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This page describes the types of BrokerTec data available from CME DataMine.

BrokerTec facilitates the majority share of daily US Treasury electronic trading volumes, allowing access to the most liquid and comprehensive US Treasury data. BrokerTec data is available for six different maturities (2-yr, 3-yr, 5-yr, 7-yr, 10-yr, 30-yr) in three different formats ( Top of Book, Depth of Book, and Full Order Book) dating back as far as 2000.   


Dates Available

Full Order Book data is available from July 2000 to present day. Depth of Book and Top of Book data is available from December 2014 to present.

By Dataset



Dataset

Tenor

Start Date

End Date
Full Order Book

2 Year

6/29/00

Present
Full Order Book3 Year5/7/03Present
Full Order Book5 Year6/29/00Present
Full Order Book7 Year3/2/09Present
Full Order Book10 Year6/29/00Present
Full Order Book30 Year6/29/00Present
Depth of BookAll Tenors12/1/2014Present
Top of BookAll Tenors12/1/2014Present



Sample Files


DatasetSample File
Full Order Book- Work UP2 Year- 1/8/2018
Full Order Book- Orders2 Year- 1/8/2018
Full Order Book- Trades2 Year- 1/8/2018
Depth of Book2 Year- 1/8/2018
Top of Book2 Year- 1/8/2018


*Please note there are three files per day included in the Full Order Book dataset.  These are the Work Up file, Trades file, and Orders file.



FAQ

 Nex/BrokerTec Format

What format is the file delivered in?

Data is provided in .csv format (comma separated values) for the Top of Book, Depth of Book & Full Order Book files.

Are files compressed?

Yes, the files are compressed into zip files.

What is the precision level for timestamping for these datasets?

The Top of Book and Depth of Book datasets have millisecond precision.

The Full Order Book dataset has microsecond precision.

Does Full Order Book come from the same source as Top of Book and Depth of Book?

Full Order Book is an extract directly from the BTEC Platform.

Top of Book and Depth of Book is an output from the Market Data feed.

 Nex/BrokerTec Availability

What tenors are available for purchase?

2 Year, 3 Year, 5 Year, 7 Year, 10 Year & 30 Year US Treasury tenors are available for purchase.

How many files are available per day?

Top of Book – 6 individual files are available daily (each file consists of one benchmark tenor)

Depth of Book – 6 individual files are available daily (each file consists of one benchmark tenor)

Full Order Book – 18 individual files are available daily (3 files per benchmark tenor)

How far back do you maintain these records?

Full Order Book data is available from July 2000 to present day.

Depth of Book and Top of Book data is available from July 2014 to present.

How many levels of depth are available?

Top of Book is the best bid and offer price (BBO) of a tenors order book.

Depth of Book is 5 levels deep for the bid and ask of a tenors order book.

Full Order Book is all bid and asks in a tenors order book

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

Yes, at times tenors have been temporarily discontinued and then reintroduced. These periods have been noted below:

YearEvent
2000

10-year note issuance was changed. Original issues (OI) were offered in February and August, and were later reopened in May and November.

2002May 2002: Discontinuance of regular re-openings of 5-year notes. Previously OI 5-year notes were issued May and November with re-openings in August and February. With this change, 5-year notes continued to be issued quarterly, but all as OIs.
2002August 2002: Discontinuance of regular re-openings of 10-year notes. Previously OI 10-year notes were issued February and August with re-openings in May and November. With this change, 10-year notes continued to be issued quarterly, but all as OIs.
2003February 2003: 3-year note reintroduced. These securities were offered with every quarterly refunding.
2003February 2003: Regular re-openings of 5-year notes reintroduced. Original issue auctions would take place every quarter and the re-openings would take place one month afterwards.
2003August 2003: 5-year notes began a monthly issuance cycle. All 5-year notes were issued mid-month as original issue securities.
2003August 2003: Intra-quarterly re-openings of the 10-year note introduced. Before this change, the 10-year note was being issued on a quarterly basis as an OI. After the change, 10-year notes were auctioned every quarter with a reopening of each security taking place one month after the original issue.
2006February 2006: 5-year note issuance moved from middle of the month to end of the month.
2007May 2007: 3-year note discontinued after May issuance.
2008November 2007: 3-year note reintroduced with issuance occurring on a monthly basis.
2008November 2008: A second reopening of the 10-year note was introduced. 10-year notes were issued as OIs every quarter with the each security being reopened the first time a month after the OI and a second reopening taking place two months after the OI issue.
2009February 2009: 7-year note reintroduced. First auction took place February 26, 2009.
 Nex/BrokerTec Delivery

When are these files delivered?

