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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.    


Dates Available

GovPX historical data is available starting January 2, 2009 to present*. 

*History start dates may vary depending on discontinued or reopened issues.  

By Dataset


Dataset

Category

Start Date

End Date
GovPX EOD

US Treasury Bills, Notes & Bonds - 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 30Y

1/02/2009

Present
GovPX EODUS TIPS1/02/2009Present
GovPX EODUS Treasury 7 Year Note2/26/2009Present
GovPX EODUS Treasury FRNs01/24/2014Present
GovPX EODUS Treasury Bill- 2M10/16/2018Present



Sample Files


DatasetSample File
GovPX EOD- US Treasuries4/25/2019







FAQ

 GovPX End-of-Day Format

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.

 GovPX End-of-Day Availability

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:

NEXGOVPXEOD_1500_YYYYMMDD.csv

NEXGOVPXEOD_1600_YYYYMMDD.csv

NEXGOVPXEOD_1700_YYYYMMDD.csv

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Files will not be published on US holidays.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:

YearEvent
2009February 2009: 7-year note reintroduced. First auction took place February 26, 2009.
2011March 30, 2011: 30-year data missing 12:30 – 5:55pm NYT. 
2012July 19, 2012: no data available
 GovPX Delivery

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.

 GovPX Interpretation

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.


FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Timestamp

A

2019-04-15T15:00:00-04:00

yyyy-mm-dd hh:mm:ss

Time & Date of update

Producer

B

US_GOVPXEOD

US_GOVPXEOD

GovPX EOD Source

Record

C

912810ED6=3PM

CUSIP Based records; =3PM, =4PM, =5PM indicates GovPX EOD 3pm, 4pm, 5pm snaptime

Instrument Name

AskPrice

D

101.921875

decimal

Ask Price

BidPrice

E

101.8984375

decimal

Bid Price

CashAskPrice

F

99.67673611

decimal

Cash Ask Price - available for Bills 

CashBidPrice

G

99.675375

decimal

Cash Bid Price - available for Bills 

CashMidPrice

H

99.9416875

decimal

Cash Mid Price - available for Bills

CUSIP

I

912810EE4

alphanumeric

Security Identifier

High

J

101.9296875

decimal

Highest price for the trading day

IndicativeBidYield

K

2.373

decimal

Indicative Bid Yield

Low

L

101.875

decimal

Lowest price for the trading day

MaturityDate

M

20190815

yyyymmdd

Date of Maturity

Mid

N

101.9101563

decimal

Mid Price

MidSnapChg

O

-0.03125

decimal

Mid price change on day from previous day

MidYield

P

2.3715

decimal

Mid Yield in percent

MidYieldSnapChg

Q

-0.003

decimal

Mid yield change on day from previous day

Open

R

101.875

decimal

First price for the day

SettlementDate

S

20190416

yyyymmdd

Settlement Date

TreasuryType

T

150

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. 

Security Type




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