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

NEX GovPX US Treasury Service offers comprehensive market data coverage across a wide range of US Treasury markets.  Historical price discovery is available for both on-the-run and off-the-run issues, including US Treasury Bills, Notes, Bonds, When Issued (WIs), FRNs, TIPS, STRIPS, Basis, Swap boxes and Agencies dating back as far as 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

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

1/02/2009

Present
GovPXUS TIPS1/02/2009Present
GovPXUS STRIPS1/02/2009Present
GovPXUS Government Agencies1/02/2009Present
GovPXUS Treasury 7 Year Note2/26/2009Present
GovPXUS Basis8/06/2010Present
GovPXUS Treasury Swap Boxes08/09/201Present
GovPXUS Treasury FRNs01/24/2014Present
GovPXUS Treasury Bill- 2M10/16/2018Present



Sample Files


DatasetSample File
GovPX- US Treasuries
GovPX- FRNs4/2/2019
GovPX- Agencies4/2/2019
GovPX- TIPS4/2/2019




FAQ

 GovPX 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 Availability

What tenors are available for purchase?

The full curve of US Treasury on-the-run, off-the-runs and WIs for Bills, Notes & Bonds are available, as well as TIPS (Treasury Inflation Protected Securities), STRIPS (Separate Trading of Registered Interest and Principle of Securities), Basis, SwapBoxes, FRNs & Agencies. 

How many files are available per day?

4 files are available per day. These files are listed below:

NEXGOVPX_UST_YYYYMMDD.csv

NEXGOVPX_FRN_YYYYMMDD.csv

NEXGOVPX_Agencies_YYYYMMDD.csv

NEXGOVPX_TIPS_YYYYMMDD.csv

How far back do you maintain these records?

January 1, 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Files will not be published on US holidays.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 once per business day; at the close of every business day. This is usually around 6 PM 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?

Average daily size of the GovPX file is 5-10 MB (compressed) per day.

What is the file structure for the GovPX dataset?

