To download a sample file, click here. The sample is in Excel for ease of inspection; for live feeds, we offer csv or txt.
The sample file shows one day of data for four markets, with the trading hours expressed in the local time of each market and in Universal Time (abbreviated as “GMTT”).
There is one record for each trading session at each market for each trade date.
The first column contains the trade date, while the second and third contain the Swaps Monitor-assigned four-letter code for the market and its full name.
In the fourth column is a marker to indicate whether this day’s trading hours are regular (N) or irregular (Y). The fifth column identifies the session(s) that cause a day to have Irregular = Y.
The sixth column shows whether there has been a change in the generic trading hours (Y = new hours; N = same hours as last week).
The seventh column contains a description of the trading session.
Some markets randomize their open/close times such that the actual times cannot be known in advance with certainty. The four columns to the right of the local open and close times contain information about the range (expressed in seconds) when trading may actually start/end.
We offer numerous variations on this layout. To discuss the available options, please contact us.
In addition to this file, you will receive a number of supporting files, including full technical specifications.