EBS NDF

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

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



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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What currencies are available for NDFs?

ON SEF

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

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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How is the data structured?

EBS NDF Tick

Field Order

Title

Format

Description

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

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

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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