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

US Treasury File

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

TimestampA2019-03-20T09:08:32.461-04:00yyyy-mm-ddThh:mm:ss.sssDate & Time of update
ProducerUS_GOVPXUS_GOVPXGovPX US Treasury Source
RecordC10_YEAR1_MONTH, 2_MONTH, 3_MONTH, 6_MONTH, 1_YEAR, 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR, 1_MONTH_WI, 2_MONTH_WI, 3_MONTH_WI, 6_MONTH_WI, 1_YEAR_WI, 2_YEAR_WI, 3_YEAR_WI, 5_YEAR_WI, 7_YEAR_WI, 10_YEAR_WI, 30_YEAR_WI, 1MO_ROLL, 2MO_ROLL, 3MO_ROLL, 6MO_ROLL, 12M_ROLL, 2_YR_ROLL, 3_YR_ROLL, 5_YR_ROLL, 7_YR_ROLL, 10_YR_ROLL, 30_YR_ROLL.  (CUSIPs will be listed as records for most issues). Instrument Name
AskD100.1641decimal Ask Price
AskTypeE17numericInstrument Identifier
AskYieldF3.03decimal Ask Yield in percent 
BidG100.1016decimal Bid Price
BidTypeH16numeric
BidYieldI2.265decimal Bid Yield in percent
BidYieldChgJ9128286B1int64Security Identifier
CashAskPriceK100.1328decimal Cash Ask Price
CashBidPriceL  -0.03125decimal Cash Bid Price
CashMidPriceM100.0090779decimalMid Price of Cash Market
ChangeN2.613decimal Change
CouponO2.265decimalInterest
CUSIP P9128286B1alphanumericSecurity Identifier
DescriptionQ1MO_04/30alphanumericIssue Description
DollarFlowR-1804numeric Trade Size relevant to Trade Price being greater than or equal to the previous trade price. If the current trade price is greater than or equal to the previous trade price the current trade size is added to the Dollar Flow.  Otherwise, the current trade size is subtracted from the Dollar Flow.
HighS0.011decimal High price of the day
ICAPVOL T24309int64Total Market Volume
IndicativeAskPriceU100.1640625decimalIndicative Ask Price
IndicativeAskYieldV2.403decimal Indicative Ask Yield 
IndicativeBidPriceW100.1015625decimalIndicative Bid Price
IndicativeBidYieldX2.4decimalIndicative Bid Yield
IssueDateY20190215yyyymmddDate of Issuance
LastZ99.76563decimalLast Trade Price
LastHitorTakeAAHH; TLast Trade Price Hit or Take 
LastYieldAB2.36decimal Yield at last trade
Low AC99.89063decimalLowest price for the trading day
MaturityDateAD20290215yyyymmddDate of Maturity
MidAE100.1328decimalMid Price
MidChgAF-0.03125decimal Mid Price Change
MidSnapChgAG0.8817decimal Mid price change on day from previous day
MidYieldAH2.6095decimalMid Yield in percent
MidYldSnapChgAI0.011decimal Mid yield change on day from previous day
OpenAJ100.1563decimalFirst price of the day 
SettlementDateAK20190320yyyymmddSettlement Date
ShortDescriptionAL10Y1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 30Y, 1MW, 2MW, 3MW, 6MW, 1YW, 2YW, 3YW, 5YW, 7YW, 10YW, 30YW, I (STRIPS Interest), P (STRIPS Princpal); 5t, 10t, 20t, 30t (TIPS).Short Description Name 
TreasuryTypeAM151150 - 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).   Type of Treasury
VoiceAskPriceAN99.765625decimal Ask, when actual markets are available
VoiceAskSizeAO5int64Ask Size, when actual markets are available
VoiceAskYieldAP2.37decimal Ask Yield, when actual markets are available
VoiceBidPriceAQ99.76171875decimal Bid, when actual markets are available
VoiceBidSizeAR5int64Bid Size, when actual markets are available
VoiceBidYieldAS2.4decimal Bid Yield, when actual markets are available
VoiceTradeSizeAT5decimal Size of voice executed trade
VWAPAU99.76171875decimal VWAP for day
VWAP10AM-11AMAV99.76171875decimal VWAP for time period

VWAP11AM-12PM

AW

99.76171875

decimal 

VWAP for time period

VWAP12PM-1PMAX99.76171875decimal VWAP for time period
VWAP1PM-2PMAY99.76171875decimal VWAP for time period
VWAP2PM-3PMAZ99.76171875decimal VWAP for time period
VWAP3PM-4PMBA99.76171875decimal VWAP for time period
VWAP8AM-9AMBC99.76171875decimal VWAP for time period
VWAP9AM-10AMBD99.76171875decimal VWAP for time period
VWAYBE99.76171875decimal VWAY for day
VWAY10AM-11AMBF99.76171875decimal VWAY for time period
VWAY11AM-12PMBG99.76171875decimal VWAY for time period
VWAY12PM-1PMBH99.76171875decimal VWAY for time period
VWAY1PM-2PMBI99.76171875decimal VWAY for time period
VWAY2PM-3PMBJ -99.76171875decimal VWAY for time period
VWAY3PM-4PMBK99.76171875decimal VWAY for time period
VWAY8AM-9AMBL99.76171875decimal VWAY for time period


