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

Dates Available

Trading of EBS NDF ON SEF ceased on September 27, 2024.

EBS NDF ON SEF on-going daily files are no longer available.
EBS NDF ON SEF data is only available for bulk historical purchase.

EBS NDF L1 ON SEF File is available for October 1, 2017 - September 27, 2024.

EBS NDF L1 OFF SEF File is available beginning October 1, 2017.

EBS NDF L2 ON SEF File is available for October 1, 2017 - September 27, 2024.

EBS NDF L2 OFF SEF File is available beginning October 1, 2017.

EBS NDF Tick File is available beginning May 15, 2022.

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Sample Files

Name	Sample File
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

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FAQ

EBS NDF Format

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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EBS NDF Availability

What currencies are available for NDFs?

ON SEF
ARS 1M SEF	US Dollar/Argentine Peso NDF 1 Month ON SEF
BRL 1M SEF	US Dollar/Brazilian Real NDF 1 Month ON SEF
CLP 1M SEF	US Dollar/Chilean Peso NDF 1 Month ON SEF
CNY 1M SEF	US Dollar/Chinese Yuan NDF 1 Month ON SEF
COP 1M SEF	US Dollar/Columbian Peso NDF 1 Month ON SEF
EGP 1M SEF	US Dollar/Egyptian Pound NDF 1 Month ON SEF
EGP 2M SEF	US Dollar/Egyptian Pound NDF 2 Month ON SEF
EGP 3M SEF	US Dollar/Egyptian Pound NDF 3 Month ON SEF
GHS 1M SEF	US Dollar/Ghana Cedi NDF 1 Month ON SEF
IDR 1M SEF	US Dollar/Indonesian Rupiah NDF 1 Month ON SEF
INR 1M SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
KES 1M SEF	US Dollar/Kenyan Shilling NDF 1 Month ON SEF
KRW 1M SEF	US Dollar/South Korean Won NDF 1 Month ON SEF
MYR 1M SEF	US Dollar/Malaysian Ringgit NDF 1 Month ON SEF
NGN 1M SEF	US Dollar/Nigerian Naira NDF 1 Month ON SEF
PEN 1M SEF	US Dollar/Peruvian Nuevo Sol NDF 1 Month ON SEF
PHP 1M SEF	US Dollar/Philippine Peso NDF 1 Month ON SEF
RUB 1M SEF	US Dollar/Russian Ruble NDF 1 Month ON SEF
TRY 1M SEF	US Dollar/Turkish Lira NDF 1 Month ON SEF
TWD 1M SEF	US Dollar/New Taiwan Dollar NDF 1 Month ON SEF
VND 1M SEF	US Dollar/Vietnamese Dong NDF 1 Month ON SEF
ZMW 1M SEF	US Dollar/Zambian Kwacha NDF 1 Month ON SEF
BRL EOM JAN SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM FEB SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM MAR SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM APR SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM MAY SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM JUN SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM JUL SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM AUG SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM SEP SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM OCT SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM NOV SEF	US Dollar/Brazilian Real NDF EOM ON SEF
BRL EOM DEC SEF	US Dollar/Brazilian Real NDF EOM ON SEF
INR EOM JAN SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM FEB SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM MAR SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM APR SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM MAY SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM JUN SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM JUL SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM AUG SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM SEP SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM OCT SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM NOV SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF
INR EOM DEC SEF	US Dollar/Indian Rupee NDF 1 Month ON SEF

