Global Futures Schemas#
A Curated List of the most liquid global futures contracts covering over 280 instruments traded across 25+ markets
TDI_FUT#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades
TDI_FUT - DAY#
Daily price and statistical data, e.g. closing price, settlement price, open interest
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
OPEN |
double |
Open price for the current trading day |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
SETTLE_PRICE |
double |
Settlement price |
VOLUME |
long |
DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval |
OPEN_INT |
double |
Open interest for futures / options |
TDI_FUT - QTE#
Best bid / offer quotes
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
BID_PRICE |
double |
Best bid price. A null value is used if the bid side is empty, or if the best bid is set by unpriced orders (e.g. market orders) |
BID_SIZE |
long |
Best bid size |
ASK_PRICE |
double |
Best ask price. A null value is used if the ask side is empty, or if the best ask is set by unpriced orders (e.g. market orders) |
ASK_SIZE |
long |
Best ask size |
OMDSEQ |
uint |
Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. |
MARKET_FLAG |
string[1] |
E - Electronic trading, P - Pit trading |
COND |
string[4] |
Condition code |
TDI_FUT - STAT#
Static data, e.g. ISIN, description, security type
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
CONTRACT_SIZE |
double |
Indicates a derivative’s underlying quantity |
TICK_VALUE |
double |
Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE. |
NAME |
string[200] |
Description of the instrument |
EXCH_SYMBOL |
string[20] |
Ticker symbol specified by the exchange |
PRODUCT_CODE |
string[10] |
Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD. |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
EXPIRATION_DATE |
string[8] |
Date when a derivative expires (YYYYMMDD) |
TICK_SIZE_TYPE |
string[8] |
Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable. |
TICK_SIZE |
string[50] |
Tick size / minimum price increment. All order prices must be a multiple of the tick size. |
TDI_MULTIPLIER |
string[64] |
Multiplier |
TDI_FUT - TRD#
Trades
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
PRICE |
double |
TRD: Trade price, IDX: Index value, IND: Indicative price, PRL: Price point to which the depth entry relates, PRL_FULL: Order price, FIXING: Fixing price, RFC: Price associated with a Request for Cross |
FILTERED_PRICE |
double |
Trade price, adjusted to remove irregular or questionable prints |
SIZE |
int |
TRD: Trade size, IND: Indicative size, PRL: Size at the relevant price point, PRL_FULL: Order size, RFQ: Size associated with a Request for Quote, RFC: Size associated with a Request for Cross |
OMDSEQ |
uint |
Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. |
MARKET_FLAG |
string[1] |
E - Electronic trading, P - Pit trading |
COND |
string[4] |
Condition code |
OMD_COND |
string[4] |
Free text field containing any annotations inserted by OneMarketData *Deprecated, will be removed in future* |
SKIP_FLAG |
string[64] |
Indicates whether the trade should be excluded from price statistics. X - Excluded, - Not excluded |
TDI_FUT_BARS#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
QTE_1M - 1-minute quote bars
TRD_1M - 1-minute trade bars
TDI_FUT_BARS - DAY#
Daily price and statistical data, e.g. closing price, settlement price, open interest
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
OPEN |
double |
Open price for the current trading day |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
SETTLE_PRICE |
double |
Settlement price |
VOLUME |
long |
DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval |
OPEN_INT |
double |
Open interest for futures / options |
TDI_FUT_BARS - QTE_1M#
1-minute quote bars
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
QTE.TIMESTAMP |
nsectime |
|
FIRST_BID_TIME |
nsectime |
Time of the first best bid update in the current bar interval |
FIRST_BID_PRICE |
double |
Price of the first best bid update in the current bar interval |
FIRST_BID_SIZE |
long |
Size of the first best bid update in the current bar interval |
FIRST_ASK_TIME |
nsectime |
Time of the first best ask update in the current bar interval |
FIRST_ASK_PRICE |
double |
Price of the first best ask update in the current bar interval |
FIRST_ASK_SIZE |
long |
Size of the first best ask update in the current bar interval |
HIGH_BID_TIME |
nsectime |
Time of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. |
HIGH_BID |
double |
Highest bid price in the current bar interval |
HIGH_BID_SIZE |
long |
Size of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. |
ASK_PRICE_AT_HIGH_BID |
double |
Ask price of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. |
ASK_SIZE_AT_HIGH_BID |
long |
Ask size of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. |
LOW_ASK_TIME |
nsectime |
