# US Consolidated Equities (exc. OTC) Schemas Consolidated data from all US equities exchanges excluding OTC traded securities. Provides from the US SIP (CTA/UTP) ## US_COMP Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * LULD - Limit Up / Limit Down price levels * MKT - Market phase / instrument status information * NBBO - National Best Bid / Offer quotes * NBBO_COMP - Best National Best Bid / Offer quotes from Even and Odd Lots * QTE - Best bid / offer quotes * QTE_COMP - Best Bid & Offer Quotes from Even and Odd Lots * STAT - Static data, e.g. ISIN, description, security type * TRD - Trades ### US_COMP - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### US_COMP - DAY Table Schema | 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) | | EXCHANGE | string[4] | Exchange from which the update originates | | 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 | | CLOSE | double | Closing 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_COUNT | long | Number of trades on the current trading day | | TRADE_VALUE | double | Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer. | | VWAP | double | Volume-weighted average price | | PRICE_OPENING_AUCTION | double | Price of the Opening Auction | | VOLUME_OPENING_AUCTION | long | Volume of the Opening Auction | | PRICE_CLOSING_AUCTION | double | Price of the Closing Auction | | VOLUME_CLOSING_AUCTION | long | Volume of the Closing Auction | | VOLUME_MAIN_SESSION | long | Volume of the Main Trading Session | | VOLUME_PRE_MARKET | long | Volume of the Pre-Market Trading Session | | VOLUME_POST_MARKET | long | Volume of the Post-Market Trading Session | | VOLUME_ODD_LOT | long | Volume of the Odd Lot Trades | | VOLUME_ROUND_LOT | long | Volume of Round Lot Trades | | VOLUME_OFF_EXCHANGE | long | Volume of Off Exchange Trades | | 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. | ### US_COMP - LULD Limit Up / Limit Down price levels #### US_COMP - LULD Table Schema | 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) | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | LOW_LIMIT | double | Lower trading limit / circuit breaker level | | HIGH_LIMIT | double | Upper trading limit / circuit breaker level | | LULD_IND | string[1] | Type of Limit Up / Limit Down (LULD) price update | | 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. | ### US_COMP - MKT Market phase / instrument status information #### US_COMP - MKT Table Schema | 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) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | EXCHANGE | string[1] | Exchange from which the update originates | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | TRADING_STATUS | string[1] | Indicates whether the instrument is subject to a halt or suspension | | REASON_CODE | string[6] | Reason for an instrument status update | | SHORT_SALE_RESTRICTION | string[1] | Indicates whether short selling is permitted | | PARTICIPANT_TIME | nsectime | Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed | | 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. | ### US_COMP - NBBO National Best Bid / Offer quotes #### US_COMP - NBBO Table Schema | 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 | int | Best bid size | | BID_SIZE_TOTAL | int | Total size at the (national) best bid price across all participant markets | | BID_EXCHANGE | string[1] | Exchange that set the best bid | | 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 | int | Best ask size | | ASK_SIZE_TOTAL | int | Total size at the (national) best ask price across all participant markets | | ASK_EXCHANGE | string[1] | Exchange that set the best ask | | IS_PRE_OPEN | int | Indicates whether a quote originates from the period before (1) or after (0) the instrument has opened on the primary market | | 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. | ### US_COMP - NBBO_COMP Best National Best Bid / Offer quotes from Even and Odd Lots #### US_COMP - NBBO_COMP Table Schema | 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 | int | Best bid size | | BID_SIZE_TOTAL | int | Total size at the (national) best bid price across all participant markets | | BID_EXCHANGE | string[1] | Exchange that set the best bid | | 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 | int | Best ask size | | ASK_SIZE_TOTAL | int | Total size at