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README.md

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+---
+license: mit
+tags:
+  - futures
+  - risk-management
+  - quantitative-finance
+  - algorithmic-trading
+  - market-data
+  - cme-group
+  - derivatives
+  - financial-engineering
+pretty_name: "CME Group Futures Contract Specifications & Risk Parameters"
+size_categories:
+  - n<1K
+task_categories:
+  - tabular-regression
+  - tabular-classification
+---
+
+# CME Group Futures Contract Specifications & Risk Parameters
+
+A comprehensive reference dataset of futures contract specifications and risk parameters covering 55+ contracts across equities, energy, metals, agriculture, currencies, interest rates, livestock, volatility, and cryptocurrency sectors.
+
+Designed as structured input for risk models, position sizing algorithms, backtesting engines, and margin optimization systems.
+
+## Description
+
+This dataset consolidates publicly available contract specifications and margin requirements for major futures contracts traded on CME Group exchanges (CME, CBOT, NYMEX, COMEX) and select ICE/CFE contracts. Each record contains the mechanical parameters needed to correctly model a futures position: tick size, tick value, contract multiplier, trading hours, settlement method, and representative margin levels.
+
+The data is curated for direct consumption by quantitative systems that need to translate signal-level decisions into properly sized, margin-aware positions.
+
+## Data Sources
+
+All contract specifications are derived from official exchange documentation:
+
+- **CME Group** — Contract specification pages at cmegroup.com for ES, NQ, CL, GC, ZB, 6E, and all other CME/CBOT/NYMEX/COMEX products
+- **ICE Futures** — Contract specs for CT, KC, SB, CC
+- **Cboe Futures Exchange (CFE)** — VX (VIX futures) specifications
+
+Margin requirements reflect CME Group performance bond requirements and are representative values. Actual margins are set by clearing firms and may differ.
+
+## Schema
+
+### futures_contracts.csv
+
+| Column | Type | Description |
+|--------|------|-------------|
+| `symbol` | string | Standard futures ticker symbol |
+| `name` | string | Full contract name |
+| `exchange` | string | Listing exchange (CME, CBOT, NYMEX, COMEX, ICE, CFE) |
+| `sector` | string | Asset class grouping |
+| `tick_size` | float | Minimum price increment |
+| `tick_value_usd` | float | Dollar value of one tick move |
+| `contract_size` | string | Notional multiplier or deliverable quantity |
+| `trading_hours_ct` | string | Regular trading hours in U.S. Central Time |
+| `last_trading_day` | string | Rule for determining the last trading day |
+| `settlement_type` | string | Cash or Physical delivery |
+| `currency` | string | Contract denomination currency |
+| `typical_daily_range_ticks` | int | Representative daily range in ticks (approximate) |
+| `typical_margin_usd` | int | Representative initial margin in USD |
+
+### margin_requirements.csv
+
+| Column | Type | Description |
+|--------|------|-------------|
+| `symbol` | string | Standard futures ticker symbol (joins to futures_contracts) |
+| `name` | string | Full contract name |
+| `initial_margin_usd` | int | Exchange initial (performance bond) margin |
+| `maintenance_margin_usd` | int | Exchange maintenance margin |
+| `day_trade_margin_usd` | int | Reduced intraday margin (broker-dependent) |
+| `exchange` | string | Listing exchange |
+| `last_updated` | date | Date margins were last verified |
+| `notes` | string | Contextual notes on margin behavior |
+
+## Use Cases
+
+### Position Sizing
+
+Calculate maximum position size given account equity and risk tolerance:
+
+```
+max_contracts = floor(account_equity * risk_pct / (tick_value * stop_distance_ticks))
+```
+
+### Risk Calculation
+
+Compute dollar risk per contract using tick value and typical daily range:
+
+```
+daily_risk_per_contract = tick_value_usd * typical_daily_range_ticks
+```
+
+### Backtesting
+
+Map raw price changes to PnL using contract-specific tick sizes and multipliers. Handle settlement type differences (cash vs. physical) for roll logic.
+
+### Margin Optimization
+
+Model portfolio-level margin requirements. Identify margin-efficient alternatives (e.g., MES vs. ES, MCL vs. CL) and cross-margining opportunities within the same exchange.
+
+### Cross-Asset Volatility Normalization
+
+Normalize position sizes across asset classes by converting typical daily ranges to common dollar-risk units, enabling apples-to-apples comparison of signals from different sectors.
+
+## Update Frequency
+
+Margin requirements are updated periodically to reflect exchange changes. Contract specifications are stable but should be verified against exchange sources before production use. The `last_updated` field in `margin_requirements.csv` indicates when margins were last reviewed.
