FINRA TRACE - Corporates, Treasuries, Agencies, MBS, ABS, CMO Schemas#
The Trade Reporting and Compliance Engine (TRACE) is the FINRA-developed vehicle that facilitates the mandatory reporting of over-the-counter transactions in eligible fixed income securities. All broker-dealers who are FINRA member firms have an obligation to report transactions in TRACE-eligible securities under an SEC-approved set of rules.
TRACE#
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
TRACE - 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) |
OPEN |
double |
Open price for the current trading day |
OPEN_YIELD |
double |
Yield corresponding to the opening price |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
HIGH_YIELD |
double |
Yield corresponding to the high price |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
LOW_YIELD |
double |
Yield corresponding to the low price |
CLOSE |
double |
Closing price |
CLOSE_YIELD |
double |
Yield corresponding to the closing price |
VOLUME |
double |
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 |
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. |
TRACE - 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[120] |
Description of the instrument |
EXCH_SYMBOL |
string[32] |
Ticker symbol specified by the exchange |
FIGI |
string[12] |
Financial Instrument Global Identifier, identifying an individual instrument traded on a specific venue |
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 |
SEC_SUBTYPE |
string[40] |
Security subtype |
CURRENCY |
string[12] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
ISSUER_NAME |
string[100] |
Name of the security’s issuer |
COUPON_RATE |
double |
Interest rate associated with a fixed income security |
MATURITY_DATE |
string[8] |
Date when the instrument reaches maturity (YYYYMMDD) |
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. |
TRACE - 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 |
double |
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 |
YIELD |
double |
Yield to maturity, expressed as a percentage |
PRICE_COND |
string[4] |
Identifies trade prices that are special / unconfirmed / potentially suspect / notable for other reasons |
SIZE_TYPE |
string[4] |
Indicates any special conditions applicable to the SIZE field |
POOL_FACTOR |
double |
Ratio of the original principal remaining in an asset-backed security. A null value in trade data indicates that the trade was executed with the security’s latest published pool factor. |
TRADE_TYPE |
string[20] |
Type of trade |
LATE_REPORTED |
string[4] |
Indicates whether a trade was reported late and/or outside normal trading hours |
HEDGED_TRADE |
string[1] |
Indicates whether a trade was hedged (H - Hedged transaction, - Not a hedged transaction) |
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. |
REPORTING_PARTY_SIDE |
string[1] |
Indicates whether the trade was reported by the buyer or the seller (B - Buyer, S - Seller, - Unspecified) |
REPORTING_PARTY_TYPE |
string[1] |
Type of participant that reported the trade |
CONTRA_PARTY_TYPE |
string[1] |
Type of participant that the trade was executed against (on the other side from the reporting party) |
ATS_INDICATOR |
string[1] |
Indicates whether an ATS was involved in the execution or publication of the trade (Y - Yes, - No / Unspecified) |
TRADE_SETTLEMENT_DATE |
string[8] |
Date when a trade in the security is due to be settled (YYYYMMDD) |
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. |
TRACE_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
TRACE_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) |
OPEN |
double |
Open price for the current trading day |
OPEN_YIELD |
double |
Yield corresponding to the opening price |
HIGH |
double |
DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval |
HIGH_YIELD |
double |
Yield corresponding to the high price |
LOW |
double |
DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval |
LOW_YIELD |
double |
Yield corresponding to the low price |
CLOSE |
double |
Closing price |
CLOSE_YIELD |
double |
Yield corresponding to the closing price |
VOLUME |
double |
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 |
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. |
TRACE_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 |
EXCH_SYMBOL |
string[32] |
Ticker symbol specified by the exchange |
FIGI |
string[12] |
Financial Instrument Global Identifier, identifying an individual instrument traded on a specific venue |
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 |
SEC_SUBTYPE |
string[40] |
Security subtype |
CURRENCY |
string[12] |
Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). |
WHEN_ISSUED |
string[1] |
Indicates that the instrument is trading on a When Issued basis (Y - Yes, - No / unspecified) |
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. |