EBS Ultra data is reflective of the EBS Live Ultra streaming near real-time trade feed of Spot FX & NDF prices sourced from the primary market central limit order book – EBS Market, with near continuous order book and trade data information. EBS Live Ultra is unscreened market data providing traders with a more contiguous order book with enhanced price discovery and a greater number of matching opportunities.

Historical data available for EBS Ultra:

  • EBS Ultra Spot FX
  • EBS Ultra NDF OFF SEF
  • EBS Ultra NDF ON SEF



Dates Available

Available dates for historical data for EBS Ultra are as follows:

  • NDF ON SEF: March 22, 2018
  • NDF OFF SEF: March 22, 2018
  • Spot FX: January 17, 2017

FAQ

What format is the file delivered in?

Data is provided in Binary – SBE (Simple Binary Encoding) format.

Are files compressed?

Yes, the files are compressed into zip files.

How is this data calculated?

Data is calculated using real time quote submission and trades from the matching engines.

How many files are available per day?

EBS Ultra Spot FX:

  • Prior to the Globex Migration on May 16, 2022 – 1 file
  • After May 16, 2022 – 2 files; 1 file represents the NY Matching Engine on CME Globex channel 528 and 1 file represents the London Matching Engine on CME Globex channel 529

EBS Ultra NDF:

  • 1 file for NDF ON-SEF and 1 file for NDF OFF-SEF

What datasets are available via DataMine?

EBS Ultra-Binary files for EBS Spot FX, NDF ON SEF and NDF OFF SEF. 

How far back do you maintain these dataset records?

Spot FX – 17 January 2017

NDF OFF SEF – 22 March 2018

NDF ON SEF – 22 March 2018

Do you have sample files available?

Yes, please contact cmedatasales@cmegroup.com to request sample files.

Are there any dates missing for EBS Ultra Spot FX or NDF historical data?

No

What currency pairs are available for Ultra EBS Spot FX?

SPOT FX
EUR/USDGBP/AUDEUR/NOK
USD/JPYGBP/CADEUR/PLN
USD/CHFGBP/CHFEUR/RON
EUR/CHFGBP/CNHEUR/RUB
EUR/JPYGBP/JPYEUR/SEK
AUD/CADGBP/NZDNOK/SEK
AUD/CHFGBP/USD

USD/DKK

AUD/CNHNZD/CAD

USD/HKD

AUD/JPYNZD/JPY

USD/KZT

AUD/NZD

NZD/USD

USD/NOK

AUD/USD

SGD/CNH

USD/PLN

CAD/CHF

USD/CAD

USD/RUB

CAD/JPY

USD/ILS

USD/SEK

CHF/JPY

USD/MXN

USD/SGD

CNH/JPY

USD/CNH

USD/THB

EUR/AUD

EUR/CNH

USD/TRY

EUR/CAD

EUR/CZK

USD/ZAR

EUR/GBP

EUR/DKK


EUR/NZD

EUR/HUF


PRECIOUS METALS
DescriptionSymbol

Palladium (loco London)

XPD/USD LN

Platinum (loco London)

XPT/USD LN

Palladium (loco Zurich)

XPD/USD

Platinum (loco Zurich)

XPT/USD

Silver

XAG/USD

Small Silver

XAG/USD SM

Small Gold

XAU/EUR SM

Small Gold

XAU/USD SM

What currencies are available for Ultra EBS NDFs?