+
+## Limitations
+
+- **Margin values are representative.** Actual margins are set by individual clearing firms (FCMs) and may be higher than exchange minimums. Day trade margins are particularly variable across brokers.
+- **Typical daily ranges are approximate.** They represent normal market conditions and will be significantly exceeded during high-volatility events (FOMC, NFP, geopolitical shocks).
+- **Trading hours may change.** Exchanges periodically adjust hours for holidays and special events. Always verify against the exchange calendar.
+- **Not all contracts are included.** This dataset covers the most actively traded contracts. Thinly traded or regional contracts are excluded.
+- **No intraday data.** This is a static reference dataset, not a time series. For dynamic margin monitoring, connect to exchange APIs.
+- **ICE and CFE contracts** are included for completeness but represent a small subset of those exchanges' full product offerings.
+
+## Citation
+
+If you use this dataset in research or production systems, please cite:
+
+```bibtex
+@dataset{futures_risk_parameters_2026,
+  title={CME Group Futures Contract Specifications & Risk Parameters},
+  year={2026},
+  publisher={Hugging Face},
+  url={https://huggingface.co/datasets/futures-risk-parameters}
+}
+```
+
+## License
+
+MIT
+
+---
+
+Maintained by [PropFirmKey.com](https://propfirmkey.com)

data/futures_contracts.csv

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+symbol,name,exchange,sector,tick_size,tick_value_usd,contract_size,trading_hours_ct,last_trading_day,settlement_type,currency,typical_daily_range_ticks,typical_margin_usd
+ES,E-mini S&P 500,CME,Equity Index,0.25,12.50,50 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,160,12650
+NQ,E-mini Nasdaq 100,CME,Equity Index,0.25,5.00,20 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,400,18150
+YM,E-mini Dow ($5),CBOT,Equity Index,1.00,5.00,5 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,300,10200
+RTY,E-mini Russell 2000,CME,Equity Index,0.10,5.00,50 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,200,7150
+MES,Micro E-mini S&P 500,CME,Equity Index,0.25,1.25,5 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,160,1265
+MNQ,Micro E-mini Nasdaq 100,CME,Equity Index,0.25,0.50,2 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,400,1815
+MYM,Micro E-mini Dow,CBOT,Equity Index,1.00,0.50,0.5 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,300,1020
+M2K,Micro E-mini Russell 2000,CME,Equity Index,0.10,0.50,5 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,200,715
+NKD,Nikkei 225 (Dollar),CME,Equity Index,5.00,25.00,5 x Index,Sun-Fri 17:00-16:00,2nd Friday of contract month,Cash,USD,120,9625
+EMD,E-mini S&P MidCap 400,CME,Equity Index,0.10,10.00,100 x Index,Sun-Fri 17:00-16:00,3rd Friday of contract month,Cash,USD,80,12100
+CL,Crude Oil WTI,NYMEX,Energy,0.01,10.00,1000 barrels,Sun-Fri 17:00-16:00,3rd business day prior to 25th of month before delivery,Physical,USD,200,7200
+NG,Natural Gas,NYMEX,Energy,0.001,10.00,10000 mmBtu,Sun-Fri 17:00-16:00,3rd last business day of month before delivery,Physical,USD,60,3800
+MCL,Micro WTI Crude Oil,NYMEX,Energy,0.01,1.00,100 barrels,Sun-Fri 17:00-16:00,3rd business day prior to 25th of month before delivery,Physical,USD,200,720
+RB,RBOB Gasoline,NYMEX,Energy,0.0001,4.20,42000 gallons,Sun-Fri 17:00-16:00,Last business day of month before delivery,Physical,USD,300,7500
+HO,Heating Oil,NYMEX,Energy,0.0001,4.20,42000 gallons,Sun-Fri 17:00-16:00,Last business day of month before delivery,Physical,USD,250,7200
+QM,E-mini Crude Oil,NYMEX,Energy,0.025,12.50,500 barrels,Sun-Fri 17:00-16:00,3rd business day prior to 25th of month before delivery,Cash,USD,80,3600
