CME market data options

Futures Trading Platforms Trading Plaforms | General Q&A
1

Hi,

I know you offer multiple CME market data options, and I’m trying to determine which one(s) will work best for my needs. I need programmatic access to tick or last trade data with the aggressor side as provided from CME and want to get up and running quickly with minimal onboarding friction.

For each of your live market data options u offer, can you clarify:

  1. Which ones include an aggressor side for both live and historical tick data? Is the aggressor tag preserved in historical/backfill data?

  2. How far back does the historical tick/backfill data go for key CME products like NQ and ES?

  3. Is it required to do a conformance/certification test before live API access? If yes, what’s the typical timeline? I’m looking for the quickest path to production. I want data now for first stage of production. Trading comes later.

  4. Based on my use case (live analytics with consistent aggressor-side data), which of your options would you recommend and why?

  5. Brief pricing overview, exchange licensing requirements, and any limits for each option.

Thanks for your help.

2

Hello @3mro,

Thanks for your question and welcome to the Optimus Futures community forum!

To answer your questions:

  1. Optimus Flow has a Time & Sales (T&S) panel that can show individual trades and color-code them based on aggressor direction (buyer-initiated vs seller-initiated) when using the Rithmic data feed. You can enable the “aggressor flag” column within time and sales so that buys and sells are distinguished in the list. Here is an example of how this appears using live data:

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Here is an example using historical data on time and sales:

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  1. The historical tick and agressor data is fairly limited. As far as we know, Rithmic stores 1-3 months of this data at most on their historical servers.

  2. If you are planning to use an API, such as Rithmic’s RAPI+, then yes you need to pass a conformance test before going live. You can request access to Rithmic’s RAPI+ through the following page: https://www.rithmic.com/apis. You can request access buy clicking on “get your download link” and submitting your details. Rithmic will then follow up with you directly over email to provide sample code, documentation and a test account that you can begin using for implementation.

  3. In my opinion, you need to use the Rithmic data feed. Rithmic has the most historical data feed of any data feed we offer, including historical tick data. Their data can also display the aggressor information for historical data using the time and sales window as you have seen in the screenshot above.

  4. Rithmic is normally $25 per month, however, if you plan to trade through an API and log in to the Rithmic RAPI+, their monthly fee becomes $100/month minimum.

Level 1 market data is $3 monthly per exchange or level 2 data market depth data is $15.50 monthly per exchange.

We hope this helps and thanks again for your question.
Best,
Optimus Futures Support

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