Cboe EDGA Enumerations#

Cboe EDGA Exchange (EDGA) is a U.S. equities market that transitioned from an inverted to a tier-free, maker-taker pricing structure. It offers unique features like hidden price improvement, retail priority, and periodic auctions to optimize order execution. Full L1 history for Cboe EDGA from the Consolidated Tape is available in the US_COMP dataset.

The following fields have Enumerations:

  • AGGRESSOR_SIDE - Indicates whether a trade resulted from an incoming buy or sell order.

  • TRADE_TYPE - Type of trade

  • TRADE_TYPE_EXT - Extended trade type code

  • ODD_LOT - Indicates whether a trade was an odd lot

  • TRADE_PERIOD - Market period during which a trade was executed.

  • BOOK_TYPE - Type of order book or trading mechanism through which a trade was executed.

  • RPI - Indicates the presence of Retail Price Improvement interest on bid and/or ask side

  • MKT_PHASE - Indicates the instrument’s current market phase, as specified by the trading venue

  • UPDATE_TYPE - Type of update

  • ORDER_TYPE - Type of order.

AGGRESSOR_SIDE - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Undefined (e.g. auction trades, trades against hidden liquidity)

B

Buy

S

Sell
TRADE_TYPE - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Regular trade

H

Regular trade against hidden liquidity

R

Routed trade
TRADE_TYPE_EXT - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Unspecified [for future use]
ODD_LOT - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Unspecified [for future use]
TRADE_PERIOD - Enumeration#

Enumeration ID

Enumeration Description

-

Regular trading

E

Extended hours (Early session)

L

Extended hours (Late session)
BOOK_TYPE - Enumeration#

Enumeration ID

Enumeration Description

0

Lit order book

9

Off-exchang
RPI - Enumeration#

Enumeration ID

Enumeration Description

‘””’

No retail interest
MKT_PHASE - Enumeration#

Enumeration ID

Enumeration Description

A

Accepting order for queuing

H

Halted

Q

Quote only

S

Closed

T

Trading
UPDATE_TYPE - Enumeration#

Enumeration ID

Enumeration Description

A

Add

D

Delete

F

Fill

M

Modify

P

Partial fill
ORDER_TYPE - Enumeration#

Enumeration ID

Enumeration Description

L

Limit order