Frequently Asked Questions: BrokerTec U.S. Treasury Historical Data

What is BrokerTec?

BrokerTec is the industry-leading anonymous dealer-to-dealer electronic trading platform for fixed income markets, providing innovative technology solutions across a wide range of products to customers in more than 50 countries around the world.

The BrokerTec platform facilitates the majority share of daily U.S. Treasury electronic trading volumes, giving traders the opportunity to participate in a highly liquid and anonymous trading environment.   

What type of institutions trade on the BrokerTec Platform?

BrokerTec is an anonymous, wholesale trading platform for dealers, banks, HFT firms, proprietary trading firms and hedge funds.

What tenors are available for purchase?

2-year, 3-year, 5-year, 7-year, 10-year and 30-year U.S. Treasury tenors are available.

How many files are available per day?

Top of Book – six individual files are available daily (each file consists of one benchmark tenor)

Depth of Book – six individual files are available daily (each file consists of one benchmark tenor)

Full Order Book – 18 individual files are available daily (three files per benchmark tenor)

What is the precision level for timestamping for these datasets?

The Top of Book and Depth of Book datasets have millisecond precision.

The Full Order Book dataset has microsecond precision.

What is the file format of the BrokerTec historical data?

Data is provided in .csv format (comma separated values) for the Top of Book, Depth of Book and Full Order Book files.

When are these files delivered?

The files are delivered once per business day; at the close of every business day.

Top of Book and Depth of Book daily files are delivered around 6pm EST.

Full Order Book daily files are are delivered around 7pm EST.

What is the average daily file size?

Top of Book – file size average between 2 to 5 MB per tenor, per day.

Depth of Book – file size average between 2 to 5 MB per tenor, per day.

Full Order Book – file size average between 2 to 10 MB per tenor, per day.

Are files compressed?

Yes, the files are compressed into zip files.

Does Full Order Book come from the same source as Top of Book and Depth of Book?

Full Order Book is an extract directly from the BTEC Platform.

Top of Book and Depth of Book is an output from the Market Data feed.

How many levels of depth are available?

Top of Book is the best bid and offer price (BBO) of a tenors order book.

Depth of Book is 5 levels deep for the bid and ask of a tenors order book.

Full Order Book is all bid and asks in a tenors order book.

Are sample files available?

Yes, they are available.  Please see the below table.

Dataset Sample File
Depth of Book 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- Work UP 2 Year- 1/8/2018
Top of Book 2 Year- 1/8/2018

* Please note there are three files per day included in the Full Order Book dataset.  These are the Work Up file, Trades file, and Orders file.

How far back do you maintain these records?

Dataset

Tenor

Start Date

End Date

Full Order Book

2 Year

6/29/00

Present

Full Order Book

3 Year

5/7/03

Present

Full Order Book

5 Year

6/29/00

Present

Full Order Book

7 Year

3/2/09

Present

Full Order Book

10 Year

6/29/00

Present

Full Order Book

30 Year

6/29/00

Present

Depth of Book

All Tenors

12/1/2014

Present

Top of Book

All Tenors

12/1/2014

Present

Are there any anomalies in the data?

Yes, at times tenors have been temporarily discontinued and then reintroduced. These periods have been noted below:

Year Event
2000 10-year note issuance was changed. Original issues (OI) were offered in February and August, and were later reopened in May and November.
2002 May 2002: Discontinuance of regular re-openings of 5-year notes. Previously OI 5-year notes were issued May and November with re-openings in August and February. With this change, 5-year notes continued to be issued quarterly, but all as OIs.
2002 August 2002: Discontinuance of regular re-openings of 10-year notes. Previously OI 10-year notes were issued February and August with re-openings in May and November. With this change, 10-year notes continued to be issued quarterly, but all as OIs.
2003 February 2003: 3-year note reintroduced. These securities were offered with every quarterly refunding.
2003 February 2003: Regular re-openings of 5-year notes reintroduced. Original issue auctions would take place every quarter and the re-openings would take place one month afterwards.
2003 August 2003: 5-year notes began a monthly issuance cycle. All 5-year notes were issued mid-month as original issue securities.
2003 August 2003: Intra-quarterly re-openings of the 10-year note introduced. Before this change, the 10-year note was being issued on a quarterly basis as an OI. After the change, 10-year notes were auctioned every quarter with a reopening of each security taking place one month after the original issue.
2006 February 2006: 5-year note issuance moved from middle of the month to end of the month.
2007 May 2007: 3-year note discontinued after May issuance.
2008 November 2007: 3-year note reintroduced with issuance occurring on a monthly basis.
2008 November 2008: A second reopening of the 10-year note was introduced. 10-year notes were issued as OIs every quarter with the each security being reopened the first time a month after the OI and a second reopening taking place two months after the OI issue.
2009 February 2009: 7-year note reintroduced. First auction took place February 26, 2009.

