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Commodities Session Codes (other than blank)

Specifications for Digital Data Feed: Commodities Session Codes (other than blank)
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Message Definitions
Symbology
Commodities Session Codes (other than blank)
September 1, 2017 - Download as .txt file
  • G = CME Globex (overnight session)
  • R = CME Regular Trading Hours (pit session)
  • G = >NYMEX/COMEX Access Session (overnight session)
  • R = NYMEX/COMEX Regular Trading Hours (pit session)
The KCBT, CBOT & WCE do not have session codes.
For all refresh messages, sub-records 1, 2, 3, and 4 commodities session codes are to used to differentiate between composite market prices, overnight session prices, and day session prices.
If the session code is an 'R' then the message is specific to pit session pricing. If you are not collating "pit session only prices" then disregard refresh messages with a session code of 'R'.
If applicable, ddfplus will send session code 'G' for overnight refresh messages. These messages will immediately be followed by a composite refresh message with a blank session code.

Refresh Messages

All refresh messages contain current live price information.
Sub-Record 1 - exchange generated refresh messages are normally passed down by an exchange when a contract makes a new high or low for the day. They can also used by the exchange for corrections.
Sub-Record 2 - ddfplus generated refresh messages are passed down whenever a contract opens or makes a new high or new low price for the session. If a market has two sessions and the contract makes a new composite high then ddfplus will send down two messages for that contract, the first of which will apply to only the day or overnight session and the second for the composite session.
Sub-Record 3 - ddfplus generated cyclical refresh message for the current market session are passed down once every hour for every record in the database. If a market has two sessions and the contract is still trading for the current day then ddfplus will send down two messages for that contract, the first of which will apply to only the day session and the second for the composite session. When the market is trading for the next days "overnight trading" session, for that message the session code will be blank and the day code will be adjusted to reflect the next trading day.
Sub-Record 4 - ddfplus generated cyclical refresh message for previous trading sessions are passed down once every hour until midnight Chicago time. This message provides the previous session summary message. If a market has two sessions and the contract is currently trading for the next day session then ddfplus will send out two messages. The first of which will apply to only the day session that has closed and the second for the composite session that has just closed. Squeezed between these messages will be a Sub-Record 3 message with the current active trading session.
Notes:
  • Previous Volume and Previous Open Interest only applies for commodities.
  • Bid and Ask values are not included for previous closed sessions on commodities, Sub-Record 4.
  • Previous Volume, Previous Open Interest and Current Volume are not passed down for a pit session specific refresh message (session code 'R') as the information technically applies to the composite session, which is normally passed down immediately after the pit session refresh message.
  • Previous Volume and Previous Open Interest are not passed down for next session refresh messages as the information technically applies to the previous, previous session, but current olume will be included. Next session refresh messages are messages for contracts settling tomorrow.