.
Time zone: UTC
Timestamp format: Bar start HH:MM:SS (sample; guide says HH:MM for minute bars); event-time columns HH:MM:SS.mmm in UTC (ms precision).
Session: Product-specific CME hours and breaks (guide example: Silver daily break 16:00-17:00 CT; bars may carry exchange quotes published during the break). Bars are keyed to UTC clock minutes.
Price adjustment: N/a
Delivery: S3 flat files

Download contract YAML Open in Data Contract Editor

Vendor sources

Draft contract 0.1.0. Contract id urn:alphaswarm:datacontract:algoseek:us-future-options-trade-and-quote-minute-bar

Contracts follow the Open Data Contract Standard (Bitol, LF AI & Data).

Vendor names are trademarks of their owners.