the (national) best ask price across all participant markets | | ASK_EXCHANGE | string[1] | Exchange that set the best ask | | IS_PRE_OPEN | int | Indicates whether a quote originates from the period before (1) or after (0) the instrument has opened on the primary market | | 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. | ### US_COMP - QTE Best bid / offer quotes #### US_COMP - QTE Table Schema | 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) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | EXCHANGE | string[1] | Exchange from which the update originates | | SOURCE | string[1] | Source from which an update originates | | 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 | | QUOTE_COND | string[1] | Indicates any special conditions applicable to a quote | | RPI | string[1] | Indicates the presence of Retail Price Improvement interest on bid and/or ask side | | RESTRICTION_IND | string[1] | Indicates whether short selling is permitted | | NBBO_IND | string[1] | Indicates whether the quote affects the NBBO | | SIP_MSG_ID | string[1] | Identifies messages generated by the SIP ( - Originates from an exchange, E - UTP, S - Consolidated Tape System) | | LULD_BBO_IND | string[1] | Indicates whether the bid/ask crosses the upper / lower LULD price bands | | NBBO_LULD_IND | string[1] | Indicates whether the NBBO crosses the upper / lower LULD price bands | | FINRA_ADF_TIME | nsectime | Timestamp provided by a FINRA ADF | | FINRA_ADF_IND | string[1] | Indicates whether the quote reflects the FINRA BBO | | FINRA_BBO_IND | string[1] | Indicates whether the quote affects the FINRA BBO [currently unused] | | FINRA_ADF_MPID_IND | string[1] | Indicates whether a FINRA participant ID is available for a BBO quote [currently unused] | | SECURITY_STATUS_IND | string[2] | Security status | | PARTICIPANT_TIME | nsectime | Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed | | COND | string[1] | Condition code | | CORR | string[1] | Type of trade correction / cancellation | | TICKER | string[16] | Ticker symbol, as specified by the data source | | 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. | ### US_COMP - QTE_COMP Best Bid & Offer Quotes from Even and Odd Lots #### US_COMP - QTE_COMP Table Schema | 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) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | EXCHANGE | string[1] | Exchange from which the update originates | | SOURCE | string[1] | Source from which an update originates | | 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 | int | 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 | int | Best ask size | | QUOTE_COND | string[1] | Indicates any special conditions applicable to a quote | | RPI | string[1] | Indicates the presence of Retail Price Improvement interest on bid and/or ask side | | RESTRICTION_IND | string[1] | Indicates whether short selling is permitted | | 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. | ### US_COMP - STAT Static data, e.g. ISIN, description, security type #### US_COMP - STAT Table Schema | 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) | | NAME | string[200] | Description of the instrument | | SIP_SYMBOL | string[16] | Ticker symbol used by the US Securities Information Processor (CTA / UTP) | | PREV_SYMBOL | string[16] | Previous ticker symbol, in the event of a symbol change | | PRIMARY_MIC | string[4] | MIC of the instrument’s primary listing market, or the reference market for instruments traded on an MTF | | SEC_TYPE | string[30] | Security type, e.g. Equity, ETF, Future | | CURRENCY | string[3] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | NYSE_INDUSTRY_CODE | string[4] | Industry classification, as defined by NYSE | | LOT_SIZE | double | All standard order sizes must be an integer multiple of the Lot Size | | CONSOLIDATED_TAPE | string[1] | Consolidated Tape on which a US security is published (A/B/C). | | TEST_SYMBOL | string[1] | Y - Test symbol, N - Not a test symbol | | TICK_PILOT_IND | string[20] | Specifies any tick size pilot initiatives in which the instrument is participating | | LISTING_DATE | string[8] | Date when the instrument was listed (YYYYMMDD) | | SHARES_OUTSTANDING | long | Shares / quantity outstanding | | 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. | ### US_COMP - TRD Trades #### US_COMP - TRD Table Schema | 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) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | TRF_TIME | nsectime | Time at which a trade was processed by the Trade Reporting Facility (for trades reported to FINRA) | | EXCHANGE | string[1] | Exchange from which the update originates | | TRF | string[1] | Trade Reporting Facility used to report a trade (for trades reported to FINRA) | | SOURCE | string[1] | Source from which an update originates | | 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 | | SIZE | long | 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 | | FRACTIONAL_SIZE | double | Trade size, as a floating-point number | | AGGRESSOR_SIDE | string[1] | Indicates whether a trade resulted from an incoming buy or sell order. | | TRADE_TYPE | string[4] | Type of trade | | TRADE_PERIOD | string[1] | Market period during which a trade was executed. | | BOOK_TYPE | string[1] | Type of order book or trading mechanism through which a trade was executed. | | STOP_STOCK | string[1] | Y - Stopped stock trade, N - Not a stopped stock trade, - Not applicable | | TTE | string[1] | Indicates whether a trade is exempt from the Trade Through Rule (1 - Trade Through Exempt, 0 - No Trade Through Exemption) | | TRADE_ID | string[20] | Trade identifier, generally the ID assigned by the matching engine | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | CORR | int | Type of trade correction / cancellation | | PARTICIPANT_TIME | nsectime | Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed | | COND | string[4] | Condition code | | TICKER | string[16] | Ticker symbol, as specified by the data source | | 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. | | DELETED_TIME | nsectime | Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | TICK_STATUS | byte | Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | ## US_COMP_BARS Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * LAT_1M - 1-minute Latency bars for real time delivered data * MKT - Market phase / instrument status information * QTE_1M - 1-minute quote bars * TRD_1D - Daily trade bars * TRD_1M - 1-minute trade bars * VWAP_1H - 1-hour VWAP bars ### US_COMP_BARS - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### US_COMP_BARS - DAY Table Schema | 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) | | EXCHANGE | string[4] | Exchange from which the update originates | | 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 | | CLOSE | double | Closing 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 | | VWAP | double | Volume-weighted average price | | PRICE_OPENING_AUCTION | double | Price of the Opening Auction | | VOLUME_OPENING_AUCTION | long | Volume of the Opening Auction | | PRICE_CLOSING_AUCTION | double | Price of the Closing Auction | | VOLUME_CLOSING_AUCTION | long | Volume of the Closing Auction | | VOLUME_MAIN_SESSION | long | Volume of the Main Trading Session | | VOLUME_PRE_MARKET | long | Volume of the Pre-Market Trading Session | | VOLUME_POST_MARKET | long | Volume of the Post-Market Trading Session | | VOLUME_ODD_LOT | long | Volume of the Odd Lot Trades | | VOLUME_ROUND_LOT | long | Volume of Round Lot Trades | | VOLUME_OFF_EXCHANGE | long | Volume of Off Exchange Trades | | 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. | ### US_COMP_BARS - LAT_1M 1-minute Latency bars for real time delivered data #### US_COMP_BARS - LAT_1M Table Schema | 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) | | AVG_LATENCY_COLLECTION | double | Average Latency of Real Time Collection. Difference between Exchange timestamp and collection timestamp. | | MAX_LATENCY_COLLECTION | double | Maximum Latency of Real Time Collection. Difference between Exchange timestamp and collection timestamp. | | AVG_LATENCY_LOAD | double | Average Latency of Real Time Loading. Difference between the collection timestamp and availability within the Memory Database. | | MAX_LATENCY_LOAD | double | Maximum Latency of Real Time Loading. Difference between the collection timestamp and availability within the Memory Database. | | 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. | ### US_COMP_BARS - MKT Market phase / instrument status information #### US_COMP_BARS - MKT Table Schema | 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) | | OMD_STATUS | string[64] | Indicates an instrument’s current trading status. Values are normalized across all DBs. | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | EXCHANGE | string[1] | Exchange from which the update originates | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | TRADING_STATUS | string[1] | Indicates whether the instrument is subject to a halt or suspension | | REASON_CODE | string[6] | Reason for an instrument status update | | SHORT_SALE_RESTRICTION | string[1] | Indicates whether short selling is permitted | | PARTICIPANT_TIME | nsectime | Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed | | 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. | ### US_COMP_BARS - QTE_1M 1-minute quote bars #### US_COMP_BARS - QTE_1M Table Schema | 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) | | 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_CURRENCY | string[3] | Currency in which a quote price is expressed. | | 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. | ### US_COMP_BARS - TRD_1D Daily trade bars #### US_COMP_BARS - TRD_1D Table Schema | 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) | | 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 | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | 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. | ### US_COMP_BARS - TRD_1M 1-minute trade bars #### US_COMP_BARS - TRD_1M Table Schema | 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) | | 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 | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | 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. | ### US_COMP_BARS - VWAP_1H 1-hour VWAP bars #### US_COMP_BARS - VWAP_1H Table Schema | 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) | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average price | | VOLUME | double | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | CURRENCY | string[64] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | 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. | ## US_COMP_DAILY Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * EVENT - Events such as Earnings, and Company Conference Calls * STAT - Static data, e.g. ISIN, description, security type ### US_COMP_DAILY - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### US_COMP_DAILY - DAY Table Schema | 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) | | EXCHANGE | string[4] | Exchange from which the update originates | | 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 | | CLOSE | double | Closing 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_COUNT | long | Number of trades on the current trading day | | TRADE_VALUE | double | Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer. | | VWAP | double | Volume-weighted average price | | PRICE_OPENING_AUCTION | double | Price of the Opening Auction | | VOLUME_OPENING_AUCTION | long | Volume of the Opening Auction | | PRICE_CLOSING_AUCTION | double | Price of the Closing Auction | | VOLUME_CLOSING_AUCTION | long | Volume of the Closing Auction | | VOLUME_MAIN_SESSION | long | Volume of the Main Trading Session | | VOLUME_PRE_MARKET | long | Volume of the Pre-Market Trading Session | | VOLUME_POST_MARKET | long | Volume of the Post-Market Trading Session | | VOLUME_ODD_LOT | long | Volume of the Odd Lot Trades | | VOLUME_ROUND_LOT | long | Volume of Round Lot Trades | | VOLUME_OFF_EXCHANGE | long | Volume of Off Exchange Trades | | 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. | ### US_COMP_DAILY - EVENT Events such as Earnings, and Company Conference Calls #### US_COMP_DAILY - EVENT Table Schema | 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) | | EVENT_TYPE | string[40] | Type of Event. EARNING_DATE or COMPANY_CONFERENCE_CALL | | EVENT_CONDITION | string[20] | Event Condition | | 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. | ### US_COMP_DAILY - STAT Static data, e.g. ISIN, description, security type #### US_COMP_DAILY - STAT Table Schema | 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) | | NAME | string[200] | Description of the instrument | | SIP_SYMBOL | string[16] | Ticker symbol used by the US Securities Information Processor (CTA / UTP) | | PREV_SYMBOL | string[16] | Previous ticker symbol, in the event of a symbol change | | PRIMARY_MIC | string[4] | MIC