ON SEF
ARS 1M SEF

US Dollar/Argentine Peso NDF 1 Month ON SEF

BRL 1M SEF

US Dollar/Brazilian Real NDF 1 Month ON SEF

CLP 1M SEF

US Dollar/Chilean Peso NDF 1 Month ON SEF

CNY 1M SEF

US Dollar/Chinese Yuan NDF 1 Month ON SEF

COP 1M SEF

US Dollar/Columbian Peso NDF 1 Month ON SEF

EGP 1M SEF

US Dollar/Egyptian Pound NDF 1 Month ON SEF

EGP 2M SEF

US Dollar/Egyptian Pound NDF 2 Month ON SEF

EGP 3M SEF

US Dollar/Egyptian Pound NDF 3 Month ON SEF

GHS 1M SEF

US Dollar/Ghana Cedi NDF 1 Month ON SEF

IDR 1M SEF

US Dollar/Indonesian Rupiah NDF 1 Month ON SEF

INR 1M SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

KES 1M SEF

US Dollar/Kenyan Shilling NDF 1 Month ON SEF

KRW 1M SEF

US Dollar/South Korean Won NDF 1 Month ON SEF

MYR 1M SEF

US Dollar/Malaysian Ringgit NDF 1 Month ON SEF

NGN 1M SEF

US Dollar/Nigerian Naira NDF 1 Month ON SEF

PEN 1M SEF

US Dollar/Peruvian Nuevo Sol NDF 1 Month ON SEF

PHP 1M SEF

US Dollar/Philippine Peso NDF 1 Month ON SEF

RUB 1M SEF

US Dollar/Russian Ruble NDF 1 Month ON SEF

TRY 1M SEF

US Dollar/Turkish Lira NDF 1 Month ON SEF

TWD 1M SEF

US Dollar/New Taiwan Dollar NDF 1 Month ON SEF

VND 1M SEF

US Dollar/Vietnamese Dong NDF 1 Month ON SEF

ZMW 1M SEF

US Dollar/Zambian Kwacha NDF 1 Month ON SEF

BRL EOM JAN SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM FEB SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM MAR SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM APR SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM MAY SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM JUN SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM JUL SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM AUG SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM SEP SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM OCT SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM NOV SEF

US Dollar/Brazilian Real NDF EOM ON SEF

BRL EOM DEC SEF

US Dollar/Brazilian Real NDF EOM ON SEF

INR EOM JAN SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM FEB SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM MAR SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM APR SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM MAY SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM JUN SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM JUL SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM AUG SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM SEP SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM OCT SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM NOV SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

INR EOM DEC SEF

US Dollar/Indian Rupee NDF 1 Month ON SEF

OFF SEF

ARS 1M

US Dollar/Argentine Peso NDF 1 Month OFF SEF

BRL 1M

US Dollar/Brazilian Real NDF 1 Month OFF SEF

CLP 1M

US Dollar/Chilean Peso NDF 1 Month OFF SEF

CNY 1M

US Dollar/Yuan NDF 1 Month OFF SEF

COP 1M

US Dollar/Columbian Peso NDF 1 Month OFF SEF

EGP 1M

US Dollar/Egyptian Pound NDF 1 Month OFF SEF

EGP 2M

US Dollar/Egyptian Pound NDF 2 Month OFF SEF

EGP 3M

US Dollar/Egyptian Pound NDF 3 Month OFF SEF

GHS 1M

US Dollar/Ghana Cedi NDF 1 Month OFF SEF

IDR 1M

US Dollar/Indonesian Rupiah NDF 1 Month OFF SEF

INR 1M

US Dollar/Indian Rupee NDF 1 Month OFF SEF

KES 1M

US Dollar/Kenyan Shilling NDF 1 Month OFF SEF

KRW 1M

US Dollar/South Korean Won NDF 1 Month OFF SEF

MYR 1M

US Dollar/Malaysian Ringgit NDF 1 Month OFF SEF

NGN 1M

US Dollar/Nigerian Naira NDF 1 Month OFF SEF

PEN 1M

US Dollar/Peruvian Nuevo Sol NDF 1 Month OFF SEF

PHP 1M

US Dollar/Philippine Peso NDF 1 Month OFF SEF

RUB 1M

US Dollar/Russian Ruble NDF 1 Month OFF SEF

TRY 1M

US Dollar/Turkish Lira NDF 1 Month OFF SEF

TWD 1M

US Dollar/New Taiwan Dollar NDF 1 Month OFF SEF

VND 1M

US Dollar/Vietnamese Dong NDF 1 Month OFF SEF

ZMW 1M

US Dollar/Zambian Kwacha NDF 1 Month OFF SEF

INR EOM JAN

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM FEB

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM MAR

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM APR

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM MAY

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM JUN

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM JUL

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM AUG

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM SEP

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM OCT

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM NOV

US Dollar/Indian Rupee NDF 1 Month OFF SEF

INR EOM DEC

US Dollar/Indian Rupee NDF 1 Month OFF SEF

What tenors are available for NDFs?

1M, 2M, 3M, EOM*

Note

*Please note, 2M, 3M, EOM tenors will only be available for certain currencies listed above and are not as liquid as the 1M tenor.

How often is data delivered?

Daily

When are these files delivered?

Sunday to Friday at approximately 7PM EST

Is there a certain process I must use to be able to use the data?

