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, covering all trading hours

Reference:

Available Currency Pairs

Subscription:

Daily delivery

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

Fields:

• Time (U.S. Eastern): The trading session for a given file date starts at 5PM US Eastern on the prior date and ends at 5PM US Eastern on the file date (i.e. 00:00 to < 17:00 = T, 17:00 to < 24:00 = T - 1)
• 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 is 1, Ask is 2
• Price
• Quantity