Nasdaq CX2 Schemas#

Nasdaq CX2 is Nasdaq’s alternative trading system (ATS) for trading NMS stocks using a price-time priority order book model.

CX2#

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

CX2 - DAY#

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

CX2 - 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
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.

CX2 - MKT#

Market phase / instrument status information

CX2 - 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[4]	Indicates the instrument’s current market phase, as specified by the trading venue
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.

CX2 - PRL_FULL#

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

CX2 - 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
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.
BROKER_ID	int	Identifies the market participant that entered an order / quote
ORDER_TYPE	string[1]	Type of order.
BUY_SELL_FLAG	int	Orderbook side (0 - Buy, 1 - Sell)
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
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.
TRADE_ID	string[12]	Trade identifier, generally the ID assigned by the matching engine
FILL_SIZE	int	Size filled in an order execution event
OLD_PRICE	double	Previous price of an order
OLD_SIZE	long	Previous size of an order
RECORD_TYPE	string[1]	Type of depth update.
TICK_STATUS	int	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).
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.

CX2 - QTE#

Best bid / offer quotes

CX2 - 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)
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.

CX2 - STAT#

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

CX2 - 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[100]	Description of the instrument
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
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).
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.

CX2 - TRD#

Trades

CX2 - 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	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
BUYER	string[4]	ID of the market participant on the buy side of a trade
SELLER	string[4]	ID of the market participant on the sell side of a trade
AGGRESSOR_SIDE	string[1]	Indicates whether a trade resulted from an incoming buy or sell order.
TRADE_TYPE	string[12]	Type of trade
ODD_LOT	string[1]	Indicates whether a trade was an odd lot
BYPASS	string[1]	Identifies whether the trade resulted from a Bypass order
SPECIAL_TERMS	string[2]	Indicates any non-standard settlement / execution terms associated with a 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
TICK_STATUS	int	Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).
DELETED_TIME	msectime	Internal OneTick field. Usually null 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.

CX2_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

CX2_DAILY - DAY#

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

CX2_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
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.

CX2_DAILY - STAT#

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

CX2_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[100]	Description of the instrument
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
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).
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.