No, customers can receive the data in any of our delivery methods.

How large are the average daily files?

Ultra Spot Binary – 8mb (NY) and 34mb (London)

Ultra OFF SEF NDF Binary – 465 kb

Ultra ON SEF NDF Binary  - 15 kb

What is EBS Ultra-Binary?

EBS Ultra-Binary historical files are reflective of the high performance, lowest latency trade feed data for Spot FX and NDF, sourced from EBS’ central limit order book (CLOB). 

How is content in a dataset best described?

Order book and trade data at a 5ms interval for EBS Spot FX and 100ms for EBS NDF instruments.

For what is the data used?

Including but not limited to: Trading, External pricing, Aggregators, Data Analysis, External literatures.

What are the specification details for the EBS Ultra Binary data?

Below are details for CME SBE protocol for the Ultra Binary data as of May 16, 2022, when EBS Migrated to CME Globex:

  • Message Length: 2 bytes
  • Binary Packet header: 12 bytes
    • MsgSeqNum: 4 bytes
    • SendingTime: 8 bytes
  • Message Header: 10 bytes
    • MsgSize: 2 bytes
  • SBE Message Payload
    • SBE Header: 8 bytes
      • Block Length: 2 bytes
      • Template ID: 2 bytes
      • Schema ID: 2 bytes
      • Version: 2 bytes
    • SBE Message: MsgSize - 22 bytes

For detailed information regarding the specification of the Ultra Binary data from January 2017 – May 13, 2022 (prior to the CME Globex Migration that occurred May 16, 2022) please refer to this document:  EBS Ultra Binary specifications 

Are there any notable changes to the datasets?

Please note changes that were made to the datasets:

EBS ULTRA SPOT FX CHANGES- History Start: January 17, 2017

January 30, 2017

USD/MXN Price Increment Change

USD/MXN

Price increment changed from 5 pip 10 pip

January 30, 2017

Ultra Distribution Change - 5ms

All spot pairs

Distribution slot DS02 configured to publish spot updates every 5ms (down from 20ms).

February 13, 2017

USD/CNH now a Major

USD/CNH

USD/CNH classified as a "Major" pair on EBS Market, MQL of 50ms applied to AIs (in line with other major pairs).

July 21, 2017


Change to small metals' hi/lo criteria


xau/eur (SAU/EUR), xag/usd (SAG/USD)


xau/eur - required dealt amount now 1000oz

xag/usd - required dealt amount 25000oz and touch minimum dealt amount 5000oz

September 4, 2017

Change to min trade size of GBP/USD

GBP/USD

Price increment and minimum order/trade size changes for GBP/USD from 1 million to 500k

December 18, 2017

DSM alignment to DST

EBS Market all pairs

Transaction times for Maker and Taker tickets aligned to DST time, required for MiFID.

The following currencies are no longer available in the EBS Spot FX Ultra Files as of May 16, 2022:

USD/AED

EUR/ISK

USD/BRL

EUR/ZAR

USD/BHD

XAU/USD

USD/KWD

XAU/JPY

CNH/MXN

EUR/SKK

CNH/HKD

ZAR/JPY

USD/SAR

USD/MXC

CAD/CNH

USD/MXT


BKT/RUB

The table below shows changes to some of the Precious Metals symbols effective, May 16, 2022:             

PRECIOUS METALS
Description

Legacy Identifier (pre-migration)

New Identifier (post-migration)

Palladium (loco London)

LPD/USD

XPD/USD LN

Platinum (loco London)

LPT/USD

XPT/USD LN

Palladium (loco Zurich)

XPD/USD

No change

Platinum (loco Zurich)

XPT/USD

No change

Silver

XAG/USD

No change

Small Silver

SAG/USD

XAG/USD SM

Small Gold

 SAU/EUR

XAU/EUR SM

Small Gold

 SAU/USD

XAU/USD SM

EBS ULTRA NDF ON SEF & OFF SEF CHANGES - History Start: March 22, 2018

March 18, 2018Enablement of NDF market data on EBS UltraAll EBS Market NDF pairs across two channels - On and Off-SEF. Market data updates of Asian NDFs to 5 price levels; LATAM NDFs to 3 price levels.Off-SEF channel offer paid/give data (trade messages); on-SEF channel does not (only price level updates). Price updates at 100ms publication interval. 


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