of the instrument’s primary listing market, or the reference market for instruments traded on an MTF | | SEC_TYPE | string[30] | Security type, e.g. Equity, ETF, Future | | CURRENCY | string[3] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | NYSE_INDUSTRY_CODE | string[4] | Industry classification, as defined by NYSE | | LOT_SIZE | double | All standard order sizes must be an integer multiple of the Lot Size | | CONSOLIDATED_TAPE | string[1] | Consolidated Tape on which a US security is published (A/B/C). | | TEST_SYMBOL | string[1] | Y - Test symbol, N - Not a test symbol | | TICK_PILOT_IND | string[20] | Specifies any tick size pilot initiatives in which the instrument is participating | | LISTING_DATE | string[8] | Date when the instrument was listed (YYYYMMDD) | | SHARES_OUTSTANDING | long | Shares / quantity outstanding | | 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. | ## US_COMP_LATEST Database includes the following tick types: * SNAP - Latest Trade & Quote / NBBO Prices for all Instruments in the venue * SNAP_NBBO - Latest NBBO for all Instruments in the venue * SNAP_TRD - Latest Trade Prices for all Traded Instruments in the venue ### US_COMP_LATEST - SNAP Latest Trade & Quote / NBBO Prices for all Instruments in the venue #### US_COMP_LATEST - SNAP Table Schema | 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 | | SIZE | long | 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 | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | OPEN | double | Open price for the current trading day | | CLOSE | double | Closing price | | CLOSE_DATE | string[10] | Date for Closing Price | | LATENCY_LOAD | long | Latency in milliseconds for the time duration between data collection and in-memory database load | | LATENCY_COLLECTION | long | Latency in milliseconds for the time duration between exchange publishing and data collection | | 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 | | VOLUME_MAIN_SESSION | long | Volume of the Main Trading Session | | VOLUME_EXTENDED | long | Volume of the Pre and Post-Market Trading Sessions | | 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 | | SYMBOL | string[64] | Exchange Symbol | | LAST_TRADE_TIME | nsectime | Last Trade Time | | 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) | | 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) | | LAST_QUOTE_TIME | nsectime | Last Quote Time | ### US_COMP_LATEST - SNAP_NBBO Latest NBBO for all Instruments in the venue #### US_COMP_LATEST - SNAP_NBBO Table Schema | 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 | | QUOTE_CURRENCY | string[3] | Currency in which a quote price is expressed. | | SYMBOL | string[64] | Exchange Symbol | | TICK_TIME | nsectime | Timestamp for latest Trade / Quote or NBBO Update | ### US_COMP_LATEST - SNAP_TRD Latest Trade Prices for all Traded Instruments in the venue #### US_COMP_LATEST - SNAP_TRD Table Schema | 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 | | SIZE | long | 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 | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | OPEN | double | Open price for the current trading day | | CLOSE | double | Closing price | | CLOSE_DATE | string[10] | Date for Closing Price | | LATENCY_LOAD | long | Latency in milliseconds for the time duration between data collection and in-memory database load | | LATENCY_COLLECTION | long | Latency in milliseconds for the time duration between exchange publishing and data collection | | 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 | | VOLUME_MAIN_SESSION | long | Volume of the Main Trading Session | | VOLUME_EXTENDED | long | Volume of the Pre and Post-Market Trading Sessions | | 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 | | SYMBOL | string[64] | Exchange Symbol | | TICK_TIME | nsectime | Timestamp for latest Trade / Quote or NBBO Update | ## US_COMP_MKT_SHARE Database includes the following tick types: * QTE_NBBO_DAY - Daily Quote Metrics by Venue related to the NBBO * TRD_NBBO_DAY - Daily Trade Metrics by Venue related to the NBBO ### US_COMP_MKT_SHARE - QTE_NBBO_DAY Daily Quote Metrics by Venue related to the NBBO #### US_COMP_MKT_SHARE - QTE_NBBO_DAY Table Schema | 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) | | NBBO_DURATION | double | Main Session Duration in seconds that a