TIPS file

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

TimestampA2019-03-20T09:08:32.461-04:00yyyy-mm-ddThh:mm:ss.sssDate & Time of update
ProducerUS_GOVPXUS_GOVPXGovPX US Treasury Source
RecordC10_YEAR1_MONTH, 2_MONTH, 3_MONTH, 6_MONTH, 1_YEAR, 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR, 1_MONTH_WI, 2_MONTH_WI, 3_MONTH_WI, 6_MONTH_WI, 1_YEAR_WI, 2_YEAR_WI, 3_YEAR_WI, 5_YEAR_WI, 7_YEAR_WI, 10_YEAR_WI, 30_YEAR_WI, 1MO_ROLL, 2MO_ROLL, 3MO_ROLL, 6MO_ROLL, 12M_ROLL, 2_YR_ROLL, 3_YR_ROLL, 5_YR_ROLL, 7_YR_ROLL, 10_YR_ROLL, 30_YR_ROLL.  (CUSIPs will be listed as records for most issues). Instrument Name
AskD100.1641decimal Ask Price
AskYieldE3.03decimal Ask Yield in percent 
BidF100.1016decimal Bid Price
BidYieldG2.265decimal Bid Yield in percent
BidYieldChgH9128286B1int64Security Identifier
BidYieldChgI3int64
CouponJ2.265decimalInterest
CUSIP K9128286B1alphanumericSecurity Identifier
DescriptionL1MO_04/30alphanumericIssue Description
HighM0.011decimal High price of the day
ICAPVOL N24309int64Total Market Volume
IndicativeAskPriceO100.1640625decimalIndicative Ask Price
IndicativeAskYieldP2.403decimal Indicative Ask Yield 
IndicativeBidPriceQ100.1015625decimalIndicative Bid Price
IndicativeBidYieldR2.4decimalIndicative Bid Yield
IssueDateS20190215yyyymmddDate of Issuance
LastT99.76563decimalLast Trade Price
LastHitorTakeUHH; TLast Trade Price Hit or Take 
LastYieldV2.36decimal Yield at last trade
Low W99.89063decimalLowest price for the trading day
MaturityDateX20290215yyyymmddDate of Maturity
MidY100.1328decimalMid Price
MidChgZ-0.03125decimal Mid Price Change
MidSnapChgA0.8817decimal Mid price change on day from previous day
MidYieldAB2.6095decimalMid Yield in percent
MidYldSnapChgAC0.011decimal Mid yield change on day from previous day
OpenAD100.1563decimalFirst price of the day 
SettlementDateAE20190320yyyymmddSettlement Date
ShortDescriptionAF10Y1M, 2M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 30Y, 1MW, 2MW, 3MW, 6MW, 1YW, 2YW, 3YW, 5YW, 7YW, 10YW, 30YW, I (STRIPS Interest), P (STRIPS Princpal); 5t, 10t, 20t, 30t (TIPS).Short Description Name 
SpreadAG0numeric
TreasuryTypeAH161TIPSSecurity Type
VoiceAskPriceAI99.765625decimal Ask, when actual markets are available
VoiceAskSizeAJ5int64Ask Size, when actual markets are available
VoiceAskYieldAK2.37decimal Ask Yield, when actual markets are available
VoiceBidPriceAL99.76171875decimal Bid, when actual markets are available
VoiceBidSizeAM5int64Bid Size, when actual markets are available
VoiceBidYieldAN2.4decimal Bid Yield, when actual markets are available
VoiceTradeSizeAO5decimal Size of voice executed trade


