Downloading CME Futures Quotes

C.F. Baum, October 1996

The Chicago Mercantile Exchange has provided daily futures quotations for the period 1982 (or contract inception, if later) through late 1995 for the major contracts traded at the Merc. A number of these quotation files are now available for downloading from the BC Econ Web page "Accessing Financial Data at Boston College." The quote files are stored in "BinHex" format so that they will be downloaded (rather than displayed on the browser screen) when accessed by Netscape or similar browsers. The BinHex format is readily handled by the helper application Stuffit Expander, distributed free with all recent copies of Netscape.

The data files for each contract have been split into two segments so that they might be loaded into a spreadsheet, such as Excel, which can only handle 16,000 rows. The instructions below are oriented toward Excel, but any other spreadsheet (or a statistical package such as RATS or Stata) may be used to work with these data, which are in text files.

Each record in the data file contains the following information, in fixed format:

Here is a sample of the data:

NEW B-POUND  0389        4950103NB 9503000015642
NEW B-POUND  0389        4950104NB 9503000015606
NEW B-POUND  0389        4950105NB 9503000015624
In these records, quote dates 1/3/95-1/5/95 for the British Pound are referenced. The contract in each case is the March 1995 contract. Four decimal places are carried, so that the prices on the three days are $1.5642, $1.5606, and $1.5624 (dollars per pound sterling).

These data may be Opened with Excel, and the Fixed Format dialog used to split up the fields. They cannot be read automatically, since the numbers run together. But if you place the field delimiters as above (e.g. between col. 39 and 40 to separate the delivery month from the price) Excel will "parse" the data and place each field in its own column. You may then use Sort... to group data on, say, a given contract, ordered by trade date. The settlement price is stored as an integer; the "decimal locator" field indicates how many digits of that integer are to be placed to the right of the decimal in the actual price.

If you are reading these data into a statistical package such as RATS which does not deal with character fields, just use a FORTRAN format to skip over them. For instance, FORMAT='(26x,F6.0,3x,F4.0,2x,F9.0)' will read the trade date, settlement year/month and price; you may then use a SET statement to divide the price by the appropriate power of ten to adjust its decimal (or use F9.2, for instance, if you know that "decimal locator" is 2).

Note: additional CME quote files will be available soon. Check the page referenced above for their availability.

Please contact Baum if you have questions about (or difficulties with) these data files.

Revised 17 January 1998