Full depth of book snapshots on Cboe FX markets throughout the day
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 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: 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
Legacy:
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)
Fields: