# 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 tick types: * 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 #### TRACE - 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 | | 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 #### TRACE - 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[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 #### TRACE - 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 | 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 tick types: * 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 #### TRACE_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 | | 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 #### TRACE_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 | | 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. |