EBS Ultra data is reflective of the EBS Live Ultra streaming near real-time trade feed of Spot FX & NDF prices sourced from the primary market central limit order book – EBS Market, with near continuous order book and trade data information. EBS Live Ultra is unscreened market data providing traders with a more contiguous order book with enhanced price discovery and a greater number of matching opportunities.

Historical data available for EBS Ultra:

EBS Ultra Spot FX
EBS Ultra NDF OFF SEF
EBS Ultra NDF ON SEF

Contents

1 Dates Available
2 FAQ
- 2.1 Note

Other Datasets

Resources

Dates Available

Available dates for historical data for EBS Ultra are as follows:

NDF ON SEF: March 22, 2018
NDF OFF SEF: March 22, 2018
Spot FX: January 17, 2017

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FAQ

What format is the file delivered in?

Data is provided in Binary – SBE (Simple Binary Encoding) format.

Are files compressed?

Yes, the files are compressed into zip files.

How is this data calculated?

Data is calculated using real time quote submission and trades from the matching engines.

How many files are available per day?

EBS Ultra Spot FX:

Prior to the Globex Migration on May 16, 2022 – 1 file
After May 16, 2022 – 2 files; 1 file represents the NY Matching Engine on CME Globex channel 528 and 1 file represents the London Matching Engine on CME Globex channel 529

EBS Ultra NDF:

1 file for NDF ON-SEF and 1 file for NDF OFF-SEF

What datasets are available via DataMine?

EBS Ultra-Binary files for EBS Spot FX, NDF ON SEF and NDF OFF SEF.

How far back do you maintain these dataset records?

Spot FX – 17 January 2017

NDF OFF SEF – 22 March 2018

NDF ON SEF – 22 March 2018

Do you have sample files available?

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

Are there any dates missing for EBS Ultra Spot FX or NDF historical data?

No

What currency pairs are available for Ultra EBS Spot FX?

SPOT FX

SPOT FX
EUR/USD	GBP/AUD	EUR/NOK
USD/JPY	GBP/CAD	EUR/PLN
USD/CHF	GBP/CHF	EUR/RON
EUR/CHF	GBP/CNH	EUR/RUB
EUR/JPY	GBP/JPY	EUR/SEK
AUD/CAD	GBP/NZD	NOK/SEK
AUD/CHF	GBP/USD	USD/DKK
AUD/CNH	NZD/CAD	USD/HKD
AUD/JPY	NZD/JPY	USD/KZT
AUD/NZD	NZD/USD	USD/NOK
AUD/USD	SGD/CNH	USD/PLN
CAD/CHF	USD/CAD	USD/RUB
CAD/JPY	USD/ILS	USD/SEK
CHF/JPY	USD/MXN	USD/SGD
CNH/JPY	USD/CNH	USD/THB
EUR/AUD	EUR/CNH	USD/TRY
EUR/CAD	EUR/CZK	USD/ZAR
EUR/GBP	EUR/DKK
EUR/NZD	EUR/HUF

PRECIOUS METALS

PRECIOUS METALS
Description	Symbol
Palladium (loco London)	XPD/USD LN
Platinum (loco London)	XPT/USD LN
Palladium (loco Zurich)	XPD/USD
Platinum (loco Zurich)	XPT/USD
Silver	XAG/USD
Small Silver	XAG/USD SM
Small Gold	XAU/EUR SM
Small Gold	XAU/USD SM

What currencies are available for Ultra EBS 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

What tenors are available for NDFs?

1M, 2M, 3M, EOM*

Note

*Please note, 2M, 3M, EOM tenors will only be available for certain currencies listed above and are not as liquid as the 1M tenor.

How often is data delivered?

Daily

When are these files delivered?

Sunday to Friday at approximately 7PM EST

Is there a certain process I must use to be able to use the data?

No, customers can receive the data in any of our delivery methods.

How large are the average daily files?

Ultra Spot Binary – 8mb (NY) and 34mb (London)

Ultra OFF SEF NDF Binary – 465 kb

Ultra ON SEF NDF Binary - 15 kb

What is EBS Ultra-Binary?

