Provenance · field semantics · quarantine
6M Data Traps: A Dataset Acceptance Audit
Two vendors can publish different daily 6M candles without either row being a simple typo. One may switch expiries before the other, one may back-adjust the history, one may use settlement while the other uses a last trade, and their day boundaries may differ. Until those choices are documented and reconciled, neither candle is evidence for a market claim.
- Null field
- Failure
- Derived time
- Labeled
- Unknown roll
- Quarantine
- Original audit
- None
Begin with definitions
A Candle Disagreement Is a Lineage Question
Do not average the vendors or choose the prettier chart. Reconstruct the row from raw records and metadata. The first goal is to determine whether each series measures the same instrument, interval, price type, and timestamp at all.
Identify
Resolve exchange product, dated expiry, venue, feed, schema and file version.
Define
Record quote direction, price type, bar clock, inclusion rules and correction handling.
Rebuild
Regenerate the candle from eligible raw rows without manual edits.
Reconcile
Classify the difference as expected construction, source defect, unknown, or noncomparable.
A provider passes only when its actual payload supplies every field and timing requirement for the intended use. Inferred timestamps, polling windows, receipt times, reconstructed events, or confidence labels may be retained as experimental evidence, but they do not replace an authoritative required field.
Evidence ladder
Documentation Describes a Feed; Payloads Prove What Arrived
Authoritative documentation and actual data answer different questions. Certification needs both. A product page can establish contract mechanics, but only inspected records can establish whether a purchased or vendor-delivered file contains usable timestamps, quotes, quantities, corrections, and contract identifiers.
Exchange rule and specification
CME Chapter 256 and the current FX Product Guide define the instrument. They do not certify a vendor’s transformation.
Provider schema and field guide
Versioned documentation defines advertised fields, timestamps and message behavior. Save the exact version relevant to the files.
Actual payload inspection
Sample every relevant regime, contract and boundary. Record nulls, gaps, duplicates, corrections and unexpected values; do not infer advertised fields that are absent.
Independent reconciliation
Rebuild aggregates, compare authoritative reference points where comparable, and document expected basis, timing, and construction differences.
CME DataMine advertises multiple historical dataset types. A catalog description is evidence of availability, not evidence that this page acquired or validated any file. It did not.
Semantics before statistics
Audit Identity, Quote Direction, and Time as Required Fields
Three mistakes can invert or reorder an entire study: using an unidentified contract, confusing MXN/USD futures with a pesos-per-dollar cash series, and assigning timestamps with an assumed offset.
| Field | Required meaning | Audit test | Failure classification |
|---|---|---|---|
| Product | 6M Mexican peso/U.S. dollar futures | Map code and venue to authoritative CME documentation | Primary use failed if ambiguous |
| Contract month | Dated delivery month on every record | Reconcile symbol parser across year and month transitions | Continuous-only data is secondary or experimental |
| Quote convention | U.S. dollars per Mexican peso for 6M | Unit-check prices and P&L formulas; do not rely on pair-name order | Reject inverted or undocumented values |
| Price type | Trade, bid, ask, settlement, open, high, low, close, or derived midpoint | Reconcile each field to provider definitions and raw messages | Unknown “price” cannot support execution claims |
| Timestamp | Provider event time with precision, timezone and clock semantics | Test ordering, duplicates, transitions and source latency fields | Receipt time cannot substitute for event time |
| Trade date | Exchange session label stored apart from civil date | Inspect overnight and holiday boundaries | Reject joins made on an undocumented date |
| Correction state | Insert, cancel, correction, sequence-reset or equivalent | Replay message rules and reconcile totals | Unprocessed corrections contaminate aggregates |
6M futures
USD per MXN
The CME FX Product Guide lists MXN/USD futures in U.S. dollars per Mexican peso. A higher 6M quote represents more U.S. dollars per peso under that convention.
Banxico cash reference
MXN per USD
Banco de México’s SIE exchange-rate table publishes pesos per U.S. dollar for named reference series. A reciprocal can align units, but it remains a different instrument, timestamp, and methodology from a futures trade.
The word “close” is overloaded
Keep Trades, Settlements, and Continuous Futures Separate
A settlement can be an exchange-defined daily reference rather than the last trade. A vendor close can be the final record before its own boundary. A continuous price can be a transformation across expiries. Store these as separate fields and never use one name for all three.
Observed market
Trade or quote
Retain timestamp, dated contract, side-relevant quote, quantity and feed state. This is the input required for an executable simulation.
Official daily reference
Settlement
Record the named exchange settlement and applicable methodology or notice. Do not imply it was the final executable trade.