+BZ,Brent Crude Oil,NYMEX,Energy,0.01,10.00,1000 barrels,Sun-Fri 17:00-16:00,Last business day 2 months before delivery,Cash,USD,180,7000
+GC,Gold,COMEX,Metals,0.10,10.00,100 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,200,11550
+SI,Silver,COMEX,Metals,0.005,25.00,5000 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,60,10200
+HG,Copper,COMEX,Metals,0.0005,12.50,25000 lbs,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,80,5500
+PL,Platinum,NYMEX,Metals,0.10,5.00,50 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,150,3200
+PA,Palladium,NYMEX,Metals,0.10,10.00,100 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,100,20000
+MGC,Micro Gold,COMEX,Metals,0.10,1.00,10 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,200,1155
+SIL,Micro Silver,COMEX,Metals,0.005,5.00,1000 troy oz,Sun-Fri 17:00-16:00,3rd last business day of delivery month,Physical,USD,60,2040
+ZC,Corn,CBOT,Agriculture,0.25,12.50,5000 bushels,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,40,1650
+ZS,Soybeans,CBOT,Agriculture,0.25,12.50,5000 bushels,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,60,2750
+ZW,Chicago SRW Wheat,CBOT,Agriculture,0.25,12.50,5000 bushels,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,50,1925
+ZM,Soybean Meal,CBOT,Agriculture,0.10,10.00,100 short tons,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,60,2200
+ZL,Soybean Oil,CBOT,Agriculture,0.01,6.00,60000 lbs,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,80,1800
+ZO,Oats,CBOT,Agriculture,0.25,12.50,5000 bushels,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,30,1100
+ZR,Rough Rice,CBOT,Agriculture,0.005,10.00,2000 cwt,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,25,1200
+KE,KC Hard Red Winter Wheat,CBOT,Agriculture,0.25,12.50,5000 bushels,Sun-Fri 19:00-07:45 and Mon-Fri 08:30-13:20,Business day prior to 15th of contract month,Physical,USD,50,2000
+CT,Cotton No. 2,ICE,Agriculture,0.01,5.00,50000 lbs,Mon-Fri 20:00-13:20,17th business day from end of spot month,Physical,USD,100,3100
+KC,Coffee C,ICE,Agriculture,0.05,18.75,37500 lbs,Mon-Fri 03:15-12:30,1 business day before last notice day,Physical,USD,80,5500
+SB,Sugar No. 11,ICE,Agriculture,0.01,11.20,112000 lbs,Mon-Fri 02:30-13:00,Last business day of month before delivery,Physical,USD,40,1300
+CC,Cocoa,ICE,Agriculture,1.00,10.00,10 metric tons,Mon-Fri 03:45-12:30,10 business days before last business day of delivery month,Physical,USD,100,8500
+6E,Euro FX,CME,Currencies,0.00005,6.25,125000 EUR,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,120,2600
+6B,British Pound,CME,Currencies,0.0001,6.25,62500 GBP,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,100,2750
+6J,Japanese Yen,CME,Currencies,0.0000005,6.25,12500000 JPY,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,80,3100
+6A,Australian Dollar,CME,Currencies,0.0001,10.00,100000 AUD,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,60,1800
+6C,Canadian Dollar,CME,Currencies,0.00005,5.00,100000 CAD,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,80,1400
+6S,Swiss Franc,CME,Currencies,0.0001,12.50,125000 CHF,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,60,3200
+6N,New Zealand Dollar,CME,Currencies,0.0001,10.00,100000 NZD,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,50,1500
+6M,Mexican Peso,CME,Currencies,0.000010,5.00,500000 MXN,Sun-Fri 17:00-16:00,2nd business day before 3rd Wednesday of contract month,Cash,USD,60,2200
+ZB,30-Year U.S. Treasury Bond,CBOT,Interest Rates,0.03125,31.25,100000 face value,Sun-Fri 17:00-16:00,7th business day before last business day of delivery month,Physical,USD,60,5500
