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Target Markets
This project trades 14 CME Group futures across three groups — exactly the futures lineup offered by Wealthsimple, the project's execution broker. Eleven of the 14 are derivative-sized contracts (micros, e-minis, retail-sized metals) that settle to a benchmark parent (ES→S&P 500 SOQ, MCL/QM→CL settlement, BZ→ICE Brent Index, 1OZ/QO→GC settlement, QI/SIC→SI settlement). Two are brand-new (1OZ launched January 13, 2025; SIC launched February 9, 2026), and two are legacy e-minis (QO, QI) whose volume has been cannibalized by newer micros — see the liquidity warnings on the Metals page.
Full per-symbol specs live on the group pages:
| Group | Symbols | Page |
|---|---|---|
| Equity indices | ES, MES, NQ, MNQ, YM, RTY, M2K | Equity Index Futures |
| Energy | MCL, QM, BZ | Energy Futures |
| Metals | 1OZ, QO, QI, SIC | Metals Futures |
All spec figures were verified against live CME sources (CmeWS JSON endpoints, rulebook PDFs, FAQs, press releases, and the CME Client Systems wiki) on 2026-07-11 unless noted. CME's own product spec pages — the URL of record per symbol, linked on each group page — render their tables client-side and block datacenter-IP scraping, so automated re-verification must go through those alternate official sources.
Execution venue: Wealthsimple
The 14 targets are not an arbitrary selection — they mirror the futures lineup available on Wealthsimple (Trade futures on Wealthsimple), the broker this project executes through. Broker constraints that directly shape strategy design (as of 2026-07-12; the help article blocks automated fetchers with HTTP 403, so these figures come from Wealthsimple's own fees page and search-indexed help-centre text plus Investment Executive's launch coverage — re-verify against the live article):
- Tradable universe: only these 14 markets; other CME products referenced in this catalog for liquidity or data context — CL, GC, SI, MGC (Micro Gold), SIL (Micro Silver), MYM (Micro Dow) — are not tradable on Wealthsimple. Where a page compares our targets against those symbols, the comparison is context, not an executable recommendation.
- Front two expiries only: Wealthsimple supports the first two nearest-expiry contracts per market. Strategies cannot hold back-month or long-dated positions, and rolls must happen within the front-two window.
- Margin account required: futures trade only in Wealthsimple margin accounts.
- Fees: US$1.00/contract per side commission, $0 platform and market-data fees, plus exchange/regulatory pass-throughs (e.g. ~$0.35 exchange + $0.02 regulatory on MES). All-in round-trip cost on a micro is therefore roughly US$2.75 — material relative to MES's $1.25 tick value and a key input for any high-frequency-of-trade strategy.
For data purposes the parent benchmarks (CL, GC, SI) and liquid micro siblings (MGC, SIL) remain essential: our targets' settlements derive from the parents, and the parents/micros carry decades-longer history for backtesting (see Price History).
Master symbol table
| Symbol | Name | Exchange | Contract size | Tick size | Tick value | Settlement |
|---|---|---|---|---|---|---|
| ES | E-mini S&P 500 | CME | $50 × S&P 500 Index | 0.25 index pt | $12.50 | Cash — S&P 500 SOQ, 9:30 a.m. ET 3rd Friday |
| MES | Micro E-mini S&P 500 | CME | $5 × S&P 500 Index | 0.25 index pt | $1.25 | Cash — same SOQ as ES |
| NQ | E-mini Nasdaq-100 | CME | $20 × Nasdaq-100 Index | 0.25 index pt | $5.00 | Cash — Nasdaq-100 SOQ, 3rd Friday |
| MNQ | Micro E-mini Nasdaq-100 | CME | $2 × Nasdaq-100 Index | 0.25 index pt | $0.50 | Cash — same SOQ as NQ |
