cme-fedwatch 0.1.0

Unofficial CME FedWatch — FOMC rate-change probabilities in one line of Python.

CME FedWatch Tracker

Unofficial CME FedWatch — FOMC rate-change probabilities in one line of Python.

The only open-source FedWatch that actually works out of the box. No data prep, no API keys, no Selenium.

Installation · Quick Start · CLI · API Reference · How It Works

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Why This Project?

The CME FedWatch Tool is the gold standard for gauging market expectations of Fed rate changes. But accessing the data programmatically is painful:

Existing approach	Problem
CME Website	Manual, no API, embedded in QuikStrike iframe
pyfedwatch	You must supply your own futures data — the library doesn't fetch anything
Selenium scrapers	Slow (~60s), fragile, requires browser + driver
CME DataMine API	Paid, enterprise-only

This project solves all of that. One pip install, zero config:

from cme_fedwatch import get_probabilities

data = get_probabilities("next")
print(data)

{
    "effr": 3.64,
    "current_target": "3.50%-3.75%",
    "meetings": [{
        "date": "2026-04-29",
        "contract": "ZQJ6",
        "probabilities": {
            "3.50%-3.75%": 84.0,  # No change
            "3.75%-4.00%": 16.0   # 25bp hike
        }
    }]
}

Data sources — all official, all free:

• Settlement prices from CME Group
• EFFR & target rate from FRED (Federal Reserve Bank of St. Louis)
• FOMC schedule from the Federal Reserve

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Installation

pip install cme-fedwatch

Requires Python 3.9+. Single dependency: curl_cffi.

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Quick Start

from cme_fedwatch import get_probabilities, get_history

# Next FOMC meeting
get_probabilities("next")

# All upcoming meetings
get_probabilities()

# Specific meeting
get_probabilities("2026-10-28")

# How expectations changed over the past 10 business days
# Includes 1d, 1w, 1m, 3m, 6m, 1y lookback comparisons
get_history("next", days=10)

---

CLI

# Default: next meeting probabilities
$ cme-fedwatch

EFFR: 3.64%  Target: 3.50%-3.75%

     Meeting  Contract     3.50%-3.75%     3.75%-4.00%
------------------------------------------------------
  2026-04-29      ZQJ6           84.0%           16.0%

# All upcoming meetings
$ cme-fedwatch all

EFFR: 3.64%  Target: 3.50%-3.75%

     Meeting  Contract     3.25%-3.50%     3.50%-3.75%     3.75%-4.00%
----------------------------------------------------------------------
  2026-04-29      ZQJ6            0.0%           84.0%           16.0%
  2026-06-17      ZQM6            0.0%           95.7%            4.3%
  2026-07-29      ZQN6            0.0%           98.0%            2.0%
  2026-09-16      ZQU6            0.0%           88.0%           12.0%
  2026-10-28      ZQV6            0.0%           38.0%           62.0%
  2026-12-09      ZQZ6            8.1%           91.9%            0.0%
  ...

# Historical: how expectations evolved
$ cme-fedwatch history --days 5

EFFR: 3.64%  Target: 3.50%-3.75%
Meeting: 2026-04-29  Contract: ZQJ6

              3.50%-3.75%     3.75%-4.00%
-----------------------------------------
  2026-03-16       97.0%            3.0%
  2026-03-17       97.0%            3.0%
  2026-03-18      100.0%            0.0%
  2026-03-19       93.0%            7.0%
  2026-03-20       84.0%           16.0%

Lookback:
          1d          84.0%           16.0%
          1w          ...              ...
          1m          ...              ...

All CLI Options

Command	Description
cme-fedwatch	Next meeting probabilities
cme-fedwatch all	All upcoming meetings
cme-fedwatch next	Explicit next meeting
cme-fedwatch history	Probability changes over time
cme-fedwatch history --days 20	Last 20 business days
cme-fedwatch --meeting 2026-10-28	Specific meeting
cme-fedwatch --json	JSON output
cme-fedwatch --csv	CSV output
cme-fedwatch --rate 4.33	Override EFFR

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API Reference

get_probabilities(meeting=None, trade_date=None, current_rate=None)

Get rate-change probabilities for FOMC meetings.

Parameter	Type	Description
meeting	str	None (all), "next", or "YYYY-MM-DD"
trade_date	date	Settlement date (default: most recent)
current_rate	float	Override EFFR (default: fetched from FRED)

Returns a dict with effr, current_target, and meetings list.

get_history(meeting=None, days=10, current_rate=None)

Track how probabilities changed over time with standard lookback periods (1d, 1w, 1m, 3m, 6m, 1y).

Parameter	Type	Description
meeting	str	"next" (default) or "YYYY-MM-DD"
days	int	Business days of daily history (default: 10)
current_rate	float	Override EFFR

Returns a dict with history (daily) and lookback (1d/1w/1m/3m/6m/1y snapshots).

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How It Works

Data Pipeline

FRED API ──→ Current EFFR + Target Rate (official Fed data)
CME API  ──→ 30-Day Fed Funds Futures settlements (product 305)
               ↓
         FedWatch Calculation Engine
               ↓
         Per-meeting rate-change probabilities

Calculation

For each FOMC meeting, we derive the market-implied post-meeting fed funds rate from the futures settlement price, then compute the probability of each 25bp rate outcome:

implied_rate     = 100 - settlement_price
post_meeting_rate = (implied × D - pre_rate × (d-1)) / (D-d+1)
expected_moves   = (post_rate - pre_rate) / 0.25

Where d = meeting day, D = days in month, pre_rate = previous month's implied rate.

Accuracy

Results are based on daily settlement prices (not live mid-prices), so they may differ from CME QuikStrike by a few percentage points — especially for meetings near the end of a month where the calculation is sensitive to small price differences. The directional signal (hike/cut/hold) is consistent.

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Reading the Output

The column headers show possible target rate ranges. Compare them to the current target displayed at the top:

EFFR: 3.64%  Target: 3.50%-3.75%        ← Current rate

     Meeting  Contract     3.25%-3.50%     3.50%-3.75%     3.75%-4.00%
                           ↑ 25bp CUT      ↑ NO CHANGE     ↑ 25bp HIKE

• Column = current target → probability of no change
• Column > current target → probability of rate hike(s)
• Column < current target → probability of rate cut(s)

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Disclaimer

This project is not affiliated with CME Group, the Federal Reserve, or FRED. Data is sourced from publicly available APIs. Probabilities are calculated using an approximation of the CME FedWatch methodology and may differ from official CME QuikStrike values.

This tool is for informational and educational purposes only. It is not financial advice.

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License

MIT