Historical Data

Cboe Hanweck Borrow Intensity Indicators describe constant maturity synthetic lending rates derived from real-time option analytics. Borrow Intensity Indicators are a proprietary calculation based upon implied borrow, enhanced with machine learning using characteristics including relative liquidity and term in order to create constant maturities of 45, 60, 90, 180, and 360 days.

Borrow Intensity Indicators may enhance:

• Equity trading strategies
• Higher frequency and timeliness than equity risk model short interest factors
• Securities lending price discovery
  • Informs on levels and trends in overnight stock-borrow loan rates, highlighting rising shorts or other conditions in the collateral market such as persistent mildly hard-to-borrow securities

Borrow Intensity Indicator Attributes:

• Includes:
  • Securities underlying US listed options (approximately 4,000 symbols)
  • Raw and smoothed form
  • Confidence measures supporting interpretation for every observation
• Availability:
  • Current: 20 minute intervals, intraday (Subscription)
  • Historical: Back to 2010
• Granularity:
  • Milliseconds
• Format:
  • CSV Files
• Delivery Method:
  • SFTP

For the file specifications, please click here
For the methodology overview, please click here

If you would like subscribe to ongoing updates of this data-set, please order the Subscription product here: Borrow Intensity Indicators - Subscription

Cboe FX Prints is a trades only file and reflects all trading activity for the currency pair on Cboe FX markets including transaction time, aggressor side, trade price and quantity. Available Currency Pairs.

The CoinRoutes RealPrices are cryptocurrency depth of market Indices. CoinRoutes RealPrice Indices provide a consolidated bid-ask spread (RealBid x RealAsk) at multiple coin depths for top cryptocurrency-pairs. Aggregating order book data from multiple trading venues and factoring in trading fees, CoinRoutes RealPrice Indices provide a robust and previously unavailable view into cryptocurrency markets. Prices are quoted in 1-minute snapshots for the entire 24-hour day.

Examples:
^BTCUSD1 – provides the RealBid x RealAsk spread at a depth of one Bitcoin
^BTCUSD5 – provides the RealBid x RealAsk spread at a depth of five Bitcoins

Prices are currently quoted in USD. The following coins and sizes are included:

Code	Description	Sizes
BCH	Bitcoin Cash	1, 5, 10, 20, 40, 100
BTC	Bitcoin	0.2, 1, 5, 10, 20
ETH	Ethereum	5, 20, 50, 100, 200, 400
LINK	Chainlink	100, 500, 1000
LTC	Litecoin	5, 10, 25, 50, 100, 200
DOT	Polkadot	250, 1000, 2500, 5000, 10000

Trades data on cryptocurrencies such as Bitcoin and Ethereum recorded by the Gemini Exchange. The offering is a sub-set of the Order Book product where a filter when the Event Type is a Fill has been applied. Auction data is not included. The currency pair symbols are formatted as CCY1CCY2 where prices are in CCY2 and quantities are in CCY1, the following pairs are supported:

Currency Pair	Quantity currency	Price currency
BTCUSD	BTC	USD
ETHUSD	ETH	USD
ETHBTC	ETH	BTC
ZECUSD	ZEC	USD
ZECBTC	ZEC	BTC
ZECETH	ZEC	ETH

Cboe Streaming Market Indices (CSMi) consists of over 200 index values offered by Standard and Poor’s and Cboe and many more firms. This offering provides a summary of the opening, highest, lowest, and closing index value disseminated for each index on a given day. For most indexes which update every 15 seconds during trading hours, the summary will cover the whole day, for indexes which update once per day, the Open, High, Low, and Close will be equal. Click here to view the current indexes on the CSMi feed.

The equity quotes end-of-day files, recap the day’s trading activity in the underlying security. Open, high, low, close, trading volume and VWAP are included with two NBBO snapshots, one at 15:45 and another at the market close (market closing time is product dependent). Effective February 5, 2020 on half trading days, the value in the "1545" column will be taken at 12:45 pm ET and the column name of 1545 will be unchanged.