The EBS Spot Foreign Exchange historical data provides information on the Spot FX & Precious Metals order book, created on a time-slice basis and includes a Price Record and Deal Record. The Price Record lists the EBS Market Best Prices at the end of a time-slice and the Deal Record lists the highest paid and the lowest given deal prices during the period of a time-slice.
EBS Spot FX history is available in three levels of granularity: Tick, Level 1, Level 2 / Level 2 USDJPY.
EBS Spot FX Tick History:
Top of Book; Best Bid and Best Offer
Dealt Prices (no volume)
EBS Spot FX Level 1 History:
Top of Book; Best Bid and Best Offer
Volume at Best Bid/Offer
EBS Spot FX Level 2 History / EBS Spot FX Level 2 USDJPY History:
Depth of Book (five or ten levels of order book (bid/offer) depending on currency pair
Highest Paid and Lowest Given
Volume traded at the Highest Paid and Lowest Given
Number of trades at the Highest Paid and Lowest Given
Total Volume traded
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Dates Available
EBS Spot FX Historical data is available from December 1996 to present day.
Please note that the time-slice interval changed for EBS Level 2 history for the following dates:
From January 1, 1997 to January 1, 2008 - One-second time-slice interval
From January 1, 2008 to August 31, 2008 - 250 millisecond time-slice interval
From September 1, 2008 to present day - 100 millisecond time-slice interval
The first historical files available are:
EBS Tick - October 11, 2019
EBS Level 1 - January 2, 1997
EBS Level 2 - December 29, 1996
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Please note, for individual currency pairs, the presence of a file will depend on trading activity and/or availability in the market. If there are no markets for a certain currency pair, there will be no file available that day. |
FAQ
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What format is the file delivered in? Data is provided in .csv format (comma separated values) for Tick, Level 1, Level 2, Level 2 USDJPY.
Are the files compressed? Yes, the files are compressed into zip files. What is the time-slice available for Price and Deal records? The data is available in one-second time-slices for Tick and Level 1 files. Level 2 is in 100-millisecond time-slices. (From January 1, 1997 - January 1, 2008 - One-second time-slice interval; From January 1, 2008 - August 31, 2008 - 250-millisecond time-slice interval) Are all of the levels sourced from EBS? Yes, all of the data in the historical files are sourced from transactions done on EBS Market via CME Globex platform. |
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What currencies are available for Spot FX & Precious Metals?
What time are the files available each day? Sunday: approximately 7pm CST, 8pm EST Monday - Friday: approximately 6pm CST, 7pm EST How many files are available per day? EBS Spot FX Tick (All Currencies): 1 individual file is available daily EBS Spot FX Level 1 (All Currencies): 1 individual file is available daily EBS Spot FX Level 2: Two daily files - | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
All currencies and a separate file for USDJPY Individual currency pairs: 1 individual file is available daily per currency pair
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Do you have sample files available? Yes, see " |
EBS Spot FX#Sample Files" above. Are there any anomalies in the data? Please see the notes below regarding any changes to the historical data:
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The following currencies are no longer available in the EBS Spot FX Historical Tick, Level 1, Level 2 files as of May 16, 2022:
The below table shows changes to some of the Precious Metals symbols effective, May 16, 2022:
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How is the data structured? The data fields in the files will appear in the order they are listed in the tables below. The fields will be comma separated with a comma present anytime there is no change in a price or amount field, including a comma at the end of the time slice for Price or Quote Records. EBS Spot FX Tick
EBS Spot FX Level 1
EBS Spot FX Level 2
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