Blue Ocean ATS Schemas#

Blue Ocean ATS (BOATS) is a US-based Alternative Trading System (ATS) run by Blue Ocean Technologies, enabling trading of U.S. stocks (NMS) during non-traditional hours, specifically 8 PM to 4 AM ET, Sunday to Thursday, bridging the overnight gap

BLUE_OCEAN#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
MKT - Market phase / instrument status information
PRL_FULL - Full orderbook data, showing updates to each individual order (MBO)
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades

BLUE_OCEAN - DAY#

Daily price and statistical data, e.g. closing price, settlement price, open interest

BLUE_OCEAN - 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)
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
TURNOVER	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
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.

BLUE_OCEAN - MKT#

Market phase / instrument status information

BLUE_OCEAN - 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
MKT_PHASE	string[1]	Indicates the instrument’s current market phase, as specified by the trading venue
REASON_CODE	string[1]	Reason for an instrument status update
SHORT_SALE_RESTRICTION	string[1]	Indicates whether short selling is permitted
OMD_STATUS	string[1]	Indicates an instrument’s current trading status. Values are normalized across all DBs.
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.

BLUE_OCEAN - PRL_FULL#

Full orderbook data, showing updates to each individual order (MBO)

BLUE_OCEAN - PRL_FULL 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
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
TIME_PRIORITY	long	Time priority of an order in the order queue. If two standard orders on the same side have the same price, the one with the lower value of TIME_PRIORITY will be executed first.
OLD_PRICE	double	Previous price of an order
DELETED_TIME	nsectime	Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).
BUY_SELL_FLAG	int	Orderbook side (0 - Buy, 1 - Sell)
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
FILL_SIZE	int	Size filled in an order execution event
OLD_SIZE	int	Previous size of an order
TICK_STATUS	int	Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).
UPDATE_TYPE	string[1]	Type of update
ORDER_ID	string[20]	Order identifier, uniquely identifying an order at any given point in time. Uniqueness depends on the exchange - e.g. may be globally unique, or unique per trading day, or per instrument per trading day.
ORDER_TYPE	string[1]	Type of order.
TRADE_ID	string[20]	Trade identifier, generally the ID assigned by the matching engine
RECORD_TYPE	string[1]	Type of depth 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.

BLUE_OCEAN - QTE#

Best bid / offer quotes

BLUE_OCEAN - 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
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)
BID_SIZE	int	Best bid size
BID_NUM_ORDERS	int	Number of orders at the best bid price
ASK_SIZE	int	Best ask size
ASK_NUM_ORDERS	int	Number of orders at the best ask price
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.

BLUE_OCEAN - STAT#

Static data, e.g. ISIN, description, security type

BLUE_OCEAN - 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)
LOT_SIZE	double	All standard order sizes must be an integer multiple of the Lot Size
NAME	string[200]	Description of the instrument
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
TRADING_CODE	string[20]	ID used to identify the instrument in the trading system
MIC	string[4]	Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded
OPERATING_MIC	string[4]	Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded
SEC_TYPE	string[40]	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).
TICK_SIZE_TYPE	string[8]	Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable.
TICK_SIZE	string[80]	Tick size / minimum price increment. All order prices must be a multiple of the tick 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.

BLUE_OCEAN - TRD#

Trades

BLUE_OCEAN - 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
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	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
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.
TRADE_ID	string[20]	Trade identifier, generally the ID assigned by the matching engine
EXECUTED_ORDER_ID	string[20]	ID of the resting (passive) order that was executed
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).

BLUE_OCEAN_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

BLUE_OCEAN_DAILY - DAY#

Daily price and statistical data, e.g. closing price, settlement price, open interest

BLUE_OCEAN_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)
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
TURNOVER	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
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.

BLUE_OCEAN_DAILY - STAT#

Static data, e.g. ISIN, description, security type

BLUE_OCEAN_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)
LOT_SIZE	double	All standard order sizes must be an integer multiple of the Lot Size
NAME	string[200]	Description of the instrument
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
TRADING_CODE	string[20]	ID used to identify the instrument in the trading system
MIC	string[4]	Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded
OPERATING_MIC	string[4]	Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded
SEC_TYPE	string[40]	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).
TICK_SIZE_TYPE	string[8]	Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable.
TICK_SIZE	string[80]	Tick size / minimum price increment. All order prices must be a multiple of the tick 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.