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OpenBB CME Provider

CME Group equity index futures data for OpenBB. No API key required.

Supported Symbols

Symbol Name Exchange Daily Volume (approx.)
ES E-mini S&P 500 CME/Globex ~1.5M
NQ E-mini Nasdaq-100 CME/Globex ~800K
MES Micro E-mini S&P 500 CME/Globex ~1.5M
MNQ Micro E-mini Nasdaq-100 CME/Globex ~1M
RTY E-mini Russell 2000 CME/Globex ~200K
YM E-mini Dow ($5) CBOT/Globex ~100K

Installation

pip install openbb-cme
# or via poetry inside the platform
poetry add openbb-cme

Data Source

Public settlement data from CME Group:

https://www.cmegroup.com/CmeWS/mvc/Settlements/Futures/Settlements/{product_id}/FUT

Settlement data is published at end-of-day (T+1 availability). No authentication required.

Fetchers

FuturesHistorical

Daily OHLCV + official settlement price and open interest.

from openbb import obb

# Front-month ES settlement history (last 30 days by default)
df = obb.derivatives.futures.historical("ES", provider="cme").to_df()

# Specific contract month
df = obb.derivatives.futures.historical(
    "NQ", provider="cme",
    start_date="2025-01-01", end_date="2025-06-25",
    expiration="2025-06"
).to_df()

Extra fields vs. standard model:

  • settlement_price: official CME end-of-day settlement (distinct from last trade)
  • open_interest: daily outstanding contracts
  • expiration: contract month in YYYY-MM format
  • symbol: CME root symbol

FuturesCurve

Term structure (all active contract months) for a given date.

# Current term structure
df = obb.derivatives.futures.curve("ES", provider="cme").to_df()

# Historical term structure on a specific date
df = obb.derivatives.futures.curve(
    "ES", provider="cme", date="2025-03-21"
).to_df()

Extra fields: open_interest, volume, symbol

FuturesInfo

Contract specifications + latest settlement summary. Accepts multiple symbols.

# Single symbol
info = obb.derivatives.futures.info("ES", provider="cme").to_df()

# Multiple symbols
info = obb.derivatives.futures.info("ES,NQ,MES", provider="cme").to_df()

Fields: tick_size, point_value, multiplier, exchange, currency, settlement_price, open_interest, volume, front_month, trade_date

FuturesInstruments

Listed contracts with expiration dates. Accepts multiple symbols.

# All listed ES contracts
instruments = obb.derivatives.futures.instruments("ES", provider="cme").to_df()

# Multiple symbols
instruments = obb.derivatives.futures.instruments("ES,NQ", provider="cme").to_df()

Running Tests

# Unit tests (no network required) (11 tests)
pytest openbb_platform/providers/cme/tests/test_cme_fetchers.py -v -k "not record_http"

# Live HTTP tests (requires internet access to cmegroup.com)
pytest openbb_platform/providers/cme/tests/test_cme_fetchers.py -v -k record_http

Tests marked @pytest.mark.record_http make real HTTP requests to CME's public API. They are excluded from CI runs (which use -k "not record_http").