GovPX Historical Data

This page describes the types of NEX GovPX data available from CME DataMine.

NEX GovPX US Treasury Service offers comprehensive market data coverage across a wide range of US Treasury markets.  Historical price discovery is available for both on-the-run and off-the-run issues, including US Treasury Bills, Notes, Bonds, When Issued (WIs), FRNs, TIPS, STRIPS, Basis, Swap boxes and Agencies dating back as far as 2009. 


Dates Available

GovPX historical data is available starting January 2, 2009 to present*. 

*History start dates may vary depending on discontinued or reopened issues.  

By Dataset

 

Dataset

Category

Start Date

End Date

Dataset

Category

Start Date

End Date

GovPX

US Treasury Bills, Notes & Bonds - 1M, 3M, 6M, 1Y, 2Y, 3Y, 5Y, 10Y, 30Y

1/02/2009

Present

GovPX

US TIPS

1/02/2009

Present

GovPX

US STRIPS

1/02/2009

Present

GovPX

US Government Agencies

1/02/2009

Present

GovPX

US Treasury 7 Year Note

2/26/2009

Present

GovPX

US Basis

8/06/2010

Present

GovPX

US Treasury Swap Boxes

08/09/2010

Present

GovPX

US Treasury FRNs

01/24/2014

Present

GovPX

US Treasury Bill- 2M

10/16/2018

Present

GovPX

US Treasury Bill- 4M

10/19/2022

Present

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Sample Files

 

Dataset

Sample File

Dataset

Sample File

GovPX- US Treasuries

6/6/2019

GovPX- FRNs

6/6/2019

GovPX- Agencies

6/6/2019

GovPX- TIPS

6/6/2019

 

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FAQ

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, off-the-runs and WIs for Bills, Notes & Bonds are available, as well as TIPS (Treasury Inflation Protected Securities), STRIPS (Separate Trading of Registered Interest and Principle of Securities), Basis, SwapBoxes, FRNs & Agencies. 

How many files are available per day?

4 files are available per day. These files are listed below:

NEXGOVPX_UST_YYYYMMDD.csv

NEXGOVPX_FRN_YYYYMMDD.csv

NEXGOVPX_Agencies_YYYYMMDD.csv

NEXGOVPX_TIPS_YYYYMMDD.csv

How far back do you maintain these records?

January 1, 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:

Year

Event

Year

Event

2009

February 2009: 7-year note reintroduced. First auction took place February 26, 2009.

2011

March 30, 2011: 30-year data missing 12:30 – 5:55pm NYT. 

2012

July 19, 2012: no data available

When are these files delivered?

The files are delivered once per business day; at the close of every business day. This is usually around 6 PM 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?

Average daily size of the GovPX file is 5-10 MB (compressed) per day.

What is the file structure for the GovPX dataset?

Please see the below table to find the file structure for this dataset.

US Treasury File

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Timestamp

A

2019-03-20T09:08:32.461-04:00

yyyy-mm-ddThh:mm:ss.sss

Date & Time of update

Producer

US_GOVPX

US_GOVPX

GovPX US Treasury Source

Record

C

10_YEAR

1_MONTH, 2_MONTH, 3_MONTH,  4_MONTH, 6_MONTH, 1_YEAR, 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 20_YEAR, 30_YEAR, 1_MONTH_WI, 2_MONTH_WI, 3_MONTH_WI, 4_MONTH_WI, 6_MONTH_WI, 1_YEAR_WI, 2_YEAR_WI, 3_YEAR_WI, 5_YEAR_WI, 7_YEAR_WI, 10_YEAR_WI, 20_YEAR_WI, 30_YEAR_WI, 1MO_ROLL, 2MO_ROLL, 3MO_ROLL, 4MO_ROLL, 6MO_ROLL, 12M_ROLL, 2_YR_ROLL, 3_YR_ROLL, 5_YR_ROLL, 7_YR_ROLL, 10_YR_ROLL, 20_YR_ROLL, 30_YR_ROLL.  (CUSIPs will be listed as records for most issues). 

