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NYSE Liffe U.S. provides a rolling ten-day archive of end of day data for all NYSE Liffe U.S. futures contracts. The data files are available as Daily Information Sheets, Price Histories and Settlement Price files which contain daily volume, open interest, highs, lows, settlement prices etc.
 Access to End of Day Files
The files are currently available on a file server under the following filenames:
Daily Information Sheets (available as txt or pdf)
NYSE Liffe U.S. Volume Summary: cvolyyyymmdd
NYSE Liffe U.S.Futures Summary: cfutyyyymmdd
NYSE Liffe U.S.Options Summary: coptyyyymmdd
Price Histories (available as csv)
NYSE Liffe U.S. Futures Price History: c_dsyyyymmddff
NYSE Liffe U.S. Options Price History: c_dsyyyymmddfo
The left to right column order of the fields in Price History csv files is Trading date, Exchange contract code, Expiry/Delivery month, Contract type (F - Future, C - Call, P - Put), Exercise price (options only), Volume, Previous day's volume, Previous day's open interest, Opening transaction, Blank column 1, Blank column 2, Daily high, Daily low, Settlement price, Underlying instrument settlement price (options only), Implied volatility (options only), ATM (at-the-money) volatility (options only).
Settlement Prices
NYSE Liffe U.S. Settlement Prices: cspyyyymmddf (available as txt or dat)
NYSE Liffe U.S. Settlement Prices: cdpyyyymmddf (available as csv)
Note "yyyymmdd" in the above filenames indicates the trading date the file refers to.
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