| YM | E-mini Dow ($5) | CBOT | $5 × DJIA | 1.00 index pt | $5.00 | Cash — DJIA SOQ, 3rd Friday |
| RTY | E-mini Russell 2000 | CME | $50 × Russell 2000 Index | 0.10 index pt | $5.00 | Cash — Russell 2000 SOQ, 3rd Friday |
| M2K | Micro E-mini Russell 2000 | CME | $5 × Russell 2000 Index | 0.10 index pt | $0.50 | Cash — same SOQ as RTY |
| MCL | Micro WTI Crude Oil | NYMEX | 100 barrels | $0.01/bbl | $1.00 | Cash — to CL daily settlement on MCL's last trading day |
| QM | E-mini Crude Oil | NYMEX | 500 barrels | $0.025/bbl | $12.50 | Cash — derived from CL settlement, rounded to nearest tick |
| BZ | Brent Last Day Financial | NYMEX | 1,000 barrels | $0.01/bbl | $10.00 | Cash — ICE Brent Index published one day after last trading day |
| 1OZ | 1-Ounce Gold | COMEX | 1 troy oz | $0.25/oz | $0.25 | Cash — to GC daily settlement |
| QO | E-mini Gold | COMEX | 50 troy oz | $0.25/oz | $12.50 | Cash — derived from GC settlement, rounded to nearest tick |
| QI | E-mini Silver | COMEX | 2,500 troy oz | $0.0125/oz | $31.25 | Cash — derived from SI settlement |
| SIC | 100-Ounce Silver | COMEX | 100 troy oz | $0.01/oz | $1.00 | Cash — derived from SI settlement, rounded to nearest SIC tick |
Every one of the 14 targets is financially (cash) settled; none has physical delivery, so none has a first-notice date (the ProductCalendar API shows no firstNotice/firstDelivery for any of them — e.g. ES calendar, MCL calendar). First notice only matters if backtesting the physically-delivered parents (CL, GC, SI) — their roll behavior around FND differs from our cash-settled targets.
Note on BZ's tick: $0.01/bbl is the Globex trading tick; NYMEX Rulebook Ch. 698 sets a finer $0.001/bbl minimum price fluctuation — settlement granularity for the 3-decimal ICE Brent Index (verified 2026-07-11).
Session hours
All 14 contracts trade on CME Globex Sunday 6:00 p.m. – Friday 5:00 p.m. ET with a daily 60-minute maintenance break 5:00–6:00 p.m. ET (4:00–5:00 p.m. CT) — tastytrade futures market hours, CME trading hours page.
| Group | Globex session (ET) | Daily afternoon halt | Maintenance break (ET) |
|---|---|---|---|
| Equity index | Sun 6:00 p.m. – Fri 5:00 p.m. | 4:15–4:30 p.m. after the US cash close | 5:00–6:00 p.m. |
| Energy | Sun 6:00 p.m. – Fri 5:00 p.m. | None | 5:00–6:00 p.m. |
| Metals | Sun 6:00 p.m. – Fri 5:00 p.m. | None | 5:00–6:00 p.m. |
The equity-only 4:15–4:30 p.m. ET halt (3:15–3:30 p.m. CT) is per the e-futures.com ES hours summary, consistent with CME's equity daily-settlement window ending 3:00 p.m. CT.
Daily settlement windows (for bar alignment and "settlement price" semantics):
- Equity index: 30-second VWAP 2:59:30–3:00:00 p.m. CT; micros derive from the e-mini settlement — CME Client Systems wiki, E-mini S&P 500, Micro E-mini FAQ.
- NYMEX crude complex: CL settlement window 14:28:00–14:30:00 ET; QM settlements "derived directly from the settlements of the regular sized Crude Oil (CL) futures contracts, rounded to the nearest tradable tick"; BZ daily settlements "equivalent to the settlements in the corresponding ICE Brent Crude Oil futures contracts" — CME Client Systems wiki, NYMEX Crude Oil.
- COMEX metals: SIC (and QI) daily settlements derive from full-size SI settlements, rounded to the nearest tradable tick; SI itself settles off Globex activity 12:24:00–12:25:00 CT for the active month (CME wiki, Silver); QO and 1OZ derive from GC (CME wiki, Gold).
Equity price limits. ES/NQ/YM/RTY (and micros) trade under coordinated 7%/13%/20% daily circuit breakers plus a separate overnight up/down limit of 7% (hard limit 5:00 p.m.–8:30 a.m. CT, with 3.5%-wide Dynamic Circuit Breakers) — CME S&P 500 price limits FAQ (verified as of 2026-07-11).
