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.

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Files will not be published on US holidays.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:

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.

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.