CME history extended to 2010

We've extended our CME Globex MDP 3.0 coverage to add seven more years of history, starting from June 6, 2010.

The extended history originates from CME's legacy FIX/FAST feed and was backfilled directly from CME DataMine. Since the extended history predates the launch of CME's current MDP 3.0 feed on May 21, 2017, users of this data should be aware of three important implications:

• Despite the change in feed source and protocol name that took place on May 21, 2017, we made the design decision to keep the "GLPX.MDP3" dataset ID for the extended history to ensure forward compatibility in our APIs.
• The legacy FIX/FAST protocol didn't provide full MBO granularity, so the highest granularity available for this period is MBP-10.
• All timestamps in the backfilled history—including ts_recv and ts_event—are sourced from tag 52 (SendingTime), as tag 60 (TransactTime) was less precise and CME themselves do not have PCAPs to reconstruct capture timestamps prior to May 2017. To reflect this limitation, ts_in_delta is set to zero and the F_BAD_TS_RECV flag is applied to all messages up to May 21, 2017.

More details can be found in our documentation .