valid NBBO is present | | AT_NBBO_BOTH_DURATION | double | Main Session Duration in seconds for the exchange to be at both the NBBO Bid and Ask | | AT_NBBO_BID_DURATION | double | Main Session Duration in seconds for the exchange to be at the NBBO Bid | | AT_NBBO_ASK_DURATION | double | Main Session Duration in seconds for the exchange to be at the NBBO Ask | | AT_NBBO_EITHER_DURATION | double | Main Session Duration in seconds for the exchange to be at either or both the NBBO Bid or Ask | | AT_NBBO_BOTH_SIZE | double | Main Session Time Weighted Average of the sum of BID_SIZE and ASK_SIZE from Exchange, when at the NBBO | | AT_NBBO_BID_SIZE | double | Main Session Time Weighted Average of the BID_SIZE from Exchange, when at the NBBO Bid | | AT_NBBO_ASK_SIZE | double | Main Session Time Weighted Average of the ASK_SIZE from Exchange, when at the NBBO Ask | | AT_NBBO_EITHER_SIZE | double | Main Session Time Weighted Average of the Bid and Ask Size from Exchange, when at either or both the NBBO Bid or Ask. Size not at NBBO is not included. | | EXCHANGE | string[1] | Exchange from which the update originates | ### US_COMP_MKT_SHARE - TRD_NBBO_DAY Daily Trade Metrics by Venue related to the NBBO #### US_COMP_MKT_SHARE - TRD_NBBO_DAY Table Schema | 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) | | TRADE_VALUE | double | Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer. | | TRADE_COUNT | double | Number of trades on the current trading day | | VOLUME | double | DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval | | TRADE_VALUE_MAIN_SESSION | double | Main Session Trade Value | | VOLUME_MAIN_SESSION | double | Volume of the Main Trading Session | | TRADE_COUNT_MAIN_SESSION | double | Main Session Trade Count | | TRADE_VALUE_AT_MID | double | Main Session Traded Value for Trades at the NBBO Mid | | TRADE_VALUE_AT_NBBO | double | Main Session Traded Value for Trades at the NBBO | | TRADE_VALUE_INSIDE_NBBO | double | Main Session Traded Value for Trades inside the NBBO, excluding Mid | | TRADE_VALUE_OUTSIDE_NBBO | double | Main Session Traded Value for Trades outside the NBBO | | TRADE_COUNT_AT_MID | double | Main Session Trade Count for Trades at the NBBO Mid | | TRADE_COUNT_AT_NBBO | double | Main Session Trade Count for Trades at the NBBO | | TRADE_COUNT_INSIDE_NBBO | double | Main Session Trade Count for Trades inside the NBBO, excluding Mid | | TRADE_COUNT_OUTSIDE_NBBO | double | Main Session Trade Count for Trades outside the NBBO | | VOLUME_AT_MID | double | Main Session Volume for Trades at the NBBO Mid | | VOLUME_AT_NBBO | double | Main Session Volume for Trades at the NBBO | | VOLUME_INSIDE_NBBO | double | Main Session Volume for Trades inside the NBBO, excluding Mid | | VOLUME_OUTSIDE_NBBO | double | Main Session Volume for Trades outside the NBBO | | VOLUME_OPENING_AUCTION | double | Volume of the Opening Auction | | VOLUME_CLOSING_AUCTION | double | Volume of the Closing Auction | | VOLUME_ODD_LOT | double | Volume of the Odd Lot Trades | | VOLUME_ROUND_LOT | double | Volume of Round Lot Trades | | VOLUME_PRE_MARKET | double | Volume of the Pre-Market Trading Session | | VOLUME_POST_MARKET | double | Volume of the Post-Market Trading Session | | TRADE_COUNT_OPENING_AUCTION | double | Trade Count for Opening Auction Trades | | TRADE_COUNT_CLOSING_AUCTION | double | Trade Count for Closing Auction Trades | | TRADE_COUNT_ODD_LOT | double | Trade Count for Odd Lot Trades | | TRADE_COUNT_ROUND_LOT | double | Trade Count for Round Lot Trades | | TRADE_COUNT_PRE_MARKET | double | Trade Count of the Pre-Market Trading Session | | TRADE_COUNT_POST_MARKET | double | Trade Count of the Post-Market Trading Session | | TRADE_VALUE_OPENING_AUCTION | double | Trade Value for Opening Auction Trades | | TRADE_VALUE_CLOSING_AUCTION | double | Trade Value for Closing Auction Trades | | TRADE_VALUE_ODD_LOT | double | Traded Value for Odd Lot Trades | | TRADE_VALUE_ROUND_LOT | double | Traded Value for Round Lot Trades | | TRADE_VALUE_PRE_MARKET | double | Trade Value of the Pre-Market Trading Session | | TRADE_VALUE_POST_MARKET | double | Trade Value of the Post-Market Trading Session | | TRADE_VALUE_BLOCK | double | Block Traded Value where block is a trade with value > $200,000 or volume > 10,000 | | BLOCK_VOLUME | double | Total volume of block trades executed