FX Spot and NDFs trades file that reflects all trading activity for currency pairs on Cboe FX markets and includes transaction time, aggressor side, trade price and 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.
Purchase Details:
Subscribing to or purchasing the historical trades data includes complimentary access to the following datasets for the selected dates:
Please reach out to [email protected] for further assistance.
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