Instrument Name

Ask

D

100.1641

decimal 

Ask Price

AskType

E

17

numeric

Instrument Identifier

AskYield

F

3.03

decimal 

Ask Yield in percent 

Bid

G

100.1016

decimal 

Bid Price

BidType

H

16

numeric

 

BidYield

I

2.265

decimal 

Bid Yield in percent

BidYieldChg

J

9128286B1

int64

Security Identifier

CashAskPrice

K

100.1328

decimal 

Cash Ask Price

CashBidPrice

L  

-0.03125

decimal 

Cash Bid Price

CashMidPrice

M

100.0090779

decimal

Mid Price of Cash Market

Change

N

2.613

decimal 

Change

Coupon

O

2.265

decimal

Interest

CUSIP 

P

9128286B1

alphanumeric

Security Identifier

Description

Q

1MO_04/30

alphanumeric

Issue Description

DollarFlow

R

-1804

numeric 

Trade Size relevant to Trade Price being greater than or equal to the previous trade price. If the current trade price is greater than or equal to the previous trade price the current trade size is added to the Dollar Flow.  Otherwise, the current trade size is subtracted from the Dollar Flow.

High

S

0.011

decimal 

High price of the day

ICAPVOL 

T

24309

int64

Total Market Volume

IndicativeAskPrice

U

100.1640625

decimal

Indicative Ask Price

IndicativeAskYield

V

2.403

decimal 

Indicative Ask Yield 

IndicativeBidPrice

W

100.1015625

decimal

Indicative Bid Price

IndicativeBidYield

X

2.4

decimal

Indicative Bid Yield

IssueDate

Y

20190215

yyyymmdd

Date of Issuance

Last

Z

99.76563

decimal

Last Trade Price

LastHitorTake

AA

H

H; T

Last Trade Price Hit or Take 

LastYield

AB

2.36

decimal 

Yield at last trade

Low 

AC

99.89063

decimal

Lowest price for the trading day

MaturityDate

AD

20290215

yyyymmdd

Date of Maturity

Mid

AE

100.1328

decimal

Mid Price

MidChg

AF

-0.03125

decimal 

Mid Price Change

MidSnapChg

AG

0.8817

decimal 

Mid price change on day from previous day

MidYield

AH

2.6095

decimal

Mid Yield in percent

MidYldSnapChg

AI

0.011

decimal 

Mid yield change on day from previous day

Open

AJ

100.1563

decimal

First price of the day 

SettlementDate

AK

20190320

yyyymmdd

Settlement Date

ShortDescription

AL

10Y

1M, 2M, 3M, 4M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y, 1MW, 2MW, 3MW, 4MW, 6MW, 1YW, 2YW, 3YW, 5YW, 7YW, 10YW, 20YW, 30YW, I (STRIPS Interest), P (STRIPS Princpal); 5t, 10t, 20t, 30t (TIPS).

Short Description Name 

TreasuryType

AM

151

150 - off-the-runs notes & bonds; 151- active notes & bonds; 152 - off-the-run bills; 153 - active bills, 154 - WI notes & bonds; 157 - TIPS (Treasury Inflation-Protected Securities).   

Type of Treasury

VoiceAskPrice

AN

99.765625

decimal 

Ask, when actual markets are available

VoiceAskSize

AO

5

int64

Ask Size, when actual markets are available

VoiceAskYield

AP

2.37

decimal 

Ask Yield, when actual markets are available

VoiceBidPrice

AQ

99.76171875

decimal 

Bid, when actual markets are available

VoiceBidSize

AR

5

int64

Bid Size, when actual markets are available

VoiceBidYield

AS

2.4

decimal 

Bid Yield, when actual markets are available

VoiceTradeSize

AT

5

decimal 

Size of voice executed trade

VWAP

AU

99.76171875

decimal 

VWAP for day

VWAP10AM-11AM

AV

99.76171875

decimal 

VWAP for time period

VWAP11AM-12PM

AW

99.76171875

decimal 

VWAP for time period

VWAP12PM-1PM

AX

99.76171875

decimal 

VWAP for time period

VWAP1PM-2PM

AY

99.76171875

decimal 

VWAP for time period

VWAP2PM-3PM

AZ

99.76171875

decimal 

VWAP for time period

VWAP3PM-4PM

BA

99.76171875

decimal 

VWAP for time period

VWAP8AM-9AM

BC

99.76171875

decimal 

VWAP for time period

VWAP9AM-10AM

BD

99.76171875

decimal 

VWAP for time period

VWAY

BE

99.76171875

decimal 

VWAY for day

VWAY10AM-11AM

BF

99.76171875

decimal 

VWAY for time period

VWAY11AM-12PM

BG

99.76171875

decimal 

VWAY for time period

VWAY12PM-1PM

BH

99.76171875

decimal 

VWAY for time period

VWAY1PM-2PM

BI

99.76171875

decimal 

VWAY for time period

VWAY2PM-3PM

BJ 

-99.76171875

decimal 

VWAY for time period

VWAY3PM-4PM

BK

99.76171875

decimal 

VWAY for time period

VWAY8AM-9AM

BL

99.76171875

decimal 

VWAY for time period

 

