Trades only file that reflects all trading activity for currency pairs on Cboe FX markets including transaction time, aggressor side, trade price and quantity.
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. Trade data is unavailable for 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: trd_[MatchingEngine]_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example (New York): trd_ny_2023-06-22_USDJPY.csv.gz
Example (London): trd_ldn_2023-06-22_USDJPY.csv.gz
Legacy:
Pattern: trd_yyyy-mm-dd_[BaseCurrency][CounterCurrency].csv.gz
Example: trd_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.
- Aggressor Side: Side that removed liquidity: B = Buyer, S = Seller.
- Price: Exchange rate expressed in units of Counter Currency. Ex: Pair = USDJPY, Price = 143.25 -> Transacted at 143.25 JPY per 1 USD
- Qty: Units of Base Currency. Ex: Pair = USDJPY, Qty = 1,000,000 -> 1,000,000 USD transacted for JPY at Price
