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hi , i am looking for historical data : this one -> Option CALL 18500 BTC JAN 2023 , for the day of the 30 december 2022 .
the option code is BTCF3
and i am looking for the chart of this day , and the trade who was dureing this day .
someone know where i can find this information ?
Can you help answer these questions from other members on NexusFi?
i have buy data from CME datamine , ( CME GROUP ) , they send me a data of 30 MB and one other of 130 MB , the data are in MBO FIX ( Market Depth MBO ) . the file data are in FIX .
when i open the file with block note ( note reader ) there is a lot of number and i understind praticaly nothing .
someone know how i can have the chart and the trade of this days ( 30 december 2022 ) of BTC option CALL 18500 .
i havent try , but each time i ask them information they say me to go in there site .
i think they will ask me to take a look that , but i find nothing on how to understind this data
cmegroup.com/confluence/display/EPICSANDBOX/MBO+FIX
none to help me ? i will pay 350 $ for chart and the same for the list of order of this day ( the order who was buy and sell ) of this product : Bitcoin future option CALL 18500 JANUARY 2023 ( BTCF3 ) for the day of the 30 december 2022 .
thanks .
Unless you understand the MDP 3.0 specification, it will be difficult for you to work with this data. Not impossible but very difficult to learn the specification and extract the data you want. I won't get into the details but it is better if you just write off this purchase and look for a different data vendor.
For what you want, your best choice is Databento IMO. Go to databento.com and purchase the MBO schema for the specific dates you want. It will cost you < $1 for one day. https://databento.com/datasets/GLBX.MDP3/Options/BTC. The MBO schema will give you all the orders that were placed, executed and cancelled in this market.
Just another quick note. December 30th is a Friday. If you want to accurately analyze the order book and order flow then you will have to build the book state. I recommend purchasing the data starting that Sunday (Dec 25th). CME publishes a snapshot of the book state (that existed when the market closed on Friday), on Sunday starting 2 PM. You would want to start there to build your book.
If all this is too confusing and if you just want to render a chart with the trade prices, then just get the Trades schema (instead of MBO) and you should be able to render your chart in excel using the trade prices.
hi ,
thanks for your help .
I try to do what you say Hulk but i arrive to the same results ... ( i dont understind : i dont find my product ( Option BTC future CALL 18500 BTCF3 for the day of 30 december 2022 ) in the files
what to do you this number ?
i dont see the date , i dont see the hour ( H , mn , sec ) , i dont see the product i am looking for , i dont see trade buy , sell ...
i need a specific programm to open those data ? i need to be a programmer to understind ?
it s not possible to have something like we can find with Interactivebrokers
with column like time , quantity , volum , NBBO (the buy and the sell ) , buy order .
( i don't understind the MDP 3.0 specification ) , i am not programmer
I understand the difficulty you are having. Unfortunately, market data gets complicated very quickly.
I have converted the data for Dec 30th for you. See attached.
The 2nd column (ts_event) is the timestamp of the event (human readable)
The 8th column (side) identifies the aggressor. B means that the aggressor was a bid and A means it was the ask
The 11th column (price) is the trade price
The 12th column (size) is the trade size
The 14th column (bid_px_00) is the best bid immediately before the trade
The 15th column (ask_px_00) is the best ask immediately before the trade
The 16th column (bid_sz_00) is the best bid size immediately before the trade
The 17th column (ask_sz_00) is the best ask size immediately before the trade
The last column (symbol) will help you identify the exact instrument
