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The Premium FX Feed delivers streaming FX spot and cross rates for a comprehensive list of currencies, providing a full view of the interdealer market.  The Premium FX Feed rates are sources from multiple global contributors, including CME’s EBS FX trading platform.  These rates reflect the activity of more than 2,500 traders on 800-plus trading floors.  The feed provides daily indicative bid/offer quotes on a 24 hour/weekday basis.  (Note that the update rate is liquidity dependent and consequently this will vary by individual currency).     


Dates Available

Premium FX historical data is available from February 1, 2009 to present.*

*Actual start for some currency pairs maybe after February 1,2009




Sample Files


DatasetSample File
FX Premium




FAQ

 FX Premium 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 FX Premium dataset has millisecond precision.

 FX Premium Availability

What tenors are available for purchase?

Below you will find the available Spot & Cross Currency pairs.

How many files are available per day?

One file is delivered per day and contains all the above currency pairs.

How far back do you maintain these records?

The files are available from February 1, 2009 to present. The history start dates may differ between currency pairs.

Will files be published on holidays?

Files are published on US holidays.

How many levels of depth are available?

The historical files provide daily indicative bid/offer quotes on a 24 hour/weekday basis.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

No anomalies are known at this time.


 FX Premium 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 6:35 PM GMT.

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.

 FX Premium Interpretation

How large are these files?

Average daily size of the FX Premium file is 30-60 MB (compressed) per day.

What is the file structure for the FX Premium dataset?

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

Field NameColumnExample ValueSupported ValueDescription
TimestampA2016-10-20T00:00:04.8T+01:00Yyyy-mm-ddThh:mm: ss.ss

Date and Time of Update

RecordB

AED.DKK.SPOT.SPR

Currency Pair, SPOT, Spot RateSecurity Description & Type
AskC1.8462DecimalAsk Price
BidD1.8444DecimalBid Price


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