- What is BrokerTec?
- What type of institutions trade on the BrokerTec Platform?
- What tenors are available for purchase?
- How many files are available per day?
- What is the precision level for timestamping for these datasets?
- What is the file format of the BrokerTec historical data?
- When are these files delivered?
- What is the average daily file size?
- Are files compressed?
- Does Full Order Book come from the same source as Top of Book and Depth of Book?
- How many levels of depth are available?
- Are sample files available?
- How far back do you maintain these records?
- Are there any anomalies in the data?
- If I purchase daily updates of these datasets, will I get historical data as well?
- Where can I obtain Security Definitions for the data in the Market Depth data?
- Data Structure
BrokerTec is the industry-leading anonymous dealer-to-dealer electronic trading platform for fixed income markets, providing innovative technology solutions across a wide range of products to customers in more than 50 countries around the world.
The BrokerTec platform facilitates the majority share of daily U.S. Treasury electronic trading volumes, giving traders the opportunity to participate in a highly liquid and anonymous trading environment.
BrokerTec is an anonymous, wholesale trading platform for dealers, banks, HFT firms, proprietary trading firms and hedge funds.
2-year, 3-year, 5-year, 7-year, 10-year and 30-year U.S. Treasury tenors are available.
Top of Book – six individual files are available daily (each file consists of one benchmark tenor)
Depth of Book – six individual files are available daily (each file consists of one benchmark tenor)
Full Order Book – 18 individual files are available daily (three files per benchmark tenor)
The Top of Book and Depth of Book datasets have millisecond precision.
The Full Order Book dataset has microsecond precision.
Data is provided in .csv format (comma separated values) for the Top of Book, Depth of Book and Full Order Book files.
The files are delivered once per business day; at the close of every business day.
Top of Book and Depth of Book daily files are delivered around 6pm EST.
Full Order Book daily files are are delivered around 7pm EST.
Top of Book – file size average between 2 to 5 MB per tenor, per day.
Depth of Book – file size average between 2 to 5 MB per tenor, per day.
Full Order Book – file size average between 2 to 10 MB per tenor, per day.
Yes, the files are compressed into zip files.
Full Order Book is an extract directly from the BTEC Platform.
Top of Book and Depth of Book is an output from the Market Data feed.
Top of Book is the best bid and offer price (BBO) of a tenors order book.
Depth of Book is 5 levels deep for the bid and ask of a tenors order book.
Full Order Book is all bid and asks in a tenors order book.
Yes, they are available. Please see the below table.
| Dataset | Sample File |
|---|---|
| Depth of Book | 2 Year- 1/8/2018 |
| Full Order Book - Orders | 2 Year- 1/8/2018 |
| Full Order Book - Trades | 2 Year- 1/8/2018 |
| Full Order Book - Work UP | 2 Year- 1/8/2018 |
| Top of Book | 2 Year- 1/8/2018 |
* Please note there are three files per day included in the Full Order Book dataset. These are the Work Up file, Trades file, and Orders file.
Dataset |
Tenor |
Start Date |
End Date |
|---|---|---|---|
Full Order Book |
2 Year |
6/29/00 |
Present |
Full Order Book |
3 Year |
5/7/03 |
Present |
Full Order Book |
5 Year |
6/29/00 |
Present |
Full Order Book |
7 Year |
3/2/09 |
Present |
Full Order Book |
10 Year |
6/29/00 |
Present |
Full Order Book |
30 Year |
6/29/00 |
Present |
Depth of Book |
All Tenors |
12/1/2014 |
Present |
Top of Book |
All Tenors |
12/1/2014 |
Present |
Yes, at times tenors have been temporarily discontinued and then reintroduced. These periods have been noted below:
| Year | Event |
|---|---|
| 2000 | 10-year note issuance was changed. Original issues (OI) were offered in February and August, and were later reopened in May and November. |
| 2002 | May 2002: Discontinuance of regular re-openings of 5-year notes. Previously OI 5-year notes were issued May and November with re-openings in August and February. With this change, 5-year notes continued to be issued quarterly, but all as OIs. |
| 2002 | August 2002: Discontinuance of regular re-openings of 10-year notes. Previously OI 10-year notes were issued February and August with re-openings in May and November. With this change, 10-year notes continued to be issued quarterly, but all as OIs. |
| 2003 | February 2003: 3-year note reintroduced. These securities were offered with every quarterly refunding. |
| 2003 | February 2003: Regular re-openings of 5-year notes reintroduced. Original issue auctions would take place every quarter and the re-openings would take place one month afterwards. |
| 2003 | August 2003: 5-year notes began a monthly issuance cycle. All 5-year notes were issued mid-month as original issue securities. |
| 2003 | August 2003: Intra-quarterly re-openings of the 10-year note introduced. Before this change, the 10-year note was being issued on a quarterly basis as an OI. After the change, 10-year notes were auctioned every quarter with a reopening of each security taking place one month after the original issue. |
| 2006 | February 2006: 5-year note issuance moved from middle of the month to end of the month. |
| 2007 | May 2007: 3-year note discontinued after May issuance. |
| 2008 | November 2007: 3-year note reintroduced with issuance occurring on a monthly basis. |
| 2008 | November 2008: A second reopening of the 10-year note was introduced. 10-year notes were issued as OIs every quarter with the each security being reopened the first time a month after the OI and a second reopening taking place two months after the OI issue. |
| 2009 | February 2009: 7-year note reintroduced. First auction took place February 26, 2009. |
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.
