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
- 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 |
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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 |
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 |
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Description | Legacy Identifier (pre-migration) | New Identifier (post-migration) |
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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. |