What tenors are available for purchase?
2 Year, 3 Year, 5 Year, 7 Year, 10 Year, 20 Year & 30 Year US Treasury tenors are available for purchase.
How many files are available per day?
Top of Book – 7 individual files are available daily (each file consists of one benchmark tenor)
Depth of Book – 7 individual files are available daily (each file consists of one benchmark tenor)
Full Order Book – 14 individual files are available daily (2 files per benchmark tenor)
How far back do you maintain these records?
Full Order Book data is available from July 2000 to present day. As of February 1, 2021, Workup details are no longer available.
Depth of Book and Top of Book data is available from July 2014 to present.
How many levels of depth are available?
Top of Book is the best bid and offer price (BBO) of a tenors order book.
Depth of Book is 5 levels deep for the bid and ask of a tenors order book.
Full Order Book is all bid and asks in a tenors order book
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:
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2000 | 10-year note issuance was changed. Original issues (OI) were offered in February and August, and were later reopened in May and November. |
2002 | May 2002: Discontinuance of regular re-openings of 5-year notes. Previously OI 5-year notes were issued May and November with re-openings in August and February. With this change, 5-year notes continued to be issued quarterly, but all as OIs. |
2002 | August 2002: Discontinuance of regular re-openings of 10-year notes. Previously OI 10-year notes were issued February and August with re-openings in May and November. With this change, 10-year notes continued to be issued quarterly, but all as OIs. |
2003 | February 2003: 3-year note reintroduced. These securities were offered with every quarterly refunding. |
2003 | February 2003: Regular re-openings of 5-year notes reintroduced. Original issue auctions would take place every quarter and the re-openings would take place one month afterwards. |
2003 | August 2003: 5-year notes began a monthly issuance cycle. All 5-year notes were issued mid-month as original issue securities. |
2003 | August 2003: Intra-quarterly re-openings of the 10-year note introduced. Before this change, the 10-year note was being issued on a quarterly basis as an OI. After the change, 10-year notes were auctioned every quarter with a reopening of each security taking place one month after the original issue. |
2006 | February 2006: 5-year note issuance moved from middle of the month to end of the month. |
2007 | May 2007: 3-year note discontinued after May issuance. |
2008 | November 2007: 3-year note reintroduced with issuance occurring on a monthly basis. |
2008 | November 2008: A second reopening of the 10-year note was introduced. 10-year notes were issued as OIs every quarter with the each security being reopened the first time a month after the OI and a second reopening taking place two months after the OI issue. |
2009 | February 2009: 7-year note reintroduced. First auction took place February 26, 2009. |
2020 | May 2020: 20-year note introduced. First auction took place May 20, 2020 |
2021 | On February 1, 2021 the BrokerTec US platform migrated to CME Globex. Due to this, Workup details were removed and there were changes made in some of the Order Book and Trade fields. |