A security definition file is published daily and can be accessed here via ftp. A history of security definition files is also available by contacting the Platform Solutions team at platformsolutions@cmegroup.com.
| FIELD NAME | CSV COLUMN | EXAMPLE VALUE | SUPPORTED VALUE | DESCRIPTION |
|---|---|---|---|---|
| Date | A | 14/05/2018 19:32:51.501 | dd/mm/yyyy hh:mm:ss.sss | Date of update |
| Currency | B | USD | USD | Currency |
| Description | C | 10YR NOTE | 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE | Issue Tenor |
| Producer | D | US_500 | US_500 | BrokerTec Source |
| Record | E | 10_YEAR | 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR | Instrument Name |
| Bid | F | 98.92188 | decimal | Bid Price |
| Ask | G | 98.9375 | decimal | Ask Price |
| Bid Yield % | H | 3.001 | decimal | Bid Yield in percent |
| Ask Yield | I | 2.999 | decimal | Ask Yield in percent |
| Maturity Date | J | 15-May-28 | dd-mmm-yy | Date of Maturity |
| Coupon | K | 2.875 | decimal | Interest |
| Last Trade Price | L | 98.9375 | decimal | Traded Price |
| Last Trade Size mm | M | 7 | int64 | Quantity of last trade in millions |
| Mid Yield % | N | 2.999 | decimal | Mid Yield in percent |
| Bid Size mm | O | 2 | int64 | Quantity of Bid in millions |
| Ask Size mm | P | 2 | int64 | Quantity of Ask in millions |
| Duration | Q | 8.529709 | decimal | Avg time cash flows are received |
| Total Volume mm | R | 7 | int64 | Cumulative Volume in millions |
| Dollar Flow | S | -8 | int64 | Trade Size relevant to Trade Price being greater than or equal to the previous trade price |
| Close | T | 98.890625 | decimal | Closing price for the trading day |
| High | U | 98.9375 | decimal | Highest price for the trading day |
| Low | V | 98.9375 | decimal | Lowest price for the trading day |
| Open | W | 98.375 | decimal | First price for the day |
| FIELD NAME | CSV COLUMN | EXAMPLE VALUE | SUPPORTED VALUE | DESCRIPTION |
|---|---|---|---|---|
| Date | A | 14/05/2018 19:32:51.501 | dd/mm/yyyy hh:mm:ss.sss | Date of update |
| Currency | B | USD | USD | Currency |
| Description | C | 10YR NOTE | 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 30YR NOTE | Issue Tenor |
| Producer | D | US_500 | US_500 | BrokerTec Source |
| Record | E | 10_YEAR | 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 30_YEAR | Instrument Name |
| Bid | F | 98.92188 | decimal | Bid Price |
| Ask | G | 98.9375 | decimal | Ask Price |
| Bid Yield % | H | 3.001 | decimal | Bid Yield in percent |
| Ask Yield | I | 2.999 | decimal | Ask Yield in percent |
| Maturity Date | J | 15-May-28 | dd-mmm-yy | Date of Maturity |
| Coupon | K | 2.875 | decimal | Interest |
| Last Trade Price | L | 98.9375 | decimal | Traded Price |
| Last Trade Size mm | M | 7 | int64 | Quantity of last trade in millions |
| Mid Yield % | N | 2.999 | decimal | Mid Yield in percent |
| Bid Size mm | O | 2 | int64 | Quantity of Bid in millions |
| Ask Size mm | P | 2 | int64 | Quantity of Ask in millions |
| Duration | Q | 8.529709 | decimal | Avg time cash flows are received |
| Total Volume mm | R | 7 | int64 | Cumulative Volume in millions |
| Dollar Flow | S | -8 | int64 | Trade Size relevant to Trade Price being greater than or equal to the previous trade price |
| Close | T | 98.890625 | decimal | Closing price for the trading day |
| High | U | 98.9375 | decimal | Highest price for the trading day |
| Low | V | 98.9375 | decimal | Lowest price for the trading day |
| Open | W | 98.375 | decimal | First price for the day |
| VWAP | X | 98.9375 | decimal | Volume Weighted Average Price |
| VWAY % | Y | 2.99879 | decimal | Volume Weighted Average Yield |
| Best Ask Size1 | Z | 2 | int64 | Quantity of Shares at top level offer price |
| Best Ask Size2 | AA | 11 | int64 | Quantity of Shares at level 2 offer price |
| Best Ask Size3 | AB | 7 | int64 | Quantity of Shares at level 3 offer price |