Time of the bid quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. |
LOW_ASK |
double |
Lowest ask price in the current bar interval |
LOW_ASK_SIZE |
long |
Size of the ask quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. |
BID_PRICE_AT_LOW_ASK |
double |
Bid price of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. |
BID_SIZE_LOW_ASK |
long |
Bid size of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. |
LAST_BID_TIME |
nsectime |
Time of the last best bid update in the current bar interval |
LAST_BID_PRICE |
double |
Price of the last best bid update in the current bar interval |
LAST_BID_SIZE |
long |
Size of the last best bid update in the current bar interval |
LAST_ASK_TIME |
nsectime |
Time of the last best ask update in the current bar interval |
LAST_ASK_PRICE |
double |
Price of the last best ask update in the current bar interval |
LAST_ASK_SIZE |
long |
Size of the last best ask update in the current bar interval |
MID_TWAP |
double |
Time-weighted average of the midpoint of the best bid/ask over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] |
MID_MEDIAN |
double |
Median of the midpoint of the best bid/ask quotes over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] |
MID_LAST |
double |
Midpoint of the last best bid/ask in the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] |
SPREAD_MIN |
double |
Narrowest bid/ask spread, i.e. the lowest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] |
SPREAD_MAX |
double |
Widest bid/ask spread, i.e. the highest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] |
SPREAD_TWAP |
double |
Time-weighted average of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] |
SPREAD_MEDIAN |
double |
Median value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] |
SPREAD_LAST |
double |
Last value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] |
QUOTE_TICK_COUNT |
long |
Number of BBO quotes in the current bar interval |
CLOUD_DB |
string[32] |
In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. |
OMDSEQ |
uint |
Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. |
TDI_FUT_BARS - TRD_1M#
1-minute trade bars
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
TRD.TIMESTAMP |
nsectime |
|
FIRST_TIME |
nsectime |
Timestamp of the first eligible trade in the current bar interval |
FIRST |
double |
Price of the first eligible trade in the current bar interval |
FIRST_SIZE |
long |
Size of the first eligible trade in the current bar interval |
HIGH_TIME |
nsectime |
Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
HIGH_SIZE |
long |
Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. |
LOW_TIME |
nsectime |
Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
LOW_SIZE |
long |
Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. |
LAST_TIME |
nsectime |
Timestamp of the last eligible trade in the current bar interval |
LAST |
double |
Price of the last eligible trade in the current bar interval |
LAST_SIZE |
long |
Size of the last eligible trade in the current bar interval |
VWAP |
double |
Volume-weighted average price |
TWAP |
double |
TIme-weighted average price |
VOLUME |
long |
DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval |
TRADE_TICK_COUNT |
long |
Number of eligible trades in the current bar interval |
CLOUD_DB |
string[32] |
In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. |
OMDSEQ |
uint |
Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first. |
TDI_FUT_DAILY#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
STAT - Static data, e.g. ISIN, description, security type
TDI_FUT_DAILY - DAY#
Daily price and statistical data, e.g. closing price, settlement price, open interest
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
OPEN |
double |
Open price for the current trading day |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
SETTLE_PRICE |
double |
Settlement price |
VOLUME |
long |
DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval |
OPEN_INT |
double |
Open interest for futures / options |
TDI_FUT_DAILY - STAT#
Static data, e.g. ISIN, description, security type
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
CONTRACT_SIZE |
double |
Indicates a derivative’s underlying quantity |
TICK_VALUE |
double |
Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE. |
NAME |
string[200] |
Description of the instrument |
EXCH_SYMBOL |
string[20] |
Ticker symbol specified by the exchange |
PRODUCT_CODE |
string[10] |
Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD. |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
EXPIRATION_DATE |
string[8] |
Date when a derivative expires (YYYYMMDD) |
TICK_SIZE_TYPE |
string[8] |
Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable. |
TICK_SIZE |
string[50] |
Tick size / minimum price increment. All order prices must be a multiple of the tick size. |
TDI_MULTIPLIER |
string[64] |
Multiplier |