OFF SEF
ARS 1M	US Dollar/Argentine Peso NDF 1 Month OFF SEF
BRL 1M	US Dollar/Brazilian Real NDF 1 Month OFF SEF
CLP 1M	US Dollar/Chilean Peso NDF 1 Month OFF SEF
CNY 1M	US Dollar/Yuan NDF 1 Month OFF SEF
COP 1M	US Dollar/Columbian Peso NDF 1 Month OFF SEF
EGP 1M	US Dollar/Egyptian Pound NDF 1 Month OFF SEF
EGP 2M	US Dollar/Egyptian Pound NDF 2 Month OFF SEF
EGP 3M	US Dollar/Egyptian Pound NDF 3 Month OFF SEF
GHS 1M	US Dollar/Ghana Cedi NDF 1 Month OFF SEF
IDR 1M	US Dollar/Indonesian Rupiah NDF 1 Month OFF SEF
INR 1M	US Dollar/Indian Rupee NDF 1 Month OFF SEF
KES 1M	US Dollar/Kenyan Shilling NDF 1 Month OFF SEF
KRW 1M	US Dollar/South Korean Won NDF 1 Month OFF SEF
MYR 1M	US Dollar/Malaysian Ringgit NDF 1 Month OFF SEF
NGN 1M	US Dollar/Nigerian Naira NDF 1 Month OFF SEF
PEN 1M	US Dollar/Peruvian Nuevo Sol NDF 1 Month OFF SEF
PHP 1M	US Dollar/Philippine Peso NDF 1 Month OFF SEF
RUB 1M	US Dollar/Russian Ruble NDF 1 Month OFF SEF
TRY 1M	US Dollar/Turkish Lira NDF 1 Month OFF SEF
TWD 1M	US Dollar/New Taiwan Dollar NDF 1 Month OFF SEF
VND 1M	US Dollar/Vietnamese Dong NDF 1 Month OFF SEF
ZMW 1M	US Dollar/Zambian Kwacha NDF 1 Month OFF SEF
INR EOM JAN	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM FEB	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM MAR	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM APR	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM MAY	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM JUN	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM JUL	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM AUG	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM SEP	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM OCT	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM NOV	US Dollar/Indian Rupee NDF 1 Month OFF SEF
INR EOM DEC	US Dollar/Indian Rupee NDF 1 Month OFF SEF

“SEF” at the end of the record signifies that the NDF is ON-SEF. For OFF-SEF instruments, "SEF” will be omitted from the record.

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:

September 27, 2024 - Trading of EBS NDF ON SEF ceased.
As of September 27, 2024, NDF ON SEF On-going daily files are no longer available. Only bulk historical data is available for ON SEF data for October 1, 2017 - September 27, 2024.
May 16, 2022 - EBS NDF Level 2 files- Level 2 deal records, “Quote Count” field represents the distinct number of counterparty orders and the distinct number of orders at the price level.
- Prior to May 16, 2022 - the "Quote Count" field showed the distinct number of counterparties who had active quotes at that particular price level.
May 16, 2022 - Standard tenors are formatted as “<local> <tenor>” where <local> is the 3-character local currency code and <tenor> is a number and letter indicating maturity e.g., 2M to indicate 2 months.
- Dated tenors are formatted as “<local> EOM <month> <year>”. In this case, <month> is the 3-character month code and <year> is the 2-digit year code e.g., “INR EOM APR 21”.
- “SEF” is appended to the end to indicate an On-SEF instrument, e.g.: “INR 1M SEF”, “INR EOM APR 21 SEF”. It is omitted for Off-SEF instruments e.g. “INR 1M”, “INR EOM APR 21”.

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EBS NDF Interpretation

How is the data structured?

EBS NDF 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	LLL TERM SEF	Currency pair will contain the same value as the FIX tag "Symbol" for these instruments. LLL is the local currency; TERM indicates the tenor. Standard tenors will be listed as 1M, etc. EOM tenors will be listed as "EOM MMM YY" with MMM as the 3-character month code and YY as the 2-digit year. SEF is appended to the end to indicate an On-SEF instrument. It is omitted for Off-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR EOM APR 21 SEF"
4	Event Type	Alpha	Q=Price/Quote D=Aggregate (Paid/Given)
5	Bid Price	Numeric	Floating point bid price
6	Offer Price	Numeric	Floating point offer price
7	Side	Alpha	G=Given P=Paid M=Matched
8	Last Trade	Numeric	Floating point deal price

EBS NDF 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 TERM SEF	Currency pair LLL= local currency TERM=NDF tenor. Standard tenors to be formatted as "1M, etc. EOM tenors to be formatted as "EOM MMM YY" with MMM YY as the 3-character month code and 2-digit year. SEF=optional suffix of "SEF" added for on-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR EOM APR 21 SEF"
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 paig price (for Deal)
7	Bid Size	Numeric	Bid size (for Price) Deal size for givens
8	Offer Size	Numeric	Offer size (for Price) Deal size for paids

EBS NDF 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 TERM SEF	Currency pair LLL=local currency TERM=NDF tenor. Standard tenors to be formatted as "1M", etc. EOM tenors to be formatted as "EOM MMM YY" with MMM YY as the 3-character month code and 2-digit year. SEF=optional suffix of "SEF" added for on-SEF instruments. e.g. "INR 1M" e.g. "INR 1M SEF" e.g. "INR EOM APR 21" e.g. "INR 1M EOM APR 21 SEF"
4	Event Type	Alpha	Q=Price/Quote D=Aggregate (Paid/Given)
5	Side	Numeric	Q Records - the side of the market of the resting order 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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