| Best Ask Size4 | AC | 6 | int64 | Quantity of Shares at level 4 offer price |
| Best Ask Size5 | AD | 4 | int64 | Quantity of Shares at level 5 offer price |
| Best Ask 1 | AE | 98.9375 | decimal | Top/Best Offer price |
| Best Ask2 | AF | 98.953125 | decimal | Level 2 Offer price |
| Best Ask3 | AG | 98.96875 | decimal | Level 3 Offer price |
| Best Ask4 | AH | 98.984375 | decimal | Level 4 Offer price |
| Best Ask5 | AI | 99 | decimal | Level 5 Offer price |
| Best Bid Size1 | AJ | 2 | int64 | Quantity of Shares at top level bid price |
| Best Bid Size2 | AK | 14 | int64 | Quantity of Shares at level 2 bid price |
| Best Bid Size3 | AL | 5 | int64 | Quantity of Shares at level 3 bid price |
| Best Bid Size4 | AM | 6 | int64 | Quantity of Shares at level 4 bid price |
| Best Bid Size5 | AN | 6 | int64 | Quantity of Shares at level 5 bid price |
| Best Bid1 | AO | 98.921875 | decimal | Top/Best Bid price |
| Best Bid2 | AP | 98.90625 | decimal | Level 2 Bid price |
| Best Bid3 | AQ | 98.890625 | decimal | Level 3 Bid price |
| Best Bid4 | AR | 98.875 | decimal | Level 4 Bid price |
| Best Bid5 | AS | 98.859375 | decimal | Level 5 Bid price |
| TRADE | |
| Timestamp | hh:mm:ss.nnnnnn yyyymmdd |
| RecordType | TRADE, OB_CHANGE, WORKUP |
| InstrumentName | Name of security |
| Premium | Price in OM format (256th's for treasury actives) |
| Quantity | Notional amount traded (in millions) |
| DealSource | * |
| Aggressive | 1=yes, 0=no |
| BidAsk | B=Bid, A=Ask |
| OrderNumber | OM formatted order number |
| OB_CHANGE | |
| Timestamp | hh:mm:ss.nnnnnn yyyymmdd |
| RecordType | TRADE, OB_CHANGE, WORKUP |
| InstrumentName | Name of security |
| Cusip | Cusip for security |
| ObPosition | Position in the order book |
| QuantityDiff | Quantity to be applied, positive or negative |
| ObCommand | ADD, DELETE, ALTER |
| ChangeReason | ** |
| OrderNumber | OM formatted order number |
| Premium | Price in OM format (256th's for treasury actives) |
| Quantity | Notional amount shown (in millions) |
| BidAsk | B=Bid, A=Ask |
| TotalVolume | The value in this field will be zero if the order was entered without the ability to hide any size. It will display the same amount in the Quantity field if the order is entered with the potential to hide size. |
| DisplayQuantity (Not applicable) | Zeroed out |
| WORKUP | |
| Timestamp | hh:mm:ss.nnnnnn yyyymmdd |
| RecordType | TRADE, OB_CHANGE, WORKUP |
| InstrumentName | Name of security |
| Cusip | Cusip for security |
| Premium | Price in OM format (256th's for treasury actives) |
| WorkupState | 0=workup finished, 10=private phase, 11=public phase |
| WorkupReason | 1=changed normally, 2=changed erroneously, 4=trade-thru |
| AggressiveOrderNumber | OM formatted order number for the aggressive side |
| AggressiveBidAsk | 1=Bid, 2=Ask |
| PassiveOrderNumber | OM formatted order number for the passive side |
| PassiveBidAsk | 1=Bid, 2=Ask |
| *Deal Source | |
| 1 | outright |
| 8 | swap front leg |
| 9 | internal outright |
| 10 | internal swap front leg |
| 17 | swap front leg |
| 19 | swap reference leg |
| 20 | swap reference leg |
| ** Change Reason | |
| 1 | the order is deleted |
| 2 | the order is stopped |
| 3 | the order is matched |
| 4 | the order is inactivated |
| 5 | the order is altered |
| 6 | the order is added |
| 7 | N/A |
| 8 | N/A |
| 9 | deleted by system if the order is deleted by central system |
| 10 | deleted by proxy if the order is deleted by proxy transaction |
| 11 | order premium recalculated by system |
| 12 | stop order activated |
| 13 | hidden volume order recalculated |
| 14 | deleted by system, locally inactivated |
| 16 | passive order converted to aggressive due to locked market |
| 43 | Order deleted because trader is not allowed to trade with himself |
| 45 | Order deleted by system due to credit limits |
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