EBS Ultra
- Space Sync for Confluence
EBS Ultra data is reflective of the EBS Live Ultra streaming near real-time trade feed of Spot FX & NDF prices sourced from the primary market central limit order book – EBS Market, with near continuous order book and trade data information. EBS Live Ultra is unscreened market data providing traders with a more contiguous order book with enhanced price discovery and a greater number of matching opportunities.
Historical data available for EBS Ultra:
EBS Ultra Spot FX
EBS Ultra NDF OFF SEF
EBS Ultra NDF ON SEF
Contents
- 1 Dates Available
- 2 FAQ
- 2.1 Note
Dates Available
Available dates for historical data for EBS Ultra are as follows:
NDF ON SEF: March 22, 2018 - September 27, 2024
NDF OFF SEF: March 22, 2018
Spot FX: January 17, 2017
Trading of EBS NDF ON SEF ceased on September 27, 2024.Â
EBS NDFÂ ON SEFÂ on-going daily files are no longer available.Â
EBS NDF ON SEF data is only available for bulk historical purchase.
FAQ
What format is the file delivered in?
Data is provided in Binary – SBE (Simple Binary Encoding) format.
Are files compressed?
Yes, the files are compressed into zip files.
How is this data calculated?
Data is calculated using real time quote submission and trades from the matching engines.
How many files are available per day?
EBS Ultra Spot FX:
Prior to the Globex Migration on May 16, 2022 – 1 file
After May 16, 2022 – 2 files; 1 file represents the NY Matching Engine on CME Globex channel 528 and 1 file represents the London Matching Engine on CME Globex channel 529
EBS Ultra NDF:
1 file for NDF OFF-SEF
NDF ON SEF On-going daily files are no longer available. Only bulk historical data is available for NDF ON SEF from March 22, 2018 to September 27, 2024.Â
What datasets are available via DataMine?
EBS Ultra-Binary files for EBS Spot FX, NDF ON SEF and NDF OFF SEF.Â
How far back do you maintain these dataset records?
Spot FX – 17 January 2017
NDF OFF SEF – 22 March 2018
NDF ON SEF – 22 March 2018
Do you have sample files available?
Yes, please contact cmedatasales@cmegroup.com to request sample files.
Are there any dates missing for EBS Ultra Spot FX or NDF historical data?
No
What currency pairs are available for Ultra EBS Spot FX?
SPOT FX |
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SPOT FX | ||
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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 |
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PRECIOUS METALS | |
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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 currencies are available for Ultra EBS NDFs?
ON SEF |
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ON SEF | |
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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 |
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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 |
What tenors are available for NDFs?
1M, 2M, 3M, EOM*
Note
*Please note, 2M, 3M, EOM tenors will only be available for certain currencies listed above and are not as liquid as the 1M tenor.
How often is data delivered?
Daily
When are these files delivered?
Sunday to Friday at approximately 7PM EST
Is there a certain process I must use to be able to use the data?
No, customers can receive the data in any of our delivery methods.
How large are the average daily files?
Ultra Spot Binary – 8mb (NY) and 34mb (London)
Ultra OFF SEF NDF Binary – 465 kb
Ultra ON SEF NDF Binary  - 15 kb
What is EBS Ultra-Binary?
EBS Ultra-Binary historical files are reflective of the high performance, lowest latency trade feed data for Spot FX and NDF, sourced from EBS’ central limit order book (CLOB).Â
How is content in a dataset best described?
Order book and trade data at a 5ms interval for EBS Spot FX and 100ms for EBS NDF instruments.
For what is the data used?
Including but not limited to: Trading, External pricing, Aggregators, Data Analysis, External literatures.
What are the specification details for the EBS Ultra Binary data?
Below are details for CME SBE protocol for the Ultra Binary data as of May 16, 2022, when EBS Migrated to CME Globex:
Message Length: 2 bytes
Binary Packet header: 12 bytes
MsgSeqNum: 4 bytes
SendingTime: 8 bytes
Message Header: 10 bytes
MsgSize: 2 bytes
SBE Message Payload
SBE Header: 8 bytes
Block Length: 2 bytes
Template ID: 2 bytes
Schema ID: 2 bytes
Version: 2 bytes
SBE Message: MsgSize - 22 bytes
For detailed information regarding the specification of the Ultra Binary data from January 2017 – May 13, 2022 (prior to the CME Globex Migration that occurred May 16, 2022) please refer to this document:  EBS Ultra Binary specificationsÂ
Are there any notable changes to the datasets?
Please note changes that were made to the datasets:
EBS ULTRA SPOT FX CHANGES- History Start: January 17, 2017 |
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EBS ULTRA SPOT FX CHANGES- History Start: January 17, 2017 | |||
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January 30, 2017 | USD/MXN Price Increment Change | USD/MXN | Price increment changed from 5 pip 10 pip |
January 30, 2017 | Ultra Distribution Change - 5ms | All spot pairs | Distribution slot DS02 configured to publish spot updates every 5ms (down from 20ms). |
February 13, 2017 | USD/CNH now a Major | USD/CNH | USD/CNH classified as a "Major" pair on EBS Market, MQL of 50ms applied to AIs (in line with other major pairs). |
July 21, 2017 | Change to small metals' hi/lo criteria | xau/eur (SAU/EUR), xag/usd (SAG/USD) | xau/eur - required dealt amount now 1000oz |
xag/usd - required dealt amount 25000oz and touch minimum dealt amount 5000oz | |||
September 4, 2017 | Change to min trade size of GBP/USD | GBP/USD | Price increment and minimum order/trade size changes for GBP/USD from 1 million to 500k |
December 18, 2017 | DSM alignment to DST | EBS Market all pairs | Transaction times for Maker and Taker tickets aligned to DST time, required for MiFID. |
The following currencies are no longer available in the EBS Spot FX Ultra 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 table below shows changes to some of the Precious Metals symbols effective, May 16, 2022:Â Â Â Â Â Â Â Â Â Â Â Â Â
PRECIOUS METALS |
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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 | Â SAU/EUR | XAU/EUR SM |
Small Gold | Â SAU/USD | XAU/USD SM |
EBS ULTRA NDF ON SEF & OFF SEF CHANGES - History Start: March 22, 2018
March 18, 2018 | Enablement of NDF market data on EBS Ultra | All EBS Market NDF pairs across two channels - On and Off-SEF. Market data updates of Asian NDFs to 5 price levels; LATAM NDFs to 3 price levels. | Off-SEF channel offer paid/give data (trade messages); on-SEF channel does not (only price level updates). Price updates at 100ms publication interval. |
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