The files are delivered once per business day; at the close of every business day.

Top of Book and Depth of Book daily files are delivered around 6pm EST.

Full Order Book daily files are are delivered around 7pm EST.

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

 Nex/BrokerTec Interpretation

How large are these files?

Below you will find the average daily size of each dataset:

Top of Book – 2 to 5 MB per tenor, per day

Depth of Book – 2 to 5 MB per tenor, per day

Full Order Book – 2 to 10 MB per tenor, per day. 

What is the file structure for the Top of Book dataset?

Please see the below table to find the file structure for this dataset.

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Date

A

14/05/2018 19:32:51.501

dd/mm/yyyy hh:mm:ss.sss

Date of update

Currency

B

USD

USD

Currency

Description

C

10YR NOTE

2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE

Issue Tenor

Producer

D

US_500

US_500

BrokerTec Source

Record

E

10_YEAR

2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR

Instrument Name

Bid

F

98.92188

decimal

Bid Price

Ask

G

98.9375

decimal

Ask Price

Bid Yield %

H

3.001

decimal

Bid Yield in percent

Ask Yield

I

2.999

decimal

Ask Yield in percent

Maturity Date

J

15-May-28

dd-mmm-yy

Date of Maturity

Coupon

K

2.875

decimal

Interest

Last Trade Price

L

98.9375

decimal

Traded Price

Last Trade Size mm

M

7

int64

Quantity of last trade in millions

Mid Yield %

N

2.999

decimal

Mid Yield in percent

Bid Size mm

O

2

int64

Quantity of Bid in millions






Ask Size mm

P

2

int64

Quantity of Ask in millions

Duration

Q

8.529709

decimal

Avg time cash flows are received

Total Volume mm

R

7

int64

Cumulative Volume in millions

Dollar Flow

S

-8

int64

Trade Size relevant to Trade Price being greater than or equal to the previous trade price

Close

T

98.890625

decimal

Closing price for the trading day

High

U

98.9375

decimal

Highest price for the trading day

Low

V

98.9375

decimal

Lowest price for the trading day

Open

W

98.375

decimal

First price for the day


What is the file structure for the Depth of Book dataset?

Please see the below table to find the file structure for this dataset.

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Date

A

14/05/2018 19:32:51.501

dd/mm/yyyy hh:mm:ss.sss

Date of update

Currency

B

USD

USD

Currency

Description

C

10YR NOTE

2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE

Issue Tenor

Producer

D

US_500

US_500

BrokerTec Source

Record

E

10_YEAR

2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR

Instrument Name

Bid

F

98.92188

decimal

Bid Price

Ask

G

98.9375

decimal

Ask Price

Bid Yield %

H

3.001

decimal

Bid Yield in percent

Ask Yield

I

2.999

decimal

Ask Yield in percent

Maturity Date

J

15-May-28

dd-mmm-yy

Date of Maturity

Coupon

K

2.875

decimal

Interest

Last Trade Price

L

98.9375

decimal

Traded Price

Last Trade Size mm

M

7

int64

Quantity of last trade in millions

Mid Yield %

N

2.999

decimal

Mid Yield in percent

Bid Size mm

O

2

int64

Quantity of Bid in millions

Ask Size mm

P

2

int64

Quantity of Ask in millions

Duration

Q

8.529709

decimal

Avg time cash flows are received

Total Volume mm

R

7

int64

Cumulative Volume in millions

Dollar Flow

S

-8

int64

Trade Size relevant to Trade Price being greater than or equal to the previous trade price