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.

Where can I obtain Security Definitions for the data in the Market Depth data?

A security definition file is published daily and can be accessed here via ftp. A history of security definition files is also available by contacting the DataMine sales team at MarketTechSales@cmegroup.com.

Data Structure

Top of Book

FIELD NAME CSV COLUMN EXAMPLE VALUE SUPPORTED VALUE DESCRIPTION
Date A 14/05/2018 19:32:51.501 dd/mm/yyyy hh:mm:ss.sss Date of update
Currency B USD USD Currency
Description C 10YR NOTE 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE Issue Tenor
Producer D US_500 US_500 BrokerTec Source
Record E 10_YEAR 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR Instrument Name
Bid F 98.92188 decimal Bid Price
Ask G 98.9375 decimal Ask Price
Bid Yield % H 3.001 decimal Bid Yield in percent
Ask Yield I 2.999 decimal Ask Yield in percent
Maturity Date J 15-May-28 dd-mmm-yy Date of Maturity
Coupon K 2.875 decimal Interest
Last Trade Price L 98.9375 decimal Traded Price
Last Trade Size mm M 7 int64 Quantity of last trade in millions
Mid Yield % N 2.999 decimal Mid Yield in percent
Bid Size mm O 2 int64 Quantity of Bid in millions
Ask Size mm P 2 int64 Quantity of Ask in millions
Duration Q 8.529709 decimal Avg time cash flows are received
Total Volume mm R 7 int64 Cumulative Volume in millions
Dollar Flow S -8 int64 Trade Size relevant to Trade Price being greater than or equal to the previous trade price
Close T 98.890625 decimal Closing price for the trading day
High U 98.9375 decimal Highest price for the trading day
Low V 98.9375 decimal Lowest price for the trading day
Open W 98.375 decimal First price for the day

