European Government Bond (EGB) data is sourced from CME’s BrokerTec electronic fixed income platform. As one of Europe’s leading interdealer platforms in the market, BrokerTec data offers consumers reliable pricing across key European markets. BrokerTec EGB data consists of executable prices, creating a valuable tool for price discovery and validation. The historical data covers daily order book price information and transaction data from the European trading day.

Contents

Resources

Dates Available

European Government Bond (EGB) files start on January 2, 2018 until present day.

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FAQ

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No, the files are not compressed into zip files.

Which markets does BrokerTec EGB data cover?

BrokerTec EGB coverage spans across multiple European classifications and provides data for the following markets: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Slovakia, Slovenia and Spain.

What BrokerTec EGB products are available?

Historical EGB data is available via CME DataMine as on-going subscription of daily files, delivered at the end of the day and bulk historical files (one-off purchases).

All EGB history is offered on a two-day delay.

The historical files are split into two offerings: Orders + Trades combined in one file and/or just Trade data in a separate file.

How many files are available per day?

On-going subscription: 1 file a day with Daily Orders + Trades combined.

Bulk historical: Choice of 1 file with both Orders and Trades, or 1 file with Trades only.

**Files will be available on a 2-day delay. For example: Monday trade date files will be available and delivered on Wednesday.

The filename is reflective of the actual trade date.

There will be “ready” files that accompany the actual files, indicating that the corresponding csv file is available:

EGB Trades file: EU_GOVERNMENT_TRADES_FILE_YYYYMMDD.ready
EGB Orders + Trades file: EU_GOVERNMENT_TICK_FILE_YYYYMMDD.ready

Do you have sample files available?

Yes, please contact cmedatasales@cmegroup.com to request sample files.

How far back do you maintain these records?

EGB History is available from January 2, 2018 to present day.

Are there any days when the files will not be produced?

The EGB files will not be produced on: New Year’s Day, Good Friday, Easter Monday, 1 May (Labour Day), Christmas Day, 26 December (Boxing Day).

When are these files delivered?

Files are available Monday – Friday at approximately 6 PM CT / 7pm ET. The data in the files are available on a two-day delay.

How large are these files?

The average daily file size is 300MB.

What data fields are available in the files?

Please refer to the field tables below.

Some fields and formatting have changed due to the CME BrokerTec migration to the CME Globex platform that took place January 18, 2021, therefore there are two tables depending on the timeframe – pre and post January 18, 2021.

FIELD LIST PRE-18 JANUARY 2021

Fields in the table are listed in the order they appear in the files.

TRADES (TWO- DAY DELAY)

Field Name	Description

Field Name	Description
Timestamp_logged	Timestamp & Date hh:mm:ss.ssssss yyyymmdd
Transaction Type	Denotes that record refers to a TRADE
Instrument ID	Instrument name; Bond, Coupon, Maturity Month and Year
ISIN	ISIN
Price	Price
Trade Quantity	Quantity
Deal_Source (cash or basis)	Deal Source, 1=outright
Trade Type	1=aggressive 0=passive
Side	BID or ASK
Order Number	Specific to the BrokerTec Platform

ORDERS (TWO- DAY DELAY)

Field Name	Description

Field Name	Description
Timestamp_logged	Timestamp & Date hh:mm:ss.ssssss yyyymmdd
Transaction Type	Denotes that record is OB_CHANGE (Order Book Change)
Instrument ID	Instrument name; Bond, Coupon, Maturity Month and Year
ISIN	ISIN
OB Position	Order Book position at the time of change in “action” field
Action	What action was taken in this record
Change reason	Change Reason: 1 = Order Deleted 6 = Order Added
Order Number	Order Number Specific to the BrokerTec Platform
Price	Price
Quantity (m)	Quantity
Bid/Ask	Whether the price is a Bid/Ask

The table below reflects the fields available in the file after January 18, 2021:

FIELD LIST POST 18 JANUARY 2021:

CONTENT (TWO-DAY DELAY)

CONTENT (TWO-DAY DELAY)

TRADE

ALL Trades

Timestamp

hh:mm:ss.ssssss yyyymmdd

Record Type

TRADE

Instrument Name

Name of security: (Bond Type_Coupon_Maturity Month / Year)

ISIN

ISIN; Identification code for each instrument

Premium

Price in Globex format

Quantity

Trade Volume in millions

Deal Source

1=outright

Aggressive

1=yes, 0=no (passive)

Side

BID/ASK

Order Number

Globex formatted order number

OB_CHANGE (TWO-DAY DELAY)

Timestamp

hh:mm:ss.ssssss yyyymmdd

Record Type

OB_CHANGE (Order Book Change)

Instrument Name

Name of security (Bond Type_Coupon_Maturity Month / Year)

ISIN

ISIN; Identification code for each instrument

Order Priority

*** see below for details

Ob Command

ADD, DELETE, ALTER

Change Reason

** see below for details

Order Number

Globex formatted order number

Premium

Price in Globex format

Quantity

Notional amount shown (in millions)

Side

BID/ASK

** Change Reason

1

Cancelled Order

3

Fill

4

Rejected Order

5

Modified Order

6

New Order

9

Elimination by CME Global Command Center

43

SMP Cancel (Self Match Prevention)

45

Indicates a Business Level Reject which is generated by CME Globex when a message submitted by the client fails business level validation.

This can happen for any of the following reasons:

Unknown ID
Unknown security
Unsupported message type
Application not available
Conditionally required field missing
Not authorized
Delivery to firm not available
Other (unspecified)

*** Order Priority Example

Book Priority	Tag 37707 - MDOrderPriority (Order Priority)	Order ID759	Quantity	Price	Side
1	653654	111	10	1000	Buy
2	703699	759	120	1000	Buy
3	765935	201	30	1000	Buy
4	524123	901	50	980	Buy

OrderPriority (from Globex tag 37707-MDOrderPriority), from lowest to highest values, is used to position the order against other orders of the same instrument, side, and price.

To build the full depth order book, each order must be sorted by instrument, side, and price (in descending order for Bids and ascending order for Asks). Then the order priority number must be applied only to the orders of the same price/ side.

In the example shown here, 37-OrderID 111 has a better book priority (1) than OrderID 901 despite OrderID 901 having a lower tag 37707-MDOrderPriority value.

As shown in the example to the left, a lower value is a better priority.

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BrokerTec European Government Bonds - EGB

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