FX Spot and NDFs top of book data with quote time, bid price, bid quantity, offer price and offer quantity

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

Reference:

• Available Spot Currency Pairs
• Available NDF currency pairs (1 month contracts):
  • USDKRW
  • USDINR
  • USDTWD
  • USDIDR
  • USDPHP

Subscription:

Daily delivery

Spot: Up to 2023-11-06, 2 file versions per day will be received by the subscribers, one in current format and one in legacy format. After that, only the new file format will be delivered. New subscribers should target the current format and ignore the legacy format.

NDFs: Current format only

Historical Data:

Spot: Available from January 2, 2020 to present. The following date is unavailable: 2021-07-05

NDFs: Available from January 2, 2022 to present

*Historical files will be delivered in legacy format. See details below for file naming convention and record timestamp differences.

File Naming Convention:

Current:

Pattern: bbo_[MatchingEngine]_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example (New York): bbo_ny_2023-06-22_USDJPY.csv.gz
Example (London): bbo_ldn_2023-06-22_USDJPY.csv.gz

Legacy:

Pattern: bbo_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example: bbo_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 Price: Exchange rate expressed in units of Counter Currency. Ex: Pair = USDJPY, Bid = 143.15 -> Market will buy USD using JPY at a rate of 143.15 JPY per 1 USD.
• Bid Qty: Units of the Base Currency the market will buy using the Counter Currency. Ex: Pair = USDJPY, Bid Qty = 1,000,000 -> Market will buy 1,000,000 USD using JPY at the Bid Price.
• Offer Price: Exchange rate expressed in units of Counter Currency. Ex: Pair = USDJPY, Bid = 143.25 -> Market will sell USD for JPY at a rate of 143.25 JPY per 1 USD.
• Offer Qty: Units of the Base Currency the market will sell for the Counter Currency. Ex: Pair = USDJPY, Bid Qty = 1,000,000 -> Market will sell 1,000,000 USD for JPY at the Offer Price