The EBS Non-Deliverable Forwards (NDF) historical data provides information on the NDF 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 NDF history is available in three levels of granularity: Tick, Level 1 & Level 2.
- EBS NDF Tick History:
- Top of Book; Best Bid and Best Offer
- Dealt Prices (no volume)
- EBS NDF Level 1 History:
- Top of Book; Best Bid and Best Offer
- Volume at Best Bid/Offer
- EBS NDF Level 2 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
Contents
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Dates Available
The first EBS NDF L1 ON SEF File is available on October 1, 2017.
The first EBS NDF L1 OFF SEF File is available on October 1, 2017.
The first EBS NDF L2 ON SEF File is available on October 1, 2017.
The first EBS NDF L2 OFF SEF File is available on October 1, 2017.
The first EBS NDF Tick File is available on May 15, 2022.
Sample Files
| Name | Sample File |
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| EBS NDF Tick ON SEF | May 16, 2022 |
| EBS NDF Tick OFF SEF | May 16, 2022 |
| EBS NDF Level 1 OFF SEF | May 16, 2022 |
| EBS NDF Level 1 ON SEF | May 16, 2022 |
| EBS NDF Level 2 OFF SEF | May 16, 2022 |
| EBS NDF Level 2 ON SEF | May 16, 2022 |
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 and Level 2. Are files compressed? Yes, the files are compressed into zip files. What is the time-slice available for Price and Deal records? The data is represented in one-second time-slices for Tick and Level 1 files. Level 2 is in 100-millisecond time-slices. The historical data is created on a time-slice basis and includes price records and deal records. The price records list the NDF prices at the end of the time-slice and the deal records list the highest paid and lowest given deal prices during the time-slice. 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 NDFs?
What are ON-SEF and OFF-SEF NDFs? SEF: A Swap Execution Facility (SEF) is an electronic platform provided by a corporate entity that allows participants to buy and sell NDFs and other financial products in a regulated and transparent manner. ON-SEF: NDFs that are traded ON a SEF. ON-SEF is ON-MTF (MTF: multilateral trading facility). OFF-SEF: NDFs that are not traded on a SEF. OFF-SEF is OFF-MTF. What tenors are available for NDF? 1M, 2M, 3M, EOM* *Please note, 2M, 3M, EOM tenors will only be available for certain currencies (as per the table above) and are not as liquid as the 1M tenor. What time are the files available each day? Sunday: approximately 7pm CST / 8pm EST Mon-Fri: approximately 6pm CST / 7pm EST How many files are available per day? Tick: two files - one file for ON-SEF, one file for OFF-SEF Level 1: ON-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M ON-SEF prices but no EOM ON-SEF prices, only one file will be delivered that day for 1M ON-SEF. Level 1: OFF-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M OFF-SEF prices but no EOM OFF-SEF prices, only one file will be delivered that day for 1M OFF-SEF. Level 2: ON-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M ON-SEF prices but no EOM ON-SEF prices, only one file will be delivered that day for 1M ON-SEF. Level 2: OFF-SEF will have separate files per tenor available. Please note, if there is no market activity for a particular tenor, a file will not be produced that day. Example, if there are 1M OFF-SEF prices but no EOM OFF-SEF prices, only one file will be delivered that day for 1M OFF-SEF. The update frequency for each currency and tenor will depend on market liquidity. Do you have sample files available? Yes, see "Sample File" section above. Are there any anomalies in the data? Please see the notes below regarding any changes to the historical data:
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How is the data structured? EBS NDF Tick
EBS NDF Level 1
EBS NDF Level 2
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