GovPX End of Day Historical Data

This page describes the types of NEX GovPX End-of-Day data available from CME DataMine.

NEX GovPX End-of-Day Service offers industry standard pricing information for active and off-the-run US Treasury issues at 3PM, 4PM & 5PM EST. The GovPX End-of-Day historical market data offers the highest quality of Treasury data for Bills, Notes, Bonds, TIPS and FRNs, going back to 2009.

Dates Available

GovPX historical data is available starting January 2, 2009 to present*.

*History start dates may vary depending on discontinued or reopened issues.

By Dataset

Dataset	Category	Start Date	End Date
GovPX EOD	US Treasury Bills, Notes & Bonds - 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 30Y	1/02/2009	Present
GovPX EOD	US TIPS	1/02/2009	Present
GovPX EOD	US Treasury 7 Year Note	2/26/2009	Present
GovPX EOD	US Treasury FRNs	01/24/2014	Present
GovPX EOD	US Treasury Bill- 2M	10/16/2018	Present
GovPX EOD	US Treasury Bill- 4M	10/19/2022	Present

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Sample Files

Dataset	Sample File
GovPX EOD- US Treasuries	2020/11/13

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FAQ

GovPX End-of-Day Format

What format is the file delivered in?

Data is provided in .csv format (comma separated values).

Are files compressed?

Yes, the files are compressed into zip files.

What is the precision level for timestamping for these datasets?

The GovPX dataset has millisecond precision.

GovPX End-of-Day Availability

What tenors are available for purchase?

The full curve of US Treasury on-the-run and off-the-runs for Bills, Notes & Bonds are available (1M-30Y), as well as TIPS (Treasury Inflation Protected Securities), and FRNs.

How many files are available per day?

3 files are available per day. These files are listed below:

NEXGOVPXEOD_1500_YYYYMMDD.csv

NEXGOVPXEOD_1600_YYYYMMDD.csv

NEXGOVPXEOD_1700_YYYYMMDD.csv

How far back do you maintain these records?

January 2, 2009 to present. History start dates may differ for newer datasets & individual securities.

Will files be published on holidays?

Files will not be published on US holidays.

How many levels of depth are available?

The historical data consists of indicative Top of Book levels (1 level) – exhibiting Best Bid & Best Ask prices.

Do you have sample files available?

Yes, see Sample Files section above.

Are there any anomalies in the the data?

Yes, at times tenors have been temporarily discontinued and then reintroduced. These periods have been noted below:

Year	Event
2009	February 2009: 7-year note reintroduced. First auction took place February 26, 2009.
2011	March 30, 2011: 30-year data missing 12:30 – 5:55pm NYT.
2012	July 19, 2012: no data available

GovPX Delivery

When are these files delivered?

The files are delivered three times per business day, around 3:30pm, 4:30pm & 5:30pm EST.

If I purchase daily updates of these datasets, will I get historical data as well?

No. When an order is placed for daily updates of these datasets, the first file included will be generated for the start date of the subscription. However, files remain accessible for 30 days after purchase, enabling the customer to reference previous day’s data.

GovPX Interpretation

How large are these files?

The average daily files of each GovPX End-of-Day file is approximately: 70KB per day.

What is the file structure for the GovPX dataset?

Please see the below table to find the file structure for this dataset.

FIELD NAME	CSV COLUMN	EXAMPLE VALUE	SUPPORTED VALUE	DESCRIPTION
Timestamp	A	2019-04-15T15:00:00-04:00	yyyy-mm-dd hh:mm:ss	Time & Date of update
Producer	B	US_GOVPXEOD	US_GOVPXEOD	GovPX EOD Source
Record	C	912810ED6=3PM	CUSIP Based records; =3PM, =4PM, =5PM indicates GovPX EOD 3pm, 4pm, 5pm snaptime	Instrument Name
AskPrice	D	101.921875	decimal	Ask Price
BidPrice	E	101.8984375	decimal	Bid Price
CashAskPrice	F	99.67673611	decimal	Cash Ask Price - available for Bills
CashBidPrice	G	99.675375	decimal	Cash Bid Price - available for Bills
CashMidPrice	H	99.9416875	decimal	Cash Mid Price - available for Bills
CUSIP	I	912810EE4	alphanumeric	Security Identifier
High	J	101.9296875	decimal	Highest price for the trading day
IndicativeBidYield	K	2.373	decimal	Indicative Bid Yield
Low	L	101.875	decimal	Lowest price for the trading day
MaturityDate	M	20190815	yyyymmdd	Date of Maturity
Mid	N	101.9101563	decimal	Mid Price
MidSnapChg	O	-0.03125	decimal	Mid price change on day from previous day
MidYield	P	2.3715	decimal	Mid Yield in percent
MidYieldSnapChg	Q	-0.003	decimal	Mid yield change on day from previous day
Open	R	101.875	decimal	First price for the day
SettlementDate	S	20190416	yyyymmdd	Settlement Date
TreasuryType	T	150	150 - off-the-runs notes & bonds; 151- active notes & bonds; 152 - off-the-run bills; 153 - active bills, 154 - WI notes & bonds; 157 - TIPS (Treasury Inflation-Protected Securities); 161 - FRNs.	Security Type

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GovPX End of Day Historical Data

Contents

Dates Available

By Dataset

Sample Files

FAQ