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

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

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.

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Sample Files

Dataset	Sample File
EBS Spot FX Tick	12/2/2024
EBS Spot FX Level 1	12/2/2024
EBS Spot FX Level 2	12/2/2024
EBS Level 2 USDJPY	12/2/2024

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FAQ

EBS Spot FX Format

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.

If there is no change to a particular price or amount field, during a time slice, a comma (,) will be present. For Price (P) or Quote (Q) records , there will be an additional comma at the end of each time slice update.

Example:

Level 2 Price Record:

2024/02/15,17:54:01.100,EUR/USD,Q,0,1,1.2031,9000000,4,

Level 2 Deal Record:

2024/02/15,17:54:01.100,EUR/USD,D,0,,1.60680,4000000,2,9000000

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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EBS Spot FX Availability

What currencies are available for Spot FX & Precious Metals?

SPOT FX
EUR/USD	GBP/AUD	EUR/NOK
USD/JPY	GBP/CAD	EUR/PLN
USD/CHF	GBP/CHF	EUR/RON
EUR/CHF	GBP/CNH	EUR/RUB
EUR/JPY	GBP/JPY	EUR/SEK
AUD/CAD	GBP/NZD	NOK/SEK
AUD/CHF	GBP/USD	USD/DKK
AUD/CNH	NZD/CAD	USD/HKD
AUD/JPY	NZD/JPY	USD/KZT
AUD/NZD	NZD/USD	USD/NOK
AUD/USD	SGD/CNH	USD/PLN
CAD/CHF	USD/CAD	USD/RUB
CAD/JPY	USD/ILS	USD/SEK
CHF/JPY	USD/MXN	USD/SGD
CNH/JPY	USD/CNH	USD/THB
EUR/AUD	EUR/CNH	USD/TRY
EUR/CAD	EUR/CZK	USD/ZAR
EUR/GBP	EUR/DKK
EUR/NZD	EUR/HUF

PRECIOUS METALS
Description	Symbol
Palladium (loco London)	XPD/USD LN
Platinum (loco London)	XPT/USD LN
Palladium (loco Zurich)	XPD/USD
Platinum (loco Zurich)	XPT/USD
Silver	XAG/USD
Small Silver	XAG/USD SM
Small Gold	XAU/EUR SM
Small Gold	XAU/USD SM

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

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.

Do you have sample files available?

Yes, see "Sample Files" above.

Are there any anomalies in the data?

Please see the notes below regarding any changes to the historical data:

January 1, 1997 to July 20, 2009 - The files consist of weekly files.
January 1, 1997 – December 31, 2007 – EBS Level 2 historical data available in one-second time-slice intervals.
January 1, 2008 – August 31, 2008 – EBS Level 2 historical data available in 250 millisecond time-slice intervals.
July 20, 2009 - July 12, 2010 – Only weekday files are available (Saturday and Sunday files were not created); all Saturday and Sunday trading activity is included in the Monday files.
September 1, 2008 – present day – EBS Level 2 historical data available in 100 millisecond time-slice intervals.
July 13, 2010 – May 13, 2022 - The files include all seven days.
December 2012 – Big gold (XAU/USD) was discontinued.
September 2013 – Bank gold (BAU/USD) was discontinued.
January 28, 2022 - present day - File Headers are no longer included for Spot FX Level 1 and Level 2
May 16, 2022 - The "Quote Count" field in EBS Spot FX Level 2 Deal Records prior to May 16, 2022 showed the distinct number of counterparties who had active quotes at that price level. As of May 16, 2022, the “Quote Count” field represents the distinct number of counterparty orders and the distinct number of orders at that price level.
May 16, 2022 - The files are available Sunday - Friday (Saturday files no longer available).

The following currencies are no longer available in the EBS Spot FX Historical Tick, Level 1, Level 2 files as of May 16, 2022:

USD/AED	EUR/ISK
USD/BRL	EUR/ZAR
USD/BHD	XAU/USD
USD/KWD	XAU/JPY
CNH/MXN	EUR/SKK
CNH/HKD	ZAR/JPY
USD/SAR	USD/MXC
CAD/CNH	USD/MXT
	BKT/RUB

The below table shows changes to some of the Precious Metals symbols effective, May 16, 2022:

PRECIOUS METALS
Description	Legacy Identifier (pre-migration)	New Identifier (post-migration)
Palladium (loco London)	LPD/USD	XPD/USD LN
Platinum (loco London)	LPT/USD	XPT/USD LN
Palladium (loco Zurich)	XPD/USD	No change
Platinum (loco Zurich)	XPT/USD	No change
Silver	XAG/USD	No change
Small Silver	SAG/USD	XAG/USD SM
Small Gold	SAU/EUR	XAU/EUR SM
Small Gold	SAU/USD	XAU/USD SM

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EBS Spot FX Interpretation

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

Field Order	Title	Format	Description
1	Date	YYYY/MM/DD	Calendar date for the event
2	Time	HH:MM:SS:sss	Time in GMT 24-hour format
3	Currency Pair	BBB/LLL SS	Currency pair - contains FIX tag "Symbol" BBB=base currency LLL=local currency SS=optional suffix containing "SM" for small contracts, "LN" for London contracts
4	Event Type	Alpha	Q=Price/Quote D=Deal
5	Bid Price	Numeric	Floating point bid price
6	Offer Price	Numeric	Floating point offer price
7	Side	Alpha	G=Given P=Paid
8	Last Trade	Numeric	Floating point deal price

EBS Spot FX Level 1

Field Order	Title	Format	Description
1	Date	MM/DD/YY	Calendar date for the event
2	Time	HH:MM:SS	Time in GMT 24-hour format
3	Currency Pair	LLL/XXX SS	Currency pair - contains FIX tag "Symbol" LLL=base currency XXX=local currency SS=optional suffix containing "SM" for small contracts, "LN" for London contracts
4	Event Type	Alpha	P=Price/Quote D=Deal
5	Bid Price	Numeric	Floating point bid price (for Price) Floating point given price (for Deal)
6	Offer Price	Numeric	Floating point offer price (for Price) Floating point paid price (for Deal)
7	Bid Size	Numeric	Bid size (for Price) Deal size for given trades
8	Offer Size	Numeric	Offer size (for Price) Deal size for paid trades

EBS Spot FX Level 2

Field Order	Title	Format	Description
1	Date	YYYY/MM/DD	Calendar date for the event
2	Time	HH:MM:SS:sss	Time in GMT 24-hour format
3	Currency Pair	LLL/XXX SS	Currency pair - contains FIX tag "Symbol" LLL=base currency XXX=local currency SS=optional suffix containing "SM" for small contracts, "LN" for London contracts
4	Event Type	Alpha	Q=Price/Quote D=Aggregate (Paid/Given)
5	Side	Numeric	Q Records - the side of the market of the resting orders 0=Bid 1=Offer D Records - the side of the market of the trade 0=Given 1=Paid
6	Distance	Numeric	Only populated for Q Records. Price rank where 1 represents that this is the best price on the specified side, 2 is second best, etc.
7	Price	Numeric	Q Records - Floating point price D Records - Highest Paid/Lowest Given price
8	Amount	Numeric	Q Records - Total amount on orders at this price (7) D Records - Total amount traded at the highest paid or lowest given (7)
9	Quote Count	Numeric	Q Records - Number of orders at this price (7) D Records - Number of trades during the time interval, regardless of price
10	Total Amount	Numeric	(Available from November 2011) Only populated for D Records Total Amount traded on deals during the time slice interval (9)

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