Order history that replicates ITCH data feed and contains every market event. This is the most complete data format but requires assembly.
One file per day, per currency pair, covering all trading hours
Reference:
Subscription:
Daily delivery
*Subscribers will receive 2 file versions per day, one in current format and one in legacy format, until 2023-11-06 at which point only the new file format will be delivered. New subscribers should target the new format and ignore the legacy format.
Historical Data:
Available from July 6, 2009 to present. The following dates are unavailable: 2015-05-01, 2015-05-04, 2015-05-05, 2021-07-05
*Historical files will be delivered in legacy format. See details below for file naming convention and record timestamp differences.
File Naming Convention:
Current:
Pattern: tks_[MatchingEngine]_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example (New York): tks_ny_2023-06-22_USDJPY.csv.gz
Example (London): tks_ldn_2023-06-22_USDJPY.csv.gz
Legacy:
Pattern: tks_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example: tks_2023-06-22_USDJPY.csv.gz
Base Currency and Counter Currency will each have a 3-character code (see above 'Available Currency Pairs' link for details)
Matching Engine code will be "ny" or "ldn" depending on purchase selections (*London matching engine data coming to DataShop Q3 2023)
Fields:
- Timestamp (U.S. Eastern):
- Current: Date and time -> yyyy-mm-dd hh:mm:ss.000 (ex: "2020-01-01 21:11:50.627") Records are in chronological order.
- Legacy: Time only -> hh:mm:ss.000 (ex: "21:11:50.627") Records are are *not* in chronological order, but instead sorted by raw timestamp which spans 2 calendar days. Records with 00:00 to < 17:00 time stamps take place implicitly on the date in the file name. Records 17:00 to < 24:00 are from the prior calendar date.
- Event Identifier: Unique ID corresponding to each individual order
- Event Type:
- S (Snapshot): Can come in groups (several rows). When encountered, discard existing snapshot and build a new one with all consecutive "S" rows.
- N (New): New order on the order book. There can be an "N" event with a price that already exists on the book. In this case the quantities should be accumulated for that price.
- C (Cancel): Order corresponding to this EventIdentifier has been removed from the book.
- M (Modify): There is a quantity change for the order corresponding to this EventIdentifier.
- Bid/Ask: Bid = 1, Ask = 2
- Price: Exchange rate expressed in units of Counter Currency
- Quantity: Units of Base Currency
