Historical BAX Intraday Futures Data (BXA)
|Tick Value:||12.5 CAD|
BAX futures reflect the three-month Canadian Dollar Offered Rate (CDOR), expressed as an interest rate per annum. The BAX is considered to be the benchmark for Canadian short-term futures interest rates.
Two near-term contracts are listed at all times so there are always three consecutive front months listed. These contracts expire in months other than the standard quarterly contracts and are referred to as serial futures. They are identical to the standard BAX contracts in except for the expiry months.
Sources: Montréal Exchange – bax_en.pdf
BAX Historical Futures Data – Format Details
Portara provides BAX historical intraday futures for CTAs, hedge funds, portfolio managers, quants and traders and institutions.
BAX futures data can be split into three main headings:
- BAX daily futures data – which includes either the last price or the settlement
- BAX intraday futures data – which includes trade volume
- BAX tick data – which can include the bid, ask and settle
You can purchase historical BAX futures data as individual contracts or in a continuous form.
Continuous BAX futures data can be formatted into back-adjusted, forward-adjusted, ratio adjusted and zero adjusted series. Portara can create bespoke rules for each BAX futures contract based on volume, open interest, tick size and calendar date variations. Control delivery month combinations, timezone settings and timestamps that follow exchange or local time globally for any location.
Portara’s standard BAX daily futures data is made up of five data points – open, high, low, last-price and settle. Simply choose to have the daily close based on the last price or the settle depending on whether you wish follow extended sessions or just the day session.
Portara’s BAX intraday futures data is supplied as default in 1-minute bar. However, you may also choose other bar granularities such as 2 minute bar, 3 minute bar, 5 minute bar, 10 minute bar, 15 minute bar, 30 minute bar, hourly bar etc. You can also have us extract BAX daily data straight from the intraday database. In this case, you would choose the session (even if you need to cross midnight) and we can supply the custom BAX daily futures data between only between the custom session markers you choose.
Portara provides BAX tick data in ‘Trades Only’ form or as ‘Level 1’ tick data, which includes the bids and asks. Download the BAX tick data samples above. Our default format timestamp is to the millisecond. BAX tick data includes price, the trade volume, and other trade indicators such as bid, ask, trade and settle.
Remember to compare at the file size of BAX trades only data compared to BAX level 1 tick data as they can vary by factors of 10 to 100 fold. If you have questions simply email us and one of our technicians will guide you.
All of our historical data is updated on a daily basis four times per day at the end of the Asian, European, Early US and Globex session. Portara’s enterprise software solution provides timely updates to your BAX futures data, along with compression, roll and custom formatting features on CQG deep history databases. BAX historical data updates are usually ready around half an hour after markets close. No exchange fees or other CQG products are necessary.
You can view other intraday symbols from the Historical Intraday Data Download Table. If you are looking for other BAX historical data types such as daily or tick, you can visit the other download tables here:
- Historical Daily Data Download Table
- Historical Tick – Trades Only Data Download Table
- Historical Tick – Level 1 Data Download Table
To discuss BAX historical futures data or if you have any other enquiry please reach out to us using the widget in the bottom corner or our contact page if you have visited us via mobile phone.