Cboe FX Order Book Snapshot
  • Currencies

Full depth of book snapshots on Cboe FX markets throughout the day

One file per day, per currency pair, covering all trading hours


Available Currency Pairs

Cboe FX Market Data


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 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:


Pattern: snp_[MatchingEngine]_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example (New York): snp_ny_2023-06-22_USDJPY.csv.gz
Example (London): snp_ldn_2023-06-22_USDJPY.csv.gz


Pattern: snp_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example: snp_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)


  • 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.
  • Bid/Ask: B = Bid, A = Ask
  • Price: Exchange rate express in units of Counter Currency
  • Qty: Units of Base Currency

Purchase this Product




Warning: Data is unavailable for either specific dates or symbols from your selection. Show excluded symbols and dates here.
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