Analytical transform
Continuous series
Record roll trigger, splice date, adjustment direction, cumulative adjustment, source contracts and rebuild code.
| Trap | How it enters | Diagnostic | Required treatment |
|---|---|---|---|
| Artificial jump | Unadjusted expiry switch | Return aligns exactly with roll and contract-price gap | Exclude from signal returns or model the roll explicitly |
| Rewritten level | Backward adjustment | Historical price changes when a new roll is appended | Version data and avoid level rules on transformed prices |
| Hindsight roll | Switch uses same-day final volume or later information | Decision timestamp occurs before required input was known | Replace with an ex-ante rule or reject for backtesting |
| Split liquidity | Nearby-only feed during migration | Outgoing activity falls as next expiry rises | Preserve both contracts and analyze migration |
Field-specific evidence
Liquidity Claims Require Quotes, Depth, and Missingness
Volume alone cannot establish a tight spread, deep book, passive fill, or low slippage. A top-of-book feed cannot reconstruct full depth or exact queue position. Market by Price and Market by Order provide different granularity. Match each claim to the minimum field set it requires.
| Claim | Minimum evidence | Still not established |
|---|---|---|
| Completed volume | Dated-contract trades with quantity, corrections and complete interval coverage | Displayed or hidden liquidity; participant motive |
| Bid-ask spread | Synchronized best bid and offer with stale/crossed-book policy | Fill at either quote after latency |
| Displayed depth | Depth updates with price levels, quantity, sequence and replay rules | Committed liquidity or undisplayed quantity |
| Queue position | Order-level data and a validated book reconstruction appropriate to the venue | Trader-specific latency and private order state |
| Slippage | Arrival benchmark, actual or replayed order, size, fills, latency and fees | Future slippage under a different state or size |
CME’s Market by Order FAQ says Market by Price consolidates quantity at price levels, while Market by Order supplies anonymous order-level details and priority information. A source missing the required granularity fails the corresponding use; a model estimate cannot be relabeled as observed queue data.
Do not repair silently
Quarantine Ambiguous Records and Preserve the Reason
A cleaning rule should be deterministic, versioned, and reversible. Keep the raw record immutable. Every exclusion or transformation needs a reason code, original values, transformed values, code version, and count by contract and date.
Failed for primary use
Required evidence is absent
- Contract month missing
- Event time inferred from receipt time
- Quote side unavailable for fill claim
- Unreconciled gaps or correction semantics
Secondary context only
Narrow facts remain usable
- Daily settlement without intraday book
- Cash reference with different instrument
- Volume without spread or depth
- Continuous chart with documented construction
Experimental only
Derived fields stay labeled
- Estimated event time
- Reconstructed quote state
- Probabilistic roll mapping
- Vendor claim awaiting payload proof
- Do not convert missing quotes to zero spread. Preserve the interval as unavailable and report missingness.
- Do not forward-fill through closures or outages. A stale price is not a live market.
- Do not delete extreme moves by magnitude alone. Reconcile sequence, corrections, neighboring records, official events, and contract state first.
- Do not overwrite source files. Store cleaned data as a new lineage with reproducible code and checksums.
Ending gate
6M Dataset Acceptance Checklist
Run this gate separately for every intended use. A source may pass daily settlement research and fail intraday execution research. Acceptance does not transfer across questions.
Current CME rule/specification and provider documentation are saved with review dates.
Actual records prove every required field, precision, timestamp and correction state.
Product, venue and dated contract resolve without inferred symbol mapping.
Quote direction, currency units, price type and P&L use consistent definitions.
Event time, UTC conversion, local offset, trade date, bar boundaries and DST are reproducible.
Gaps, duplicates, stale records, outages, corrections and attrition are quantified.
Every continuous observation maps to dated contracts under a declared ex-ante rule.
The feed’s quote, depth and order granularity matches the exact execution claim.
Outcome is failed for primary use, secondary context only, experimental only, or accepted for the named use.
No original study is reported. No vendor dataset or CME market-data file was acquired, inspected, reconciled, or certified for this article. The vendor-candle example is illustrative. This page defines a fail-closed audit; it does not certify any named provider or data history. Reconcile verified mechanics against the canonical 6M contract-specification guide.
Sources, methods and editorial disclosure — reviewed August 13, 2026
- CME Rulebook Chapter 256: Mexican Peso/U.S. Dollar futures for authoritative product scope, trading unit, price-increment context, termination, and physical-delivery rules.
- CME Group Mexican Peso futures contract page and 2026 FX Product Guide for current product, code, unit and quote-direction context. Detailed mechanics remain on this site’s canonical 6M specification page.
- CME DataMine historical-data catalog for distinctions among end-of-day, time-and-sales, top-of-book, depth and Market by Order products. No dataset was purchased or downloaded.
- CME Market by Order FAQ for Market by Price versus Market by Order granularity, full-depth and queue-information boundaries.
- Banco de México SIE exchange-rate table CF85 for official pesos-per-U.S.-dollar cash reference series and their stated units.
- CME Group trading-hours and holiday notices, Mexico’s 2022 Law of Time Zones, and NIST daylight-saving rules for clock and calendar audit context.
Sources and methods were reviewed August 13, 2026. This page is unsponsored editorial analysis and presents a dataset-audit protocol, not a provider certification or original market finding.