FRN File

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

DateA2019-04-02T02:32:54.956-04:00dd/mm/yyyy hh:mm:ss.sssDate & Time of update
Producer BUS_FRNGPXUS_FRNGPXGovPX FRN Source
RecordC912828X54alphanumericInstrument Name
AskD0.5decimalAsk Price
AskYield E2.4298decimalAsk Yield
BidF2.4decimalBid Price
BidYieldG2.4decimalBid Yield
CashAskPriceH100.0107215decimalCash Ask Price
CashBidPriceI100.0074343decimalCash Bid Price
CashMidPriceJ100.0090779decimalCash Midpoint Price
CouponK0.06decimalInterest
CUSIPL9128282M1alphanumericSecurity Identifier
DescriptionMFRN 6.O 7/19alphanumericIssue Description
FirstCouponDateN20171031yyyymmddFirst Coupon Date
FRNIndexRateO2.39456427numericIndex Rate of FRN
HighP3.5numericHighest price for the trading day
IndicativeAskPriceQ3.5numericIndicative Ask Price
IndicativeAskYieldR2.4196numericIndicative Ask Yield
IndicativeBidPriceS2.5numericIndicative Bid Price
IssueDateU20170731yyyymmddDate of issuance
LastV17.5decimalLast Trade Price
LastHitorTakeWHH,TLast Traded price Hit or Take
LastYieldX2.6decimalLast Traded Yield
LowY1.25decimalLowest price for trading day
Maturity DateZ20190430yyyymmddMaturity Date
MidAA3numeric
MidSnapChgAB0.02decimalMid yield change on day from previous day
MidYield AC2.4523decimalMid yield   
MidYldSnapChgAD0.02decimalMid price change on day from previous day
ModifiedDurationAE.3248decimalDuration of modification
OpenAF3.5decimalOpen price
PriceDurationAG.3287decimalPrice Duration
SettlementDateAH20190403yyyymmddSettlement Date
Treasury TypeAI161FRNSecurity Type
VoiceAskPriceAJ.5decimalAsk, when actual markets are available
VoiceAskSizeAK5intAsk Size, when actual markets are available
VoiceAskYieldAL2.4473decimalAsk Yield, when actual markets are available
VoiceBidPriceAM2decimalBid, when actual markets are available
VoiceBidSizeAN10intBid Size, when actual markets are available
VoiceBidYieldAO2.4573decimalBid Yield, when actual markets are available
VoiceTradeSizeAP5int64Last Trade  Size, when actual markets are available
Issue DateW20170430yyyymmddDate of issuance
Last X17.5decimalLast Trade price
Last Hit or TakeYHH, TLast Traded price Hit or Take
Last YieldZ2.6decimalLast Traded yield
Voice Trade SizeAA5int64Last Trade  Size, when actual markets are available
Indicative Bid YieldAB2.4573decimalIndicative Bid Yield
Indicative Ask Yield AC2.4473decimalIndicative Ask Yield
Voice Bid Yield AD2.4573decimalBid Yield, when actual markets are available
Voice Ask YieldAE2.4473decimalAsk Yield, when actual markets are available
Indicative Bid Price AF2.25decimalIndicative Bid Price
Indicative Ask PriceAG3.25decimalIndicative Ask Price
Voice Ask PriceAH0.5decimalAsk, when actual markets are available
Voice Bid Price AI2decimalBid, when actual markets are available
Voice Ask SizeAJ5int64Ask Size, when actual markets are available
Voice Bid SizeAK10int64Bid Size, when actual markets are available


Agencies File

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

TimestampA2019-03-20T09:08:32.461-04:00yyyy-mm-ddThh:mm:ss.sssDate & Time of update
ProducerBUS_AGENCYPXUS_AGENCYPXGovPX Agency Source
RecordCAGENCY_ACTIVE03AGENCY_ACTIVE00, AGENCY_ACTIVE01, AGENCY_ACTIVE02, AGENCY_ACTIVE03; off-the-run issue records are CUSIP BasedInstrument name
AgencySwapSpdD-2.8decimalAgency Swap Spread 
AgencySwapSprdChgE1.5decimalAgency Swap Spread Change
AskF100.021decimalAsk Price
AskSpreadG6.5decimalAsk Spread
AskYieldH2.37decimalAsk Yield
AskYTMSpreadI1.5decimalAsk Yield To Maturity Spread
BidJ100.011decimalBid Price
BidSpreadK9.5decimalBid Spread
BidYieldL2.4decimalBid Yield
BidYTMSpreadM3decimalBid Yield To Maturity Spread
ChangeN-1.8decimalChange in price
CouponO2.5decimalInterest
CUSIPP3137EAEM7alphanumericSecurity identifier
Description QMC2.500_04/20_2YalphanumericShort Description - Agency, coupon, maturity date, tenor
IndicativeAskYieldQ2.435decimalIndicative Ask Yield
IndicativeAskSpdR7.5decimalIndicative Bid Size
IndicativeBidYieldS2.465decimalIndicative Bid Yield
IndicativeBidSpdT7.5decimalIndicative Bid Size
IndicativeBidYieldU4.5decimalIndicative Ask Yield
Maturity DateV20200423yyyymmddMaturity Date


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