on the current day | | TRADE_COUNT_BLOCK | double | Block Count where block is a trade with value > $200,000 or volume > 10,000 | | EXCHANGE | string[1] | Exchange from which the update originates | ## US_COMP_TCA Database includes the following tick types: * TRD_TCA - Trades enriched with pravailing quotes / nbbo and offsets ### US_COMP_TCA - TRD_TCA Trades enriched with pravailing quotes / nbbo and offsets #### US_COMP_TCA - TRD_TCA Table Schema | 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) | | EXCH_TIME | nsectime | Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp | | TRF_TIME | nsectime | Time at which a trade was processed by the Trade Reporting Facility (for trades reported to FINRA) | | SEQ_NUM | long | Sequence number of the update, as specified by the exchange (for single exchange feeds) or the aggregator (e.g. CTA/UTP) for consolidated feeds | | EXCHANGE | string[1] | Exchange from which the update originates | | TRF | string[1] | Trade Reporting Facility used to report a trade (for trades reported to FINRA) | | SOURCE | string[1] | Source from which an update originates | | 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 | | SIZE | long | 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 | | FRACTIONAL_SIZE | double | Trade size, as a floating-point number | | AGGRESSOR_SIDE | string[1] | Indicates whether a trade resulted from an incoming buy or sell order. | | TRADE_TYPE | string[4] | Type of trade | | TRADE_PERIOD | string[1] | Market period during which a trade was executed. | | BOOK_TYPE | string[1] | Type of order book or trading mechanism through which a trade was executed. | | STOP_STOCK | string[1] | Y - Stopped stock trade, N - Not a stopped stock trade, - Not applicable | | TTE | string[1] | Indicates whether a trade is exempt from the Trade Through Rule (1 - Trade Through Exempt, 0 - No Trade Through Exemption) | | TRADE_ID | string[20] | Trade identifier, generally the ID assigned by the matching engine | | CORR | int | Type of trade correction / cancellation | | PARTICIPANT_TIME | nsectime | Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed | | COND | string[4] | Condition code | | TICKER | string[16] | Ticker symbol, as specified by the data source | | TICK_STATUS | byte | Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | DELETED_TIME | nsectime | Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | 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) | | 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) | | MID_PRICE | double | Midpoint of the best bid/ask; set to null (NaN) if the book is crossed | | MID_PRICE_B60000 | double | Mid Price back 60s before the Trade Execution | | MID_PRICE_B30000 | double | Mid Price back 30s before the Trade Execution | | MID_PRICE_B10000 | double | Mid Price back 10s before the Trade Execution | | MID_PRICE_B1000 | double | Mid Price back 1s before the Trade Execution | | MID_PRICE_B100 | double | Mid Price back 100ms before the Trade Execution | | MID_PRICE_B10 | double | Mid Price back 10ms before the Trade Execution | | MID_PRICE_F10 | double | Mid Price forward 10ms after the Trade Execution | | MID_PRICE_F100 | double | Mid Price forward 100ms after the Trade Execution | | MID_PRICE_F500 | double | Mid Price forward 500ms after the Trade Execution | | MID_PRICE_F1000 | double | Mid Price forward 1s after the Trade Execution | | MID_PRICE_F2000 | double | Mid Price forward 2s after the Trade Execution | | MID_PRICE_F5000 | double | Mid Price forward 5s after the Trade Execution | | MID_PRICE_F10000 | double | Mid Price forward 10s after the Trade Execution | | MID_PRICE_F30000 | double | Mid Price forward 30s after the Trade Execution | | MID_PRICE_F60000 | double | Mid Price forward 1min after the Trade Execution | | MID_PRICE_F90000 | double | Mid Price forward 90s after the Trade Execution | | MID_PRICE_F120000 | double | Mid Price forward 2mins after the Trade Execution | | MID_PRICE_F180000 | double | Mid Price forward 3mins after the Trade Execution | | MID_PRICE_F300000 | double | Mid Price forward 5mins after the Trade Execution | | MID_PRICE_F600000 | double | Mid Price forward 10mins after the Trade Execution | | MID_PRICE_F900000 | double | Mid Price forward 15mins after the Trade Execution | | 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. |