This page describes the types of NEX GovPX End-of-Day data available from CME DataMine.
NEX GovPX End-of-Day Service offers industry standard pricing information for active and off-the-run US Treasury issues at 3PM, 4PM & 5PM EST. The GovPX End-of-Day historical market data offers the highest quality of Treasury data for Bills, Notes, Bonds, TIPS and FRNs, going back to 2009.
GovPX historical data is available starting January 2, 2009 to present*.
*History start dates may vary depending on discontinued or reopened issues.
US Treasury Bills, Notes & Bonds - 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 30Y
|GovPX EOD||US TIPS||1/02/2009||Present|
|GovPX EOD||US Treasury 7 Year Note||2/26/2009||Present|
|GovPX EOD||US Treasury FRNs||01/24/2014||Present|
|GovPX EOD||US Treasury Bill- 2M||10/16/2018||Present|
What format is the file delivered in?
Data is provided in .csv format (comma separated values).
Are files compressed?
Yes, the files are compressed into zip files.
What is the precision level for timestamping for these datasets?
The GovPX dataset has millisecond precision.
What tenors are available for purchase?
The full curve of US Treasury on-the-run and off-the-runs for Bills, Notes & Bonds are available (1M-30Y), as well as TIPS (Treasury Inflation Protected Securities), and FRNs.
How many files are available per day?
3 files are available per day. These files are listed below:
How far back do you maintain these records?
January 2, 2009 to present. History start dates may differ for newer datasets & individual securities.
Will files be published on holidays?
Files will not be published on US holidays.
How many levels of depth are available?
The historical data consists of indicative Top of Book levels (1 level) – exhibiting Best Bid & Best Ask prices.
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:
|2009||February 2009: 7-year note reintroduced. First auction took place February 26, 2009.|
|2011||March 30, 2011: 30-year data missing 12:30 – 5:55pm NYT.|
|2012||July 19, 2012: no data available|
When are these files delivered?
The files are delivered three times per business day, around 3:30pm, 4:30pm & 5:30pm 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?
The average daily files of each GovPX End-of-Day file is approximately: 70KB per day.
What is the file structure for the GovPX dataset?
Please see the below table to find the file structure for this dataset.
Time & Date of update
GovPX EOD Source
CUSIP Based records; =3PM, =4PM, =5PM indicates GovPX EOD 3pm, 4pm, 5pm snaptime
Cash Ask Price - available for Bills
Cash Bid Price - available for Bills
Cash Mid Price - available for Bills
Highest price for the trading day
Indicative Bid Yield
Lowest price for the trading day
Date of Maturity
Mid price change on day from previous day
Mid Yield in percent
Mid yield change on day from previous day
First price for the day
150 - off-the-runs notes & bonds; 151- active notes & bonds; 152 - off-the-run bills; 153 - active bills, 154 - WI notes & bonds; 157 - TIPS (Treasury Inflation-Protected Securities); 161 - FRNs.