Cboe Europe Trade Reporting Schemas#
Cboe Europe Trade Reporting allows firms to report off-order book trades in European equities to comply with MiFID II trade reporting obligations.
CBOE_APA#
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
TRD - Trades
CBOE_APA - 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) |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
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 |
VOLUME_LIT |
long |
Volume traded in a lit orderbook |
VOLUME_DARK |
long |
Volume traded in a dark orderbook |
OFF_BOOK_VOLUME |
long |
Total volume traded off-book |
VOLUME_RFQ |
long |
Volume traded through an RFQ / RFC (Request for Quote / Request for Cross) process |
VOLUME_CONTINUOUS |
long |
Volume traded in the main orderbook during continuous trading |
VOLUME_AUCTION |
long |
Volume traded during auctions. Includes all auction types. |
VOLUME_OPENING_AUCTION |
long |
Volume of the Opening Auction |
VOLUME_CLOSING_AUCTION |
long |
Volume of the Closing Auction |
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. |
CBOE_APA - 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) |
NAME |
string[100] |
Description of the instrument |
ISIN |
string[12] |
ISIN code |
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 |
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[40] |
Security type, e.g. Equity, ETF, Future |
CFI_CODE |
string[6] |
Classification of Financial Instruments code (ISO 10962), indicating the type of security |
MKT_SEGMENT |
string[8] |
Market segment on which the instrument is traded |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
LOT_SIZE |
double |
All standard order sizes must be an integer multiple of the Lot 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. |
CBOE_APA - 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) |
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 |
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 |
AGGRESSOR_SIDE |
string[1] |
Indicates whether a trade resulted from an incoming buy or sell order. |
TRADE_TYPE |
string[6] |
Type of trade |
TRADE_VENUE |
string[4] |
Identifies the venue where a trade was executed. Typically a MIC, with the special values XOFF for off-exchange and SINT for Systematic Internaliser trades. |
PUB_VENUE |
string[4] |
Venue (MIC) used to publish an off-exchange trade |
TRADE_CURRENCY |
string[3] |
Currency in which a trade was executed. |
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. |
LATE_REPORTED |
string[1] |
Indicates whether a trade was reported late and/or outside normal trading hours |
MMT_MKT_MECH |
string[1] |
Market mechanism through which a trade was executed. |
MMT_TRD_MODE |
string[1] |
Trading period during which an on-book trade was executed, or origin of an off-book trade report (on-exchange / off-exchange / SI). |
MMT_TRANS_CAT |
string[1] |
Identifies various special categories of trade. |
MMT_NEGOTIATED_IND |
string[1] |
Indicates privately negotiated trades, or Systematic Internaliser trades exempt from pre-trade transparency. |
MMT_CROSS_IND |
string[1] |
Identifies agency cross trades, where a broker crossed two client orders outside the order book. |
MMT_MOD_IND |
string[1] |
Identifies trade cancellations, or amendments of a previous trade. |
MMT_BENCHMARK_IND |
string[1] |
Identifies whether a trade was priced according to a defined benchmark (e.g. VWAP) or reference price (e.g. midpoint of the primary market BBO), or whether it was part of a trade in multiple instruments (contingent trade or portfolio trade). |
MMT_DIVIDEND_IND |
string[1] |
Identifies whether a trade includes special dividend arrangements, e.g. a trade sold cum-dividend during an ex-dividend period. |
MMT_OFF_BOOK_AUTO_IND |
string[1] |
Identifies whether an off-book trade report was executed via a manual or automated process. |
MMT_PRICE_FORMING_IND |
string[1] |
Identifies whether a trade is price-forming, or contributes to the price discovery process. |
MMT_ALGO_IND |
string[1] |
Identifies whether a trade involved an algorithmic order. |
MMT_PUB_MODE |
string[1] |
Identifies whether a trade was subject to delayed publication, and the reason for the deferral. |
MMT_DEFERRAL_TYPE |
string[1] |
Type of publication deferral or subsequent enrichment applied to a trade report. |
MMT_DUP_IND |
string[1] |
Identifies trades reported to more than one Approved Publication Arrangement. |
TRADE_ID |
string[20] |
Trade identifier, generally the ID assigned by the matching engine |
DELETED_TIME |
msectime |
Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). |
TICK_STATUS |
int |
Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). |
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. |
CBOE_APA_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
CBOE_APA_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) |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
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 |
VOLUME_LIT |
long |
Volume traded in a lit orderbook |
VOLUME_DARK |
long |
Volume traded in a dark orderbook |
OFF_BOOK_VOLUME |
long |
Total volume traded off-book |
VOLUME_RFQ |
long |
Volume traded through an RFQ / RFC (Request for Quote / Request for Cross) process |
VOLUME_CONTINUOUS |
long |
Volume traded in the main orderbook during continuous trading |
VOLUME_AUCTION |
long |
Volume traded during auctions. Includes all auction types. |
VOLUME_OPENING_AUCTION |
long |
Volume of the Opening Auction |
VOLUME_CLOSING_AUCTION |
long |
Volume of the Closing Auction |
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. |
CBOE_APA_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) |
NAME |
string[100] |
Description of the instrument |
ISIN |
string[12] |
ISIN code |
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 |
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[40] |
Security type, e.g. Equity, ETF, Future |
CFI_CODE |
string[6] |
Classification of Financial Instruments code (ISO 10962), indicating the type of security |
MKT_SEGMENT |
string[8] |
Market segment on which the instrument is traded |
CURRENCY |
string[3] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
LOT_SIZE |
double |
All standard order sizes must be an integer multiple of the Lot 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. |