Liquidity snapshot (trade date 2026-07-10, preliminary)
Volume (contracts/day) and open-interest figures were pulled live on 2026-07-11 from CME's product-slate JSON (the same feed that powers cmegroup.com's volume pages), report type PRELIMINARY for trade date 2026-07-10: ProductSlate API.
| Symbol | Product (CME product ID) | Exchange | Volume 2026-07-10 | OI 2026-07-10 |
|---|---|---|---|---|
| ES | E-mini S&P 500 (133) | CME | 1,078,031 | 1,971,382 |
| MES | Micro E-mini S&P 500 (8667) | CME | 820,575 | 195,241 |
| NQ | E-mini Nasdaq-100 (146) | CME | 432,329 | 278,951 |
| MNQ | Micro E-mini Nasdaq-100 (8668) | CME | 2,397,979 | 194,264 |
| YM | E-mini Dow $5 (318) | CBOT | 68,410 | 78,299 |
| RTY | E-mini Russell 2000 (8314) | CME | 127,266 | 401,041 |
| M2K | Micro E-mini Russell 2000 (8669) | CME | 99,538 | 27,599 |
| MCL | Micro WTI Crude Oil (10037) | NYMEX | 113,469 | 47,253 |
| QM | E-mini Crude Oil (452) | NYMEX | 3,716 | 2,948 |
| BZ | Brent Last Day Financial (424) | NYMEX | 131,054 | 243,206 |
| 1OZ | 1-Ounce Gold (10907) | COMEX | 33,207 | 26,194 |
| QO | E-mini Gold (454) | COMEX | 3,958 | 8,433 |
| QI | E-mini Silver (450) | COMEX | 336 | 1,061 |
| SIC | 100-Ounce Silver (11434) | COMEX | 10,715 | 11,711 |
Benchmark parents for context (none of these are tradable on Wealthsimple — see Execution venue), same trade date and source: CL (Crude Oil, 425) 691,981 / 1,876,961; GC (Gold, 437) 130,880 / 378,145; SI (Silver, 458) 27,519 / 104,841; MGC (Micro Gold, 5224) 221,427 / 70,500; SIL (Micro Silver, 6955) 31,165 / 17,078; MYM (Micro E-mini Dow, 8670) 119,152 / 26,756 (gold search, silver search, brent search).
Margins
CME publishes maintenance margins; brokers quote initial margins slightly above CME maintenance plus their own intraday rates. Two dated snapshots are used across the group pages:
- CME Clearing maintenance rates from the CmeWS margins JSON, retrieved 2026-07-11 (COMEX metals present).
- The TradeStation futures margin table, retrieved 2026-07-11 (page carries no explicit as-of date). TradeStation's overnight maintenance tracks CME maintenance within ~2% (e.g. QO 10,434 vs CME 10,285; 1OZ 208 vs 206), so broker figures are a reliable proxy where the CME API has gaps.
Caveat: the public CmeWS OUTRIGHT margins feed returned no rows for the flagship SPAN-2-margined products — ES/MES/NQ/MNQ/RTY/M2K/YM (CME "EQUITY INDEX" sector contains only 3 Total-Return products: query) and CL/MCL/QM/BZ (absent from all 164 rows of the NYMEX "CRUDE OIL" sector: page 1, page 2) as of 2026-07-11. For those symbols use the JS-rendered CME margins pages or broker tables.
Market-data licensing for retail
From the official CME Group Fee List PDF, effective January 1, 2026 (verified live 2026-07-11; fees assessed per exchange/DCM):
- Non-Professional Top of Book: $1.55/month per exchange; $4.65/month bundle covering all 4 CME Group DCMs (CME, CBOT, NYMEX, COMEX) — the bundle covers every one of our 14 symbols. Because CME's Brent (BZ) is NYMEX-listed, it is included; trading ICE Brent instead would add an ICE Futures Europe data subscription on top.
- Non-Professional Depth of Market: $12.10/month per exchange; $36.50/month bundle for all exchanges.
- Professional real-time display: $134.50/device/month per exchange (an "E-mini only" professional tier exists: CME $73, CBOT $48.75, NYMEX $53.75, COMEX $42.25).
- Delayed display data: $0; real-time raw data feed license: $610/month (professional/firm-level).
- The non-pro rate requires qualifying as a Non-Professional Subscriber (natural person, not registered/acting as investment adviser, etc.) and is billed through your broker/data vendor, which may add administrative markup — e.g. Optimus Futures quotes "CME Level 1: Free for clients placing 10+ trades per month, otherwise $3/month; CME Level 2: $15/month" (Optimus support page, retrieved 2026-07-11; per-exchange treatment not stated there — verify with broker).