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BrokerTec European Government Bonds - EGB

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European Government Bond (EGB) data is sourced from CME’s BrokerTec electronic fixed income platform. As one of Europe’s leading interdealer platforms in the market, BrokerTec data offers consumers reliable pricing across key European markets. BrokerTec EGB data consists of executable prices, creating a valuable tool for price discovery and validation. The historical data covers daily order book price information and transaction data from the European trading day.

Contents

Other Datasets

Resources

Dates Available

European Government Bond (EGB) files start on January 2, 2018 until present day.

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FAQ

 BrokerTec EU Government Bonds Format

What format is the file delivered in?

Data is provided in .csv format.

Are files compressed?

No, the files are not compressed into zip files.

 BrokerTec EU Government Bonds Availability

Which markets does BrokerTec EGB data cover?

BrokerTec EGB coverage spans across multiple European classifications and provides data for the following markets: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, Netherlands, Portugal, Slovakia, Slovenia and Spain.

What BrokerTec EGB products are available?

Historical EGB data is available via CME DataMine as on-going subscription of daily files, delivered at the end of the day and bulk historical files (one-off purchases).

All EGB history is offered on a two-day delay.

The historical files are split into two offerings: Orders + Trades combined in one file and/or just Trade data in a separate file.

How many files are available per day?

On-going subscription: 1 file a day with Daily Orders + Trades combined.

Bulk historical: Choice of 1 file with both Orders and Trades, or 1 file with Trades only.

**Files will be available on a 2-day delay. For example: Monday trade date files will be available and delivered on Wednesday.

The filename is reflective of the actual trade date.

There will be “ready” files that accompany the actual files, indicating that the corresponding csv file is available:

  • EGB Trades file: EU_GOVERNMENT_TRADES_FILE_YYYYMMDD.ready
  • EGB Orders + Trades file: EU_GOVERNMENT_TICK_FILE_YYYYMMDD.ready

Do you have sample files available?

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

How far back do you maintain these records?

EGB History is available from January 2, 2018 to present day.

Are there any days when the files will not be produced?

The EGB files will not be produced on: New Year’s Day, Good Friday, Easter Monday, 1 May (Labour Day), Christmas Day, 26 December (Boxing Day).

 BrokerTec EU Government Bonds Delivery

When are these files delivered?

Files are available Monday – Friday at approximately 6 PM CT / 7pm ET. The data in the files are available on a two-day delay.

 BrokerTec EU Government Bonds Interpretation

How large are these files?

The average daily file size is 300MB.

What data fields are available in the files?

Please refer to the field tables below.

Some fields and formatting have changed due to the CME BrokerTec migration to the CME Globex platform that took place January 18, 2021, therefore there are two tables depending on the timeframe – pre and post January 18, 2021.

FIELD LIST PRE-18 JANUARY 2021

Fields in the table are listed in the order they appear in the files.

TRADES (TWO- DAY DELAY)

Field NameDescription
Timestamp_loggedTimestamp & Date hh:mm:ss.ssssss yyyymmdd
Transaction TypeDenotes that record refers to a TRADE
Instrument IDInstrument name; Bond, Coupon, Maturity Month and Year
ISINISIN
PricePrice
Trade QuantityQuantity
Deal_Source (cash or basis)Deal Source, 1=outright
Trade Type1=aggressive 0=passive
SideBID or ASK
Order NumberSpecific to the BrokerTec Platform

ORDERS (TWO- DAY DELAY)

Field NameDescription
Timestamp_loggedTimestamp & Date hh:mm:ss.ssssss yyyymmdd
Transaction TypeDenotes that record is OB_CHANGE (Order Book Change)
Instrument IDInstrument name; Bond, Coupon, Maturity Month and Year
ISINISIN
OB PositionOrder Book position at the time of change in “action” field
ActionWhat action was taken in this record
Change reasonChange Reason: 1 = Order Deleted 6 = Order Added
Order NumberOrder Number Specific to the BrokerTec Platform
PricePrice
Quantity (m)Quantity
Bid/AskWhether the price is a Bid/Ask

The table below reflects the fields available in the file after January 18, 2021:

FIELD LIST POST 18 JANUARY 2021:

CONTENT (TWO-DAY DELAY)
TRADEALL Trades
Timestamphh:mm:ss.ssssss yyyymmdd
Record TypeTRADE
Instrument NameName of security: (Bond Type_Coupon_Maturity Month / Year)
ISINISIN; Identification code for each instrument
PremiumPrice in Globex format
QuantityTrade Volume in millions
Deal Source1=outright
Aggressive1=yes, 0=no (passive)
SideBID/ASK
Order NumberGlobex formatted order number
OB_CHANGE (TWO-DAY DELAY)
Timestamphh:mm:ss.ssssss yyyymmdd
Record TypeOB_CHANGE (Order Book Change)
Instrument NameName of security (Bond Type_Coupon_Maturity Month / Year)
ISINISIN; Identification code for each instrument
Order Priority*** see below for details
Ob CommandADD, DELETE, ALTER
Change Reason** see below for details
Order NumberGlobex formatted order number
PremiumPrice in Globex format
QuantityNotional amount shown (in millions)
SideBID/ASK
** Change Reason
1Cancelled Order
3Fill
4Rejected Order
5Modified Order
6New Order
9Elimination by CME Global Command Center
43SMP Cancel (Self Match Prevention)
45

Indicates a Business Level Reject which is generated by CME Globex when a message submitted by the client fails business level validation.

This can happen for any of the following reasons:

  • Unknown ID
  • Unknown security
  • Unsupported message type
  • Application not available
  • Conditionally required field missing
  • Not authorized
  • Delivery to firm not available
  • Other (unspecified)
*** Order Priority Example
Book PriorityTag 37707 - MDOrderPriority (Order Priority)Order ID759QuantityPriceSide
1653654111101000Buy
27036997591201000Buy
3765935201301000Buy
452412390150980Buy

OrderPriority (from Globex tag 37707-MDOrderPriority), from lowest to highest values, is used to position the order against other orders of the same instrument, side, and price.

To build the full depth order book, each order must be sorted by instrument, side, and price (in descending order for Bids and ascending order for Asks). Then the order priority number must be applied only to the orders of the same price/ side.

In the example shown here, 37-OrderID 111 has a better book priority (1) than OrderID 901 despite OrderID 901 having a lower tag 37707-MDOrderPriority value.

As shown in the example to the left, a lower value is a better priority.






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