TIPS file

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

FIELD NAME

CSV COLUMN

EXAMPLE VALUE

SUPPORTED VALUE

DESCRIPTION

Timestamp

A

2019-03-20T09:08:32.461-04:00

yyyy-mm-ddThh:mm:ss.sss

Date & Time of update

Producer

US_GOVPX

US_GOVPX

GovPX US Treasury Source

Record

C

10_YEAR

1_MONTH, 2_MONTH, 3_MONTH, 4_MONTH, 6_MONTH, 1_YEAR, 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 20_YEAR, 30_YEAR, 1_MONTH_WI, 2_MONTH_WI, 3_MONTH_WI, 4_MONTH_WI, 6_MONTH_WI, 1_YEAR_WI, 2_YEAR_WI, 3_YEAR_WI, 5_YEAR_WI, 7_YEAR_WI, 10_YEAR_WI, 20_YEAR_WI, 30_YEAR_WI, 1MO_ROLL, 2MO_ROLL, 3MO_ROLL, 4MO_ROLL, 6MO_ROLL, 12M_ROLL, 2_YR_ROLL, 3_YR_ROLL, 5_YR_ROLL, 7_YR_ROLL, 10_YR_ROLL, 20_YR_ROLL, 30_YR_ROLL.  (CUSIPs will be listed as records for most issues). 

Instrument Name

Ask

D

100.1641

decimal 

Ask Price

AskYield

E

3.03

decimal 

Ask Yield in percent 

Bid

F

100.1016

decimal 

Bid Price

BidYield

G

2.265

decimal 

Bid Yield in percent

BidYieldChg

H

9128286B1

int64

Security Identifier

BidYieldChg

I

3

int64

 

Coupon

J

2.265

decimal

Interest

CUSIP 

K

9128286B1

alphanumeric

Security Identifier

Description

L

1MO_04/30

alphanumeric

Issue Description

High

M

0.011

decimal 

High price of the day

ICAPVOL 

N

24309

int64

Total Market Volume

IndicativeAskPrice

O

100.1640625

decimal

Indicative Ask Price

IndicativeAskYield

P

2.403

decimal 

Indicative Ask Yield 

IndicativeBidPrice

Q

100.1015625

decimal

Indicative Bid Price

IndicativeBidYield

R

2.4

decimal

Indicative Bid Yield

IssueDate

S

20190215

yyyymmdd

Date of Issuance

Last

T

99.76563

decimal

Last Trade Price

LastHitorTake

U

H

H; T

Last Trade Price Hit or Take 

LastYield

V

2.36

decimal 

Yield at last trade

Low 

W

99.89063

decimal

Lowest price for the trading day

MaturityDate

X

20290215

yyyymmdd

Date of Maturity

Mid

Y

100.1328

decimal

Mid Price

MidChg

Z

-0.03125

decimal 

Mid Price Change

MidSnapChg

A

0.8817

decimal 

Mid price change on day from previous day

MidYield

AB

2.6095

decimal

Mid Yield in percent

MidYldSnapChg

AC

0.011

decimal 

Mid yield change on day from previous day

Open

AD

100.1563

decimal

First price of the day 

SettlementDate

AE

20190320

yyyymmdd

Settlement Date

ShortDescription

AF

10Y

1M, 2M, 3M, 4M, 6M, 1Y, 2Y, 3Y, 5Y, 7Y, 10Y, 20Y, 30Y, 1MW, 2MW, 3MW, 6MW, 1YW, 2YW, 3YW, 5YW, 7YW, 10YW, 20YW, 30YW, I (STRIPS Interest), P (STRIPS Princpal); 5t, 10t, 20t, 30t (TIPS).

Short Description Name 

Spread

AG

0

numeric

 

TreasuryType

AH

161

TIPS

Security Type

VoiceAskPrice

AI

99.765625

decimal 

Ask, when actual markets are available

VoiceAskSize

AJ

5

int64

Ask Size, when actual markets are available

VoiceAskYield

AK

2.37

decimal 

Ask Yield, when actual markets are available

VoiceBidPrice

AL

99.76171875

decimal 

Bid, when actual markets are available

VoiceBidSize

AM