The Nasdaq Schemas#

The Nasdaq is an American multinational financial services corporation that operates the world’s second-largest stock exchange by market capitalization

NASDAQ#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
IND - Indicative pricing, e.g. indicative auction prices and imbalance
LULD - Limit Up / Limit Down price levels
MKT - Market phase / instrument status information
MM_STATUS - Information on the market makers registered in each security
PRL_FULL - Full orderbook data, showing updates to each individual order (MBO)
QTE - Best bid / offer quotes
TRD - Trades

NASDAQ - DAY#

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

NASDAQ - 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)
UPDATE_TYPE	string[16]	Type of update
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
VOLUME_LIT	long	Volume traded in a lit orderbook
VOLUME_DARK	long	Volume traded in a dark orderbook
VOLUME_CONTINUOUS	long	Volume traded in the main orderbook during continuous trading
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_AUCTION	long	Volume traded during auctions. Includes all auction types.
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_HIDDEN	long	Volume traded against hidden orders in a lit orderbook
VOLUME_ODD_LOT	long	Volume of the Odd Lot Trades
VOLUME_ROUND_LOT	long	Volume of Round Lot 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.

NASDAQ - IND#

Indicative pricing, e.g. indicative auction prices and imbalance

NASDAQ - IND 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
REF_PRICE	double	Reference price according to which the auction price limits are set - usually the mid of the BBO, or the last sale price
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
IMB_SIDE	string[1]	Indicates if one side of the orderbook has excess executable orders during an auction phase.
IMB_VOLUME	long	Size of an auction imbalance, i.e. the excess volume of orders on the side indicated by IMB_SIDE
AUCTION_BOOK_PRICE	double	Theoretical auction price calculated using auction-only orders (i.e. excluding orders in the continuous book)
AUCTION_TYPE	string[1]	Type of auction from which an indicative auction price / auction imbalance originates.
PRICE_VARIATION_IND	string[1]	Indicates the difference between the indicative auction price (Near price) and the instrument’s reference price in the continuous book.
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.

NASDAQ - LULD#

Limit Up / Limit Down price levels

NASDAQ - 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)
EXCH_TIME	nsectime	Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp
HIGH_LIMIT	double	Upper trading limit / circuit breaker level
LOW_LIMIT	double	Lower trading limit / circuit breaker level
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.

NASDAQ - MKT#

Market phase / instrument status information

NASDAQ - 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[4]	Reason for an instrument status update
SCHEDULED_EVENT_TIME	nsectime	Time when an event is due to take place (e.g. if the status update refers to an auction call phase, this indicates when the auction cross will occur)
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.
SESSION	string[12]	Trading session to which the update relates, e.g. Day, Night, T, T+1
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.

NASDAQ - MM_STATUS#

Information on the market makers registered in each security

NASDAQ - MM_STATUS 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
PART_ID	string[4]	Identifies the market participant that entered an order / quote
IS_PRIMARY_MM	string[1]	Indicates whether the participant identified by PART_ID is a primary market maker in the security (Y - Yes, N - No)
PART_TYPE	string[1]	Indicates the type of market participant identified by PART_ID
PART_STATUS	string[1]	Status of the market participant identified by PART_ID.
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.

NASDAQ - PRL_FULL#

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

NASDAQ - 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.
PART_ID	string[4]	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	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
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[20]	Trade identifier, generally the ID assigned by the matching engine
FILL_PRICE	double	Price at which the order was executed
FILL_SIZE	int	Size filled in an order execution event
OLD_ORDER_ID	string[20]	Previous order ID, where a modification results in a new order ID being issued
OLD_PRICE	double	Previous price of an order
OLD_SIZE	int	Previous size of an order
ORIGINAL_ORDER_ID	string[20]	Order ID by which the order was identified when it was first entered. Some markets issue a new order ID when orders are modified. Using this field, these orders can be tracked using their original order ID.
PRICE_LEVEL	int	Price level of the order after the orderbook update is applied. e.g. if set to 3, this indicates that the order is at the third best price point after the orderbook update. Always set to 0 for order deletions.
OLD_PRICE_LEVEL	int	Price level of the order before the orderbook update was applied. e.g. if set to 3, this indicates that the order was at the third best price point before the orderbook update. Always set to 0 for new orders.
ORDER_POSITION	int	Indicates the order’s position in the order queue after the orderbook update is applied. e.g. if set to 1, this indicates that the order is at the front of the order queue after the orderbook update. Always set to 0 for order deletions.
OLD_ORDER_POSITION	int	Indicates the order’s position in the order queue before the orderbook update was applied. e.g. if set to 1, this indicates that the order was at the front of the order queue before the orderbook update. Always 0 for new orders.
SIZE_AHEAD	long	Total order volume ahead of the order in the order queue, after the order update is applied. Always 0 for order deletions.
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.

NASDAQ - QTE#

Best bid / offer quotes

NASDAQ - 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	int	Best bid size
BID_NUM_ORDERS	int	Number of orders at the best bid price
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_NUM_ORDERS	int	Number of orders at the best ask price
RPI	string[1]	Indicates the presence of Retail Price Improvement interest on bid and/or ask side
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.

NASDAQ - TRD#

Trades

NASDAQ - 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[1]	Type of trade
TRADE_TYPE_EXT	string[4]	Extended trade type code
ODD_LOT	string[1]	Indicates whether a trade was an odd lot
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
TRADE_ALT_ID	string[20]	Secondary trade identifier
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).

NASDAQ_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

NASDAQ_DAILY - DAY#

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

NASDAQ_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)
UPDATE_TYPE	string[16]	Type of update
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
VOLUME_LIT	long	Volume traded in a lit orderbook
VOLUME_DARK	long	Volume traded in a dark orderbook
VOLUME_CONTINUOUS	long	Volume traded in the main orderbook during continuous trading
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_AUCTION	long	Volume traded during auctions. Includes all auction types.
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_HIDDEN	long	Volume traded against hidden orders in a lit orderbook
VOLUME_ODD_LOT	long	Volume of the Odd Lot Trades
VOLUME_ROUND_LOT	long	Volume of Round Lot 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.

NASDAQ_DAILY - STAT#

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

NASDAQ_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
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
PRIMARY_MIC	string[4]	MIC of the instrument’s primary listing market, or the reference market for instruments traded on an MTF
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
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.
IPO_FLAG	string[1]	Indicates whether the instrument is an IPO (Y - Yes, N - No, - Unspecified)
FINANCIAL_STATUS	string[1]	Indicates the regulatory status of a security or its issuer
REG_SHO_THRESHOLD_SEC	string[1]	Indicates whether a security is included in the Threshold List of securities with large, persistent unsettled short positions
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.