Abaxx Exchange Schemas#
Abaxx Exchange introduces centrally cleared, physically delivered futures contracts and derivatives to provide better price signals, improved risk management capabilities and an enhanced network for energy, metals and environmental markets.
ABAXX#
Database includes the following Tables:
DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
MKT - Market phase / instrument status information
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades
ABAXX - 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) |
SETTLE_PRICE |
double |
Settlement price |
SETTLE_DATE |
string[8] |
Trading date to which the settlement price relates (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. |
ABAXX - MKT#
Market phase / instrument status information
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) |
TRADING_DATE |
string[8] |
Identifies the current business date (YYYYMMDD). May be different to the calendar date, e.g. for T+1 trading sessions. |
MKT_PHASE |
string[20] |
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. |
ABAXX - QTE#
Best bid / offer quotes
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) |
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 |
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 |
EXCH_TIME |
nsectime |
Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp |
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. |
ABAXX - 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[200] |
Description of the instrument |
EXCH_SYMBOL |
string[32] |
Ticker symbol specified by the exchange |
TRADING_CODE |
string[20] |
ID used to identify the instrument in the trading system |
PRODUCT_CODE |
string[12] |
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. |
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 |
EXCH_SEC_TYPE |
string[20] |
Instrument type as specified by the exchange |
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) |
LAST_TRADING_TIME |
nsectime |
Time when the instrument finishes trading on the final trading day |
CONTRACT_SIZE |
double |
Indicates a derivative’s underlying quantity |
MIN_TRADE_SIZE |
int |
Minimum tradable size |
MAX_TRADE_SIZE |
int |
Maximum tradable size |
STRATEGY_LEG_COUNT |
int |
Number of legs in a strategy (spread) |
STRATEGY_LEGS |
string[200] |
Comma-separated list of symbols for the legs of a futures / options spread |
TICK_SIZE |
double |
Tick size / minimum price increment. All order prices must be a multiple of the tick size. |
SETTLEMENT_TYPE |
string[1] |
Settlement method for a derivatives contract (C - Cash, P - Physical, E - Either cash or physical) |
DELIVERY_START_DATE |
string[8] |
Date when a derivative’s delivery period begins (YYYYMMDD) |
DELIVERY_END_DATE |
string[8] |
Date when a derivative’s delivery period ends (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. |
ABAXX - 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) |
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 |
EXCH_TIME |
nsectime |
Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp |
AGGRESSOR_SIDE |
string[1] |
Indicates whether a trade resulted from an incoming buy or sell order. |
TRADE_TYPE |
string[4] |
Type of trade |
BOOK_TYPE |
string[1] |
Type of order book or trading mechanism through which a trade 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. |