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Version: 8.6.9.2

FutureCloseMarkHist

Description

Futures SR Closing Mark records are created 1 minute before the market close. These records contain closing quotes and prices as well as markup details for all outright futures.

Start Dates

US start dates
ExchangeStart Date
CBOT2025-10-01
CFE2026-03-09
CME2025-10-01
COMEX2025-10-01
ICE2026-08-03
NYMEX2025-10-01
EU start dates
ExchangeStart Date
EUREX2025-11-20
ICEFEC2026-05-01
ICEFEF2026-05-05
NXAM2025-11-20
NXBR2025-11-20
NXLS2025-11-20
NXML2025-11-28
NXOS2026-04-20
NXP2025-11-20

Delivery Times

RegionAvailability
US04:00 CT T+1
EU04:00 CET T+1

Schema Definition

Field NameData TypeDescription
fkey_atstringFuture asset type
fkey_tsstringFuture ticker source
fkey_tkstringFuture ticker
fkey_dtdateFutures expiration date
tradingDatedateTrading date
tradingSessionstringTrading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
srCloseTimetimeSpiderRock closing mark time
clsMarkStatestringClose mark state ('ExchClose','Final','LastPrt','None','SRClose')
opnPrcdoubleOpening price
minPrcdoubleSession minimum price
maxPrcdoubleSession maximum price
openInterestintOpen Interest (1 day delayed)
prtCountintTotal number of prints for the day
prtVolumeintTotal volume of contracts traded for the day
realizedCntintRealized count
realizedVolfloatRealized volatility
avgMktSizefloatAverage market size (bid size + ask size) / 2
avgMktWidthfloatAverage market width (ask price - bid price)
bidPrcdoubleBid at srCloseTime
askPrcdoubleAsk at srCloseTime
srClsPrcdoubleSpiderRock closing mark
closePrcdoubleOfficial closing price from exchange
priorDatetimestampPrior trading date
priorSRClsPrcfloatValue archived in the previous trading period
priorClosePrcfloatPrior trading day closing price

Differences to V7

  • fkey_yr, fkey_mn, fkey_dy removed in favor of fkey_dt
  • realizedVar removed in favor of realizedVol
  • PriorDate_cst column is removed
  • timestamp_cst column is removed
  • new column srCloseTime added
  • timestamp removed from v7