Page tree
Skip to end of metadata
Go to start of metadata

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

EBS is our award winning Foreign Exchange electronic trading platform that has long been considered the primary source of reliable transactional spot FX market data, providing a true view of the spot FX market - not merely an indication of it. The EBS Spot FX historical data consists of value-add tick data including quote and dealt volumes.        


Dates Available

EBS Spot FX, EBS FX Level 1 & Level 2 historical data is available

By Dataset



Dataset

Start Date

End Date
Tick

11/5/2019

Present
Level 111/5/2019Present
Level 211/5/2019Present



Sample Files


The files are large, you will need to contact MarketTechSales@cmegroup.com to obtain a file.




FAQ

What is included in EBS Spot FX Tick historical data?

EBS Spot FX Tick History includes on Trading Days’ worth of Tick Data for the EBS Spot FX Market.  It contains current trading day Best Bid and Offer as well as Dealt Rates. The data is available in one-second time-slice intervals.

What is included in EBS Spot FX Level 1 historical data?

EBS FX Level 1 historical data includes tick data for the EBS Spot FX Market.  It contains the Top of the Order Book – Best Bid and Best Offer information including Quote and Dealt Volumes. Level 1 history is created on a time-slice basis and includes a Price Record and Deal Record.  The Price Record lists the EBS Market Best Prices at the end of a time-slice and the Deal Records lists the highest paid and the lowest given deal prices during the time-slice period.  The data is available in one-second time-slice intervals.

What is included in EBS Spot FX Level 2 historical data?

EBS FX Level 2 historical data includes tick data for the EBS Spot FX Market.  It contains Bid & Offer information including Quote and Dealt Volumes for the full Depth of the Order Book (up to ten price levels) with volume.  Level 2 history is created on a time-slice basis and includes a Price Record and a Deal Record.  The Price Record lists the EBS Market order book at the end of a time-slice, and the Deal Record lists the highest paid and lowest given prices during the period of a time-slice. 

  • Various Time-slice intervals available, depending on history start date:
    • As of September 2009: 100 millisecond time-slice
    • As of January 2008: 250 millisecond time-slice
    • Prior to January 2008: one-second time-slice

What format is the file delivered in?

Data is provided in .csv format (comma separated values) for the all data files available.

Are files compressed?

Yes, the files are compressed into zip files.

What is the precision level for timestamping for these datasets?

The Tick and Level 1 data is report in one-second time intervals.

The Level 2 data is reported in different intervals depending on the time.  These can be seen below:

  • As of September 2009: 100 millisecond time-slice
  • As of January 2008: 250 millisecond time-slice
  • Prior to January 2008: one-second time-slice

Do Tick, Level 1 and Level 2 all come from the same source?

Yes, all three feeds are created from the same source.

What tenors are available for purchase?

Please see the below table for available spot and cross currency pairs.

How many files are available per day?

Three files are available per day.  They will be made available after 5:30pm EST.

How far back do you maintain these records?

Tick data is available from July 2000 to present day.

Level 1 data is available from July 2014 to present.

Level 1 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, the files are large, you will need to contact MarketTechSales@cmegroup.com to obtain a file.

Are there any anomalies in the the data?

There are no known anomolies.


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.

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 EBS Spot FX Tick 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

2019/09/01

YYY/MM/DD

Date of Update

Time

B

10:00:05.122

HH:MM:SS:.sss

Time of Update

Currency Pair

C

USD/JPY

Currency Pair

First ccy= base ccy; Second ccy= local ccy

Event Type

D

Q; D

Alpha

Q=Price/Quote; D=Deal

BidPrc

E

110.765

Numeric

Floating point bid price

OfferPrc

F

110.775

Numeric

Floating point offer price

Side

G

G; P

Alpha

G=Given; P=Paid

Last Trade

H

110.775

Numeric

Floating point deal price


What is the file structure for the EBS Spot FX Level 1 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

09/01/19

MM/DD/YY

Calendar date for the event

Time

B

10:00:05

HH:MM:SS

Time of Update in GMT 24-hour format

Currency Pair

C

USD/JPY

Currency Pair

First ccy= base ccy; Second ccy= local ccy

Event Type

D

Q; D

Alpha

Q=Price/Quote; D=Deal

BidPrc

E

110.765

Numeric

Floating point bid price (for price); floating point given price (for deal)

OfferPrc

F

110.775

Numeric

Floating point offer price (for price); floating point paid price (for deal)

BidSz

G

5000000

Numeric

Bid size (for price); Deal size (for gives)

OfferSz

H

4000000

Numeric

Offer size (for price); Deal size (for paids)


What is the file structure for the EBS Spot FX Level 2 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

2019/09/01

YYYY/MM/DD

Calendar date for the event

Time

B

10:00:05.012

HH:MM:SS.sss

Time of Update in GMT 24-hour format

Currency Pair

C

EUR/USD

Currency Pair

First ccy= base ccy; Second ccy= local ccy

Event Type

D

Q; D

Alpha

Q=Price/Quote; D=Deal

Gender/Side

E

0;1

Numeric

Q Records: 0=Bid; 1=Offer.  D Records: 0=Given; 1=Paid

Distance

F

1; 2; 3; 4; 5; 6; 7; 8; 9; 10

Numeric

Price rank where 1 represents that this is the best price, 2 is the 2nd best, etc.  For D records, this will be blank

Price

G

1.36121

Numeric

Floating point price

Amount

H

9000000

Numeric

Amount of trade at this price

Quote Count

I

2

Numeric

Number of quotes for price and amount by floor trading sessions.  For deals – number of counterparties involved for paid/given.

Total Amount

J

4

Numeric

Only reported for deals (D Records) Total amount of trades, either buys or sells during the time-slice intervals.  (available from November 2011). 


[Top]