Close

T

98.890625

decimal

Closing price for the trading day

High

U

98.9375

decimal

Highest price for the trading day

Low

V

98.9375

decimal

Lowest price for the trading day

Open

W

98.375

decimal

First price for the day

VWAP

X

98.9375

decimal

Volume Weighted Average Price

VWAY %

Y

2.99879

decimal

Volume Weighted Average Yield

Best Ask Size1

Z

2

int64

Quantity of Shares at top level offer price

Best Ask Size2

AA

11

int64

Quantity of Shares at level 2 offer price

Best Ask Size3

AB

7

int64

Quantity of Shares at level 3 offer price

Best Ask Size4

AC

6

int64

Quantity of Shares at level 4 offer price

Best Ask Size5

AD

4

int64

Quantity of Shares at level 5 offer price

Best Ask 1

AE

98.9375

decimal

Top/Best Offer price

Best Ask2

AF

98.953125

decimal

Level 2 Offer price

Best Ask3

AG

98.96875

decimal

Level 3 Offer price

Best Ask4

AH

98.984375

decimal

Level 4 Offer price

Best Ask5

AI

99

decimal

Level 5 Offer price

Best Bid Size1

AJ

2

int64

Quantity of Shares at top level bid price

Best Bid Size2

AK

14

int64

Quantity of Shares at level 2 bid price

Best Bid Size3

AL

5

int64

Quantity of Shares at level 3 bid price

Best Bid Size4

AM

6

int64

Quantity of Shares at level 4 bid price

Best Bid Size5

AN

6

int64

Quantity of Shares at level 5 bid price

Best Bid1

AO

98.921875

decimal

Top/Best Bid price

Best Bid2

AP

98.90625

decimal

Level 2 Bid price

Best Bid3

AQ

98.890625

decimal

Level 3 Bid price

Best Bid4

AR

98.875

decimal

Level 4 Bid price

Best Bid5

AS

98.859375

decimal

Level 5 Bid price


What is the file structure for the Full Order dataset?

Please see the below table to find the file structure for this dataset.

TRADE

Timestamp

hh:mm:ss.nnnnnn yyyymmdd

RecordType

TRADE, OB_CHANGE, WORKUP

InstrumentName

Name of security

Premium

Price in OM format (256th's for treasury actives)

Quantity

Notional amount traded (in millions)

DealSource

*

Aggressive

1=yes, 0=no

BidAsk

B=Bid, A=Ask

OrderNumber

OM formatted order number

OB_CHANGE

Timestamp

hh:mm:ss.nnnnnn yyyymmdd

RecordType

TRADE, OB_CHANGE, WORKUP

InstrumentName

Name of security

Cusip

Cusip for security

ObPosition

Position in the order book

QuantityDiff

Quantity to be applied, positive or negative

ObCommand

ADD, DELETE, ALTER

ChangeReason

**

OrderNumber

OM formatted order number

Premium

Price in OM format (256th's for treasury actives)

Quantity

Notional amount shown (in millions)

BidAsk

B=Bid, A=Ask




TotalVolume

The value in this field will be zero if the order was entered without the ability to hide any size. It will display the same amount in the Quantity field if the order is entered with the potential to hide size.

DisplayQuantity (Not applicable)

Zeroed out

WORKUP

Timestamp

hh:mm:ss.nnnnnn yyyymmdd

RecordType

TRADE, OB_CHANGE, WORKUP

InstrumentName

Name of security

Cusip

Cusip for security

Premium

Price in OM format (256th's for treasury actives)

WorkupState

0=workup finished, 10=private phase, 11=public phase

WorkupReason

1=changed normally, 2=changed erroneously, 4=trade-thru

AggressiveOrderNumber

OM formatted order number for the aggressive side

AggressiveBidAsk

1=Bid, 2=Ask

PassiveOrderNumber

OM formatted order number for the passive side

PassiveBidAsk

1=Bid, 2=Ask

*Deal Source

1

outright

8

swap front leg

9

internal outright

10

internal swap front leg

17

swap front leg

19

swap reference leg

20

swap reference leg

** Change Reason

1

the order is deleted

2

the order is stopped

3

the order is matched

4

the order is inactivated

5

the order is altered

6

the order is added

7

N/A

8

N/A

9

deleted by system if the order is deleted by central system

10

deleted by proxy if the order is deleted by proxy transaction

11

order premium recalculated by system

12

stop order activated

13

hidden volume order recalculated

14

deleted by system, locally inactivated

16

passive order converted to aggressive due to locked market

43

Order deleted because trader is not allowed to trade with himself

45

Order deleted by system due to credit limits


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