EBS Ultra-Binary historical files are reflective of the high performance, lowest latency trade feed data for Spot FX and NDF, sourced from EBS’ central limit order book (CLOB).

How is content in a dataset best described?

Order book and trade data at a 5ms interval for EBS Spot FX and 100ms for EBS NDF instruments.

For what is the data used?

Including but not limited to: Trading, External pricing, Aggregators, Data Analysis, External literatures.

What are the specification details for the EBS Ultra Binary data?

Below are details for CME SBE protocol for the Ultra Binary data as of May 16, 2022, when EBS Migrated to CME Globex:

Message Length: 2 bytes
Binary Packet header: 12 bytes
- MsgSeqNum: 4 bytes
- SendingTime: 8 bytes

Message Header: 10 bytes
- MsgSize: 2 bytes
SBE Message Payload
- SBE Header: 8 bytes
  - Block Length: 2 bytes
  - Template ID: 2 bytes
  - Schema ID: 2 bytes
  - Version: 2 bytes
- SBE Message: MsgSize - 22 bytes

For detailed information regarding the specification of the Ultra Binary data from January 2017 – May 13, 2022 (prior to the CME Globex Migration that occurred May 16, 2022) please refer to this document: EBS Ultra Binary specifications

Are there any notable changes to the datasets?

Please note changes that were made to the datasets:

EBS ULTRA SPOT FX CHANGES- History Start: January 17, 2017

EBS ULTRA SPOT FX CHANGES- History Start: January 17, 2017
January 30, 2017	USD/MXN Price Increment Change	USD/MXN	Price increment changed from 5 pip 10 pip
January 30, 2017	Ultra Distribution Change - 5ms	All spot pairs	Distribution slot DS02 configured to publish spot updates every 5ms (down from 20ms).
February 13, 2017	USD/CNH now a Major	USD/CNH	USD/CNH classified as a "Major" pair on EBS Market, MQL of 50ms applied to AIs (in line with other major pairs).
July 21, 2017	Change to small metals' hi/lo criteria	xau/eur (SAU/EUR), xag/usd (SAG/USD)	xau/eur - required dealt amount now 1000oz
July 21, 2017	Change to small metals' hi/lo criteria	xau/eur (SAU/EUR), xag/usd (SAG/USD)	xag/usd - required dealt amount 25000oz and touch minimum dealt amount 5000oz
September 4, 2017	Change to min trade size of GBP/USD	GBP/USD	Price increment and minimum order/trade size changes for GBP/USD from 1 million to 500k
December 18, 2017	DSM alignment to DST	EBS Market all pairs	Transaction times for Maker and Taker tickets aligned to DST time, required for MiFID.

The following currencies are no longer available in the EBS Spot FX Ultra Files as of May 16, 2022:

USD/AED	EUR/ISK
USD/BRL	EUR/ZAR
USD/BHD	XAU/USD
USD/KWD	XAU/JPY
CNH/MXN	EUR/SKK
CNH/HKD	ZAR/JPY
USD/SAR	USD/MXC
CAD/CNH	USD/MXT
	BKT/RUB

The table below shows changes to some of the Precious Metals symbols effective, May 16, 2022:

PRECIOUS METALS

PRECIOUS METALS
Description	Legacy Identifier (pre-migration)	New Identifier (post-migration)
Palladium (loco London)	LPD/USD	XPD/USD LN
Platinum (loco London)	LPT/USD	XPT/USD LN
Palladium (loco Zurich)	XPD/USD	No change
Platinum (loco Zurich)	XPT/USD	No change
Silver	XAG/USD	No change
Small Silver	SAG/USD	XAG/USD SM
Small Gold	SAU/EUR	XAU/EUR SM
Small Gold	SAU/USD	XAU/USD SM

EBS ULTRA NDF ON SEF & OFF SEF CHANGES - History Start: March 22, 2018

March 18, 2018

Enablement of NDF market data on EBS Ultra

All EBS Market NDF pairs across two channels - On and Off-SEF. Market data updates of Asian NDFs to 5 price levels; LATAM NDFs to 3 price levels.

Off-SEF channel offer paid/give data (trade messages); on-SEF channel does not (only price level updates). Price updates at 100ms publication interval.

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