A3 Markets - Matba Rofex Schemas#

A3 Mercados is Argentina’s largest financial exchange platform, created from the merger of Matba Rofex and Mercado Abierto Electrónico (MAE).

A3#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
IDX - Index values
LULD - Limit Up / Limit Down price levels
MKT - Market phase / instrument status information
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades

A3 - DAY#

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

A3 - 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	double	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
SETTLE_PRICE	double	Settlement price
SETTLE_DATE	string[8]	Trading date to which the settlement price relates (YYYYMMDD)
OPEN_INT	double	Open interest for futures / options
OPEN_INT_DATE	string[8]	Trading date to which the open interest relates (YYYYMMDD)
TRADE_COUNT	double	Number of trades on the current trading day
VWAP	double	Volume-weighted average price
ON_BOOK_VOLUME	double	Total volume traded through the orderbook
OFF_BOOK_VOLUME	double	Total volume traded off-book
SPREAD_VOLUME	double	Total volume originating from spread executions [i.e. strategy leg trades reported in each outright leg when two spread orders are matched]
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.

A3 - IDX#

Index values

A3 - IDX 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
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.

A3 - LULD#

Limit Up / Limit Down price levels

A3 - 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.

A3 - MKT#

Market phase / instrument status information

A3 - 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[8]	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.

A3 - QTE#

Best bid / offer quotes

A3 - 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.

A3 - STAT#

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

A3 - 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
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[40]	Ticker symbol specified by the exchange
TRADING_CODE	string[20]	ID used to identify the instrument in the trading system
PRODUCT_CODE	string[20]	Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD.
UNDERLYING_SYMBOL	string[32]	Symbol of the underlying instrument
UNDERLYING_ISIN	string[12]	ISIN of the underlying instrument
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[20]	Security type, e.g. Equity, ETF, Future
UNDERLYING_SEC_TYPE	string[20]	Underlying asset class
STRATEGY_TYPE	string[40]	Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly
EXCH_SEC_TYPE	string[20]	Instrument type as specified by the exchange
EXCH_STRATEGY_TYPE	string[20]	Type of strategy / spread, as specified by the exchange
CFI_CODE	string[6]	Classification of Financial Instruments code (ISO 10962), indicating the type of security
CURRENCY	string[3]	Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).
EXPIRATION_DATE	string[8]	Date when a derivative expires (YYYYMMDD)
STRIKE_PRICE	double	Exercise price for options / warrants
CALL_PUT_IND	string[1]	C - Call option, P - Put option
EXERCISE_TYPE	string[1]	Option exercise type (A - American, E - European, B - Bermudan, S - Asian)
SETTLEMENT_TYPE	string[1]	Settlement method for a derivatives contract (C - Cash, P - Physical, E - Either cash or physical)
CONTRACT_SIZE	double	Indicates a derivative’s underlying quantity
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.
TICK_VALUE	double	Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE.
POINT_VALUE	double	Profit / loss per contract resulting from a 1 point price movement (e.g. if the price moves from 123.00 to 124.00). Note that if an instrument trades in minor currency units such as USX (US cents), the point value will also be expressed in those units.
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.

A3 - TRD#

Trades

A3 - 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
AGGRESSOR_SIDE	string[1]	Indicates whether a trade resulted from an incoming buy or sell order.
TRADE_TYPE	string[4]	Type of 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
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.

A3_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

A3_DAILY - DAY#

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

A3_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	double	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
SETTLE_PRICE	double	Settlement price
SETTLE_DATE	string[8]	Trading date to which the settlement price relates (YYYYMMDD)
OPEN_INT	double	Open interest for futures / options
OPEN_INT_DATE	string[8]	Trading date to which the open interest relates (YYYYMMDD)
TRADE_COUNT	double	Number of trades on the current trading day
VWAP	double	Volume-weighted average price
ON_BOOK_VOLUME	double	Total volume traded through the orderbook
OFF_BOOK_VOLUME	double	Total volume traded off-book
SPREAD_VOLUME	double	Total volume originating from spread executions [i.e. strategy leg trades reported in each outright leg when two spread orders are matched]
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.

A3_DAILY - STAT#

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

A3_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
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[40]	Ticker symbol specified by the exchange
TRADING_CODE	string[20]	ID used to identify the instrument in the trading system
PRODUCT_CODE	string[20]	Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD.
UNDERLYING_SYMBOL	string[32]	Symbol of the underlying instrument
UNDERLYING_ISIN	string[12]	ISIN of the underlying instrument
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[20]	Security type, e.g. Equity, ETF, Future
UNDERLYING_SEC_TYPE	string[20]	Underlying asset class
STRATEGY_TYPE	string[40]	Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly
EXCH_SEC_TYPE	string[20]	Instrument type as specified by the exchange
EXCH_STRATEGY_TYPE	string[20]	Type of strategy / spread, as specified by the exchange
CFI_CODE	string[6]	Classification of Financial Instruments code (ISO 10962), indicating the type of security
CURRENCY	string[3]	Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).
EXPIRATION_DATE	string[8]	Date when a derivative expires (YYYYMMDD)
STRIKE_PRICE	double	Exercise price for options / warrants
CALL_PUT_IND	string[1]	C - Call option, P - Put option
EXERCISE_TYPE	string[1]	Option exercise type (A - American, E - European, B - Bermudan, S - Asian)
SETTLEMENT_TYPE	string[1]	Settlement method for a derivatives contract (C - Cash, P - Physical, E - Either cash or physical)
CONTRACT_SIZE	double	Indicates a derivative’s underlying quantity
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.
TICK_VALUE	double	Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE.
POINT_VALUE	double	Profit / loss per contract resulting from a 1 point price movement (e.g. if the price moves from 123.00 to 124.00). Note that if an instrument trades in minor currency units such as USX (US cents), the point value will also be expressed in those units.
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.