GovPX Historical Data
- CME Group
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.
Contents
- 1 Dates Available
- 1.1 By Dataset
- 2 Sample Files
- 3 FAQ
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 |
Sample Files
Dataset | Sample File |
---|
Dataset | Sample File |
---|---|
GovPX- US Treasuries | |
GovPX- FRNs | |
GovPX- Agencies | |
GovPX- TIPS |
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 | B | 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 | B | 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 |