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

US Future Options Trade Only Minute Bar

One-minute event-based bars built only from executed trades in CME-listed options on futures: OHLC, dollar-style volume, contract and trade counts, and buy/sell aggressor splits.

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. In the sample TotalQuantity differs from BuyQuantity + SellQuantity in 0 of 100 bars (trades with no aggressor side); BuyQuantity/BuyTradeCount are blank in 32 bars and SellQuantity/SellTradeCount in 61 (guide Missing = Blank). Bars are event-based and trade-only: a row exists only for a minute with at least one actual trade, so the series is sparse (sample UTCTimeBarStart values skip empty intervals). A contract-day with no trades has no file; very illiquid contracts may have none for weeks. A file is created only if there is at least one trade in the whole 24-hour session. Calculated trade prices (not actual trades, Flags 8 in the tick data) are excluded from bars. If a bar has a single trade, OpenPrice = HighPrice = LowPrice = ClosePrice.

Coverage

Page: CME-listed future options, trade-only, full historical archive plus daily automated updates. Guide: 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 (5)

Primary key is inferred; AlgoSeek's guide does not name one.
Documentation discrepancyGuide types TotalVolume as integer and TotalQuantity as decimal, but the sample has TotalVolume with 6 decimals (e.g. 851.750000) and TotalQuantity as whole numbers; the Second Bar guide lists them the other way round (decimal / integer).
Documentation discrepancyGuide says UTCTimeBarStart/LocalTimeBarStart are HH:MM for minute bars; the sample shows HH:MM:SS (e.g. 11:02:00).
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, which reads as end-labelled and conflicts with the column name BarStart; no event times are in the trade-only sample to settle it (the TAQ minute-bar sample shows start-labelled windows).
Documentation discrepancyGuide names TotalVolume 'Total Dollar Volume' (sum of price x contract size), but it equals price x number of contracts in price units, not USD notional (no contract multiplier). E.g. the 11:12:00 UTC bar has 5 contracts all at 51 and TotalVolume 255 in the sample.

20 columns in delivery order · file or table name fut_opt_trades_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)	Required	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	Required	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	Required	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	Required	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
OpenPrice	number		Price of the first trade in the bar. Missing values: Blank · Source: vendor guide and sample
HighPrice	number		Highest trade price in the bar. Missing values: Blank · Source: vendor guide and sample
LowPrice	number		Lowest trade price in the bar. Missing values: Blank · Source: vendor guide and sample
ClosePrice	number		Price of the last trade in the bar. Missing values: Blank · Source: vendor guide and sample
TotalVolume	number		Sum of trade price x contracts over the bar (guide: 'Total Dollar Volume'); in price units, no contract multiplier applied (sample-checked). Missing values: Never · Source: vendor guide and sample
TotalQuantity	integeri64		Total contracts traded in the bar; can exceed BuyQuantity + SellQuantity when some trades have no aggressor side. Unit: contracts · Missing values: Never · Source: vendor guide and sample
BuyQuantity	integeri64		Contracts in trades with 'Trade Aggressor on Buy'; blank if none. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
SellQuantity	integeri64		Contracts in trades with 'Trade Aggressor on Sell'; blank if none. Unit: contracts · Missing values: Blank · Source: vendor guide and sample
TotalTradeCount	integeri64	Required	Number of separate trades in the bar; can exceed BuyTradeCount + SellTradeCount when some trades have no aggressor side. Unit: count · Missing values: Never · Source: vendor guide and sample
BuyTradeCount	integeri64		Number of 'Trade Aggressor on Buy' trades; blank if none. Unit: count · Missing values: Blank · Source: vendor guide and sample
SellTradeCount	integeri64		Number of 'Trade Aggressor on Sell' trades; blank if none. Unit: count · Missing values: Blank · 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

errorbar_high_ge_lowaccuracy

HighPrice is never below LowPrice in the same row.

SELECT COUNT(*) FROM {object} WHERE HighPrice IS NOT NULL AND LowPrice IS NOT NULL AND HighPrice < LowPrice

warningopen_close_within_rangeaccuracy
Open and close usually sit inside the high-low range. Only a warning: some AlgoSeek aggregations take open/close from a different event set than high/low (seen in the Daily OHLC sample).
```
SELECT COUNT(*) FROM {object} WHERE OpenPrice > HighPrice OR OpenPrice < LowPrice OR ClosePrice > HighPrice OR ClosePrice < LowPrice
```
errorBuyTradeCount_non_negativeaccuracy
BuyTradeCount is never negative.
```
SELECT COUNT(*) FROM {object} WHERE BuyTradeCount < 0
```
errorSellTradeCount_non_negativeaccuracy
SellTradeCount is never negative.
```
SELECT COUNT(*) FROM {object} WHERE SellTradeCount < 0
```
errorTotalTradeCount_non_negativeaccuracy
TotalTradeCount is never negative.
```
SELECT COUNT(*) FROM {object} WHERE TotalTradeCount < 0
```
errorTotalVolume_non_negativeaccuracy
TotalVolume is never negative.
```
SELECT COUNT(*) FROM {object} WHERE TotalVolume < 0
```

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

Vendor names are trademarks of their owners.