This page describes the types of BrokerTec data available from CME DataMine.
BrokerTec facilitates the majority share of daily US Treasury electronic trading volumes, allowing access to the most liquid and comprehensive US Treasury data. BrokerTec data is available for six different maturities (2-yr, 3-yr, 5-yr, 7-yr, 10-yr, 20-yr, 30-yr) in three different formats ( Top of Book, Depth of Book, and Full Order Book).
Contents
- Block Trades
- End of Day
- Eris PAI Dataset
- Market Depth
- MBO FIX
- BrokerTec Historical Data
- Time and Sales
- Top of Book - BBO
- Volume and Open Interest
- Order Book AI
- STL INT Settlements
- GovPX Historical Data
- Packet Capture Dataset
- GovPX End of Day Historical Data
- BrokerTec European Repo Historical Data
- Premium FX Feed Historical Data
- SOFR Strip Rates
- CME Liquidity Tool Datasets
- EBS Historical Data
- Registrar
- Collateral Eligibility Lists
- Term SOFR
- CME Group Volatility Indexes - CVOL
- CME Group Petroleum Index
- RepoFunds Rate (RFR) USD
- AIR Futures
- FX Options Vol Converter
- OTC IRS Curves
Dates Available
Full Order Book data is available from July 2000 to present day. Depth of Book and Top of Book data is available from December 2014 to present.
By Dataset
Dataset | Tenor | Start Date | End Date |
---|---|---|---|
Full Order Book | 2 Year | 6/29/2000 | Present |
Full Order Book | 3 Year | 5/7/2003 | Present |
Full Order Book | 5 Year | 6/29/2000 | Present |
Full Order Book | 7 Year | 3/2/2009 | Present |
Full Order Book | 10 Year | 6/29/2000 | Present |
Full Order Book | 20 Year | 5/21/2020 | Present |
Full Order Book | 30 Year | 6/29/2000 | Present |
Depth of Book | 2yr, 3yr, 5yr, 7yr, 10yr, 30yr | 12/1/2014 | Present |
Depth of Book | 20 year | 5/21/2020 | Present |
Top of Book | 2yr, 3yr, 5yr, 7yr, 10yr, 30yr | 12/1/2014 | Present |
Top of Book | 20 year | 5/21/2020 | Present |
Sample Files
Dataset | Sample File |
---|---|
Full Order Book- Work UP (Pre-February 1, 2021) | 2 Year- 1/8/2018 |
Full Order Book- Orders | 2 Year- 1/8/2018 |
Full Order Book- Trades | 2 Year- 1/8/2018 |
Full Order Book- Orders | 5 Year- 5/4/2021 |
Full Order Book- Trades | 5 Year- 5/4/2021 |
Depth of Book | 2 Year- 1/8/2018 |
Top of Book | 2 Year- 1/8/2018 |
*Please note there are 2 files per day included in the Full Order Book dataset. These are the Trades file, and Orders file.