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 January 2020 to present. The following date is unavailable: 2021-07-05
*Historical files will be delivered in legacy format. See details below for file naming convention and record timestamp differences.
Purchase Details:
Subscribing to or purchasing historical Order Book Snapshot data includes complimentary access to Cboe FX Top of Order Book for the selected dates. Please reach out to [email protected] for further assistance.
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:
- 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