+ZN,10-Year U.S. Treasury Note,CBOT,Interest Rates,0.015625,15.625,100000 face value,Sun-Fri 17:00-16:00,7th business day before last business day of delivery month,Physical,USD,80,2750
+ZF,5-Year U.S. Treasury Note,CBOT,Interest Rates,0.0078125,7.8125,100000 face value,Sun-Fri 17:00-16:00,Last business day of delivery month,Physical,USD,80,1600
+ZT,2-Year U.S. Treasury Note,CBOT,Interest Rates,0.0078125,15.625,200000 face value,Sun-Fri 17:00-16:00,Last business day of delivery month,Physical,USD,40,1200
+SR3,3-Month SOFR,CME,Interest Rates,0.0025,6.25,2500 x Rate,Sun-Fri 17:00-16:00,3rd Wednesday of contract month,Cash,USD,20,825
+UB,Ultra U.S. Treasury Bond,CBOT,Interest Rates,0.03125,31.25,100000 face value,Sun-Fri 17:00-16:00,7th business day before last business day of delivery month,Physical,USD,80,7500
+TN,Ultra 10-Year U.S. Treasury Note,CBOT,Interest Rates,0.015625,15.625,100000 face value,Sun-Fri 17:00-16:00,7th business day before last business day of delivery month,Physical,USD,70,3400
+LE,Live Cattle,CME,Livestock,0.025,10.00,40000 lbs,Mon-Fri 08:30-13:05,Last business day of contract month,Cash,USD,60,2200
+HE,Lean Hogs,CME,Livestock,0.025,10.00,40000 lbs,Mon-Fri 08:30-13:05,10th business day of contract month,Cash,USD,80,1800
+GF,Feeder Cattle,CME,Livestock,0.025,12.50,50000 lbs,Mon-Fri 08:30-13:05,Last Thursday of contract month,Cash,USD,50,3200
+VX,CBOE Volatility Index (VIX),CFE,Volatility,0.05,50.00,1000 x Index,Sun-Fri 17:00-16:00,Wednesday 30 days before 3rd Friday of following month,Cash,USD,40,8800
+BTC,Bitcoin (CME),CME,Cryptocurrency,5.00,25.00,5 BTC,Sun-Fri 17:00-16:00,Last Friday of contract month,Cash,USD,200,55000
+MBT,Micro Bitcoin (CME),CME,Cryptocurrency,5.00,0.50,0.1 BTC,Sun-Fri 17:00-16:00,Last Friday of contract month,Cash,USD,200,1100
+ETH,Ether (CME),CME,Cryptocurrency,0.25,12.50,50 ETH,Sun-Fri 17:00-16:00,Last Friday of contract month,Cash,USD,160,9000
+MET,Micro Ether (CME),CME,Cryptocurrency,0.05,0.50,0.1 ETH,Sun-Fri 17:00-16:00,Last Friday of contract month,Cash,USD,160,180

data/margin_requirements.csv

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+symbol,name,initial_margin_usd,maintenance_margin_usd,day_trade_margin_usd,exchange,last_updated,notes
+ES,E-mini S&P 500,12650,11500,500,CME,2026-03-15,CME performance bond; day trade margin varies by broker
+NQ,E-mini Nasdaq 100,18150,16500,1000,CME,2026-03-15,Higher margin reflects greater index volatility
+YM,E-mini Dow ($5),10200,9300,500,CBOT,2026-03-15,CBOT performance bond
+RTY,E-mini Russell 2000,7150,6500,500,CME,2026-03-15,Small-cap index; relatively higher vol-adjusted margin
+MES,Micro E-mini S&P 500,1265,1150,50,CME,2026-03-15,1/10th of ES margin
+MNQ,Micro E-mini Nasdaq 100,1815,1650,100,CME,2026-03-15,1/10th of NQ margin
+MYM,Micro E-mini Dow,1020,930,50,CBOT,2026-03-15,1/10th of YM margin
+M2K,Micro E-mini Russell 2000,715,650,50,CME,2026-03-15,1/10th of RTY margin
+NKD,Nikkei 225 (Dollar),9625,8750,4800,CME,2026-03-15,Dollar-denominated Nikkei futures
+EMD,E-mini S&P MidCap 400,12100,11000,6050,CME,2026-03-15,Lower liquidity than ES; wider spreads
+CL,Crude Oil WTI,7200,6500,1000,NYMEX,2026-03-15,Margin increases during high-vol periods
+NG,Natural Gas,3800,3450,1000,NYMEX,2026-03-15,Historically volatile; margin frequently adjusted
+MCL,Micro WTI Crude Oil,720,650,100,NYMEX,2026-03-15,1/10th of CL margin
+RB,RBOB Gasoline,7500,6800,3750,NYMEX,2026-03-15,Crack spread component; physical delivery
+HO,Heating Oil,7200,6550,3600,NYMEX,2026-03-15,Crack spread component; physical delivery
+QM,E-mini Crude Oil,3600,3250,500,NYMEX,2026-03-15,Half-size crude oil contract; cash settled
+BZ,Brent Crude Oil,7000,6350,3500,NYMEX,2026-03-15,ICE Brent benchmark; cash settled at CME
+GC,Gold,11550,10500,1000,COMEX,2026-03-15,Safe haven; margin stable relative to notional
+SI,Silver,10200,9250,2000,COMEX,2026-03-15,High volatility metal; large tick value
+HG,Copper,5500,5000,2750,COMEX,2026-03-15,Industrial metal; sensitive to macro data
+PL,Platinum,3200,2900,1600,NYMEX,2026-03-15,Lower liquidity than gold/silver
+PA,Palladium,20000,18200,10000,NYMEX,2026-03-15,Thin liquidity; extreme margin requirements
+MGC,Micro Gold,1155,1050,100,COMEX,2026-03-15,1/10th of GC margin
+SIL,Micro Silver,2040,1850,400,COMEX,2026-03-15,1/5th of SI margin (1000 oz vs 5000 oz)
+ZC,Corn,1650,1500,500,CBOT,2026-03-15,Seasonal margin adjustments around USDA reports
+ZS,Soybeans,2750,2500,750,CBOT,2026-03-15,Higher margin during crop uncertainty
+ZW,Chicago SRW Wheat,1925,1750,500,CBOT,2026-03-15,Soft red winter wheat benchmark
+ZM,Soybean Meal,2200,2000,750,CBOT,2026-03-15,Crush spread component
+ZL,Soybean Oil,1800,1650,500,CBOT,2026-03-15,Crush spread component
+ZO,Oats,1100,1000,550,CBOT,2026-03-15,Low liquidity; wide bid-ask spreads
+ZR,Rough Rice,1200,1100,600,CBOT,2026-03-15,Thin volume; physical delivery
+KE,KC Hard Red Winter Wheat,2000,1825,500,CBOT,2026-03-15,Hard red winter wheat; KC vs Chicago spread
+CT,Cotton No. 2,3100,2800,1550,ICE,2026-03-15,ICE contract; subject to limit moves
+KC,Coffee C,5500,5000,2750,ICE,2026-03-15,High volatility soft commodity
+SB,Sugar No. 11,1300,1175,650,ICE,2026-03-15,World sugar benchmark
+CC,Cocoa,8500,7725,4250,ICE,2026-03-15,Extreme volatility since 2024 supply crisis
+6E,Euro FX,2600,2350,500,CME,2026-03-15,Most liquid FX future
+6B,British Pound,2750,2500,500,CME,2026-03-15,Cable futures
+6J,Japanese Yen,3100,2800,500,CME,2026-03-15,Large notional value in JPY
+6A,Australian Dollar,1800,1650,500,CME,2026-03-15,Commodity-linked currency
+6C,Canadian Dollar,1400,1275,500,CME,2026-03-15,Oil-correlated currency
+6S,Swiss Franc,3200,2900,500,CME,2026-03-15,Safe haven currency; low vol but high notional
+6N,New Zealand Dollar,1500,1375,500,CME,2026-03-15,Lower liquidity than majors
+6M,Mexican Peso,2200,2000,500,CME,2026-03-15,EM currency; higher overnight risk
+ZB,30-Year U.S. Treasury Bond,5500,5000,1500,CBOT,2026-03-15,Long duration; high sensitivity to rate changes
+ZN,10-Year U.S. Treasury Note,2750,2500,500,CBOT,2026-03-15,Most liquid treasury future
+ZF,5-Year U.S. Treasury Note,1600,1450,500,CBOT,2026-03-15,Intermediate duration benchmark
+ZT,2-Year U.S. Treasury Note,1200,1100,500,CBOT,2026-03-15,Short duration; lower vol per contract
+SR3,3-Month SOFR,825,750,500,CME,2026-03-15,Replaced Eurodollar; rate expectations
+UB,Ultra U.S. Treasury Bond,7500,6800,3750,CBOT,2026-03-15,Longest duration Treasury future; highest vol
+TN,Ultra 10-Year U.S. Treasury Note,3400,3100,1700,CBOT,2026-03-15,Between ZN and ZB in duration exposure
+LE,Live Cattle,2200,2000,1100,CME,2026-03-15,Cash settled; USDA report sensitivity
+HE,Lean Hogs,1800,1650,900,CME,2026-03-15,Cash settled; seasonal patterns
+GF,Feeder Cattle,3200,2900,1600,CME,2026-03-15,Cash settled; corn price correlation
+VX,CBOE Volatility Index (VIX),8800,8000,4400,CFE,2026-03-15,Contango/backwardation dynamics; no equity offset
+BTC,Bitcoin (CME),55000,50000,27500,CME,2026-03-15,5 BTC notional; extreme margin requirements
+MBT,Micro Bitcoin (CME),1100,1000,550,CME,2026-03-15,1/50th of BTC contract
+ETH,Ether (CME),9000,8200,4500,CME,2026-03-15,50 ETH notional; high crypto volatility
+MET,Micro Ether (CME),180,165,90,CME,2026-03-15,0.1 ETH notional; accessible crypto exposure