Depth of Book

FIELD NAME CSV COLUMN EXAMPLE VALUE SUPPORTED VALUE DESCRIPTION
Date A 14/05/2018 19:32:51.501 dd/mm/yyyy hh:mm:ss.sss Date of update
Currency B USD USD Currency
Description C 10YR NOTE 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE Issue Tenor
Producer D US_500 US_500 BrokerTec Source
Record E 10_YEAR 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR Instrument Name
Bid F 98.92188 decimal Bid Price
Ask G 98.9375 decimal Ask Price
Bid Yield % H 3.001 decimal Bid Yield in percent
Ask Yield I 2.999 decimal Ask Yield in percent
Maturity Date J 15-May-28 dd-mmm-yy Date of Maturity
Coupon K 2.875 decimal Interest
Last Trade Price L 98.9375 decimal Traded Price
Last Trade Size mm M 7 int64 Quantity of last trade in millions
Mid Yield % N 2.999 decimal Mid Yield in percent
Bid Size mm O 2 int64 Quantity of Bid in millions
Ask Size mm P 2 int64 Quantity of Ask in millions
Duration Q 8.529709 decimal Avg time cash flows are received
Total Volume mm R 7 int64 Cumulative Volume in millions
Dollar Flow S -8 int64 Trade Size relevant to Trade Price being greater than or equal to the previous trade price
Close T 98.890625 decimal Closing price for the trading day
High U 98.9375 decimal Highest price for the trading day
Low V 98.9375 decimal Lowest price for the trading day
Open W 98.375 decimal First price for the day
VWAP X 98.9375 decimal Volume Weighted Average Price
VWAY % Y 2.99879 decimal Volume Weighted Average Yield
Best Ask Size1 Z 2 int64 Quantity of Shares at top level offer price
Best Ask Size2 AA 11 int64 Quantity of Shares at level 2 offer price
Best Ask Size3 AB 7 int64 Quantity of Shares at level 3 offer price
Best Ask Size4 AC 6 int64 Quantity of Shares at level 4 offer price
Best Ask Size5 AD 4 int64 Quantity of Shares at level 5 offer price
Best Ask 1 AE 98.9375 decimal Top/Best Offer price
Best Ask2 AF 98.953125 decimal Level 2 Offer price
Best Ask3 AG 98.96875 decimal Level 3 Offer price
Best Ask4 AH 98.984375 decimal Level 4 Offer price
Best Ask5 AI 99 decimal Level 5 Offer price
Best Bid Size1 AJ 2 int64 Quantity of Shares at top level bid price
Best Bid Size2 AK 14 int64 Quantity of Shares at level 2 bid price
Best Bid Size3 AL 5 int64 Quantity of Shares at level 3 bid price
Best Bid Size4 AM 6 int64 Quantity of Shares at level 4 bid price
Best Bid Size5 AN 6 int64 Quantity of Shares at level 5 bid price
Best Bid1 AO 98.921875 decimal Top/Best Bid price
Best Bid2 AP 98.90625 decimal Level 2 Bid price
Best Bid3 AQ 98.890625 decimal Level 3 Bid price
Best Bid4 AR 98.875 decimal Level 4 Bid price
Best Bid5 AS 98.859375 decimal Level 5 Bid price

Full Order Book

TRADE
Timestamp hh:mm:ss.nnnnnn yyyymmdd
RecordType TRADE, OB_CHANGE, WORKUP
InstrumentName Name of security
Premium Price in OM format (256th's for treasury actives)
Quantity Notional amount traded (in millions)
DealSource *
Aggressive 1=yes, 0=no
BidAsk B=Bid, A=Ask
OrderNumber OM formatted order number
OB_CHANGE
Timestamp hh:mm:ss.nnnnnn yyyymmdd
RecordType TRADE, OB_CHANGE, WORKUP
InstrumentName Name of security
Cusip Cusip for security
ObPosition Position in the order book
QuantityDiff Quantity to be applied, positive or negative
ObCommand ADD, DELETE, ALTER
ChangeReason **
OrderNumber OM formatted order number
Premium Price in OM format (256th's for treasury actives)
Quantity Notional amount shown (in millions)
BidAsk B=Bid, A=Ask
TotalVolume The value in this field will be zero if the order was entered without the ability to hide any size. It will display the same amount in the Quantity field if the order is entered with the potential to hide size.
DisplayQuantity (Not applicable) Zeroed out
WORKUP
Timestamp hh:mm:ss.nnnnnn yyyymmdd
RecordType TRADE, OB_CHANGE, WORKUP
InstrumentName Name of security
Cusip Cusip for security
Premium Price in OM format (256th's for treasury actives)
WorkupState 0=workup finished, 10=private phase, 11=public phase
WorkupReason 1=changed normally, 2=changed erroneously, 4=trade-thru
AggressiveOrderNumber OM formatted order number for the aggressive side
AggressiveBidAsk 1=Bid, 2=Ask
PassiveOrderNumber OM formatted order number for the passive side
PassiveBidAsk 1=Bid, 2=Ask
*Deal Source
1 outright
8 swap front leg
9 internal outright
10 internal swap front leg
17 swap front leg
19 swap reference leg
20 swap reference leg
** Change Reason
1 the order is deleted
2 the order is stopped
3 the order is matched
4 the order is inactivated
5 the order is altered
6 the order is added
7 N/A
8 N/A
9 deleted by system if the order is deleted by central system
10 deleted by proxy if the order is deleted by proxy transaction
11 order premium recalculated by system
12 stop order activated
13 hidden volume order recalculated
14 deleted by system, locally inactivated
16 passive order converted to aggressive due to locked market
43 Order deleted because trader is not allowed to trade with himself
45 Order deleted by system due to credit limits