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
*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.
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:
Example (New York): tks_ny_2023-06-22_USDJPY.csv.gz
Example (London): tks_ldn_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)