# CBOT Futures Schemas The CME Chicago Board of Trade (CBOT) offers trading in futures on agricultural commodities, interest rates, and equity indices. ## CBOT Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * FIXING - Fixing prices * IND - Indicative pricing, e.g. indicative auction prices and imbalance * LULD - Limit Up / Limit Down price levels * MKT - Market phase / instrument status information * PRL_FULL - Full orderbook data, showing updates to each individual order (MBO) * QTE - Best bid / offer quotes * RFQ - Data related to a Request for Quote * STAT - Static data, e.g. ISIN, description, security type * TRD - Trades ### CBOT - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CBOT - 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 | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | 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) | | 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. | ### CBOT - FIXING Fixing prices #### CBOT - FIXING 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) | | 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. | ### CBOT - IND Indicative pricing, e.g. indicative auction prices and imbalance #### CBOT - 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) | | 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 | | 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. | ### CBOT - LULD Limit Up / Limit Down price levels #### CBOT - 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) | | HIGH_LIMIT | double | Upper trading limit / circuit breaker level | | LOW_LIMIT | double | Lower trading limit / circuit breaker level | | DYNAMIC_PRICE_BAND | double | Maximum price movement from one trade to the next | | 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. | ### CBOT - MKT Market phase / instrument status information #### CBOT - 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) | | 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[6] | Indicates the instrument’s current market phase, as specified by the trading venue | | REASON_CODE | string[4] | Reason for an instrument status update | | EVENT_CODE | string[4] | Event that triggered an instrument status update | | 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. | ### CBOT - PRL_FULL Full orderbook data, showing updates to each individual order (MBO) #### CBOT - 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) | | 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. | | BUY_SELL_FLAG | int | Orderbook side (0 - Buy, 1 - Sell) | | ORDER_TYPE | string[1] | Type of order. | | 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[16] | Trade identifier, generally the ID assigned by the matching engine | | FILL_SIZE | int | Size filled in an order execution event | | OLD_PRICE | double | Previous price of an order | | OLD_SIZE | int | Previous size of an order | | RECORD_TYPE | string[1] | Type of depth update. | | DELETED_TIME | nsectime | 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. | ### CBOT - QTE Best bid / offer quotes #### CBOT - 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) | | 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 | short | Number of orders at the best bid price | | BID_SIZE_IMPLIED | int | Volume of implied orders included in the best bid size (best bid size = implied bid size + outright 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 | | ASK_NUM_ORDERS | short | Number of orders at the best ask price | | ASK_SIZE_IMPLIED | int | Volume of implied orders included in the best ask size (best ask size = implied ask size + outright 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. | ### CBOT - RFQ Data related to a Request for Quote #### CBOT - RFQ 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) | | RFQ_ID | string[25] | Uniquely identifies a Request for Quote | | 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 | | RFQ_SIDE | string[6] | Side to which a Request for Quote applies | | 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. | ### CBOT - STAT Static data, e.g. ISIN, description, security type #### CBOT - 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[250] | Description of the instrument | | EXCH_SYMBOL | string[30] | Ticker symbol specified by the exchange | | UNDERLYING_SYMBOL | string[40] | Symbol of the underlying instrument | | UNDERLYING_EXCH_SYMBOL | string[30] | Ticker symbol of the underlying instrument, as 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. | | TRADING_GROUP | string[8] | Trading group to which the instrument belongs. Instruments in the same trading group will have the same trading schedule, order matching algorithm, etc. | | 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[30] | 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[30] | Instrument type as specified by the exchange | | EXCH_STRATEGY_TYPE | string[30] | 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) | | LAST_TRADING_TIME | nsectime | Time when the instrument finishes trading on the final trading day | | CONTRACT_SIZE | double | Indicates a derivative’s underlying quantity | | CONTRACT_UNITS | string[25] | Units in which CONTRACT_SIZE is expressed | | 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) | | 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. | | FRACTIONAL_PRICE_FORMAT | string[10] | Indicates the denominator of the fractional portion of the price, for instruments whose price is conventionally displayed in fractional format. If the display price has a fraction and a subfraction, both are provided, separated by -. | | STRATEGY_LEG_COUNT | int | Number of legs in a strategy (spread) | | STRATEGY_LEGS | string[600] | Comma-separated list of symbols for the legs of a futures / options spread | | STRATEGY_RATIO | string[100] | Comma-separated list of ratios for the legs of a futures / options spread. Ratios are listed in the same order as the symbols in STRATEGY_LEGS. | | HEDGE_LEG_COUNT | int | Number of legs in the hedge portion of a spread (e.g. for option spreads hedged against underlying futures) | | HEDGE_LEGS | string[70] | Comma-separated list of symbols for the hedge portion of a spread | | HEDGE_RATIO | string[40] | Comma-separated list of ratios for the hedge portion of a futures / options spread. Ratios are listed in the same order as the symbols in HEDGE_LEGS. | | HEDGE_PRICE | string[70] | Comma-separated list of prices for the hedge portion of a futures / options spread. Prices are listed in the same order as the symbols in HEDGE_LEGS. | | MIN_TRADE_SIZE | int | Minimum tradable size | | MAX_TRADE_SIZE | int | Maximum tradable size | | ORDER_EXEC_ALGO | string[30] | Algorithm used by the matching engine to prioritise and match orders | | IMPLIED_PRICING | string[1] | Indicates whether a derivative instrument supports implied pricing (Y - Yes, N - No) | | EXCH_PRICE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal price value used in the matching engine to the monetary price seen in market data | | EXCH_STRIKE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal strike price to the monetary strike price seen in market data | | EXPIRY_CODE | string[12] | Code identifying a specific futures / options expiry within the exchange system | | EXPIRY_WEEK | string[2] | Identifies the week of the month in which weekly futures / options expire | | 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. | ### CBOT - TRD Trades #### CBOT - 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[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[16] | Trade identifier, generally the ID assigned by the matching engine | | BUY_ORDER_ID | string[20] | ID of the buy order involved in a trade | | SELL_ORDER_ID | string[20] | ID of the sell order involved in a trade | | 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. | ## CBOT_BARS Database includes the following tick types: * DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest * LAT_1M - 1-minute Latency bars for real time delivered data * MKT - Market phase / instrument status information * QTE_1M - 1-minute quote bars * TRD_1D - Daily trade bars * TRD_1M - 1-minute trade bars * VWAP_1H - 1-hour VWAP bars ### CBOT_BARS - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CBOT_BARS - 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 | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | 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) | | 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. | ### CBOT_BARS - LAT_1M 1-minute Latency bars for real time delivered data #### CBOT_BARS - LAT_1M 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) | | AVG_LATENCY_COLLECTION | double | Average Latency of Real Time Collection. Difference between Exchange timestamp and collection timestamp. | | MAX_LATENCY_COLLECTION | double | Maximum Latency of Real Time Collection. Difference between Exchange timestamp and collection timestamp. | | AVG_LATENCY_LOAD | double | Average Latency of Real Time Loading. Difference between the collection timestamp and availability within the Memory Database. | | MAX_LATENCY_LOAD | double | Maximum Latency of Real Time Loading. Difference between the collection timestamp and availability within the Memory Database. | | 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. | ### CBOT_BARS - MKT Market phase / instrument status information #### CBOT_BARS - 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) | | OMD_STATUS | string[64] | Indicates an instrument’s current trading status. Values are normalized across all DBs. | | 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[6] | Indicates the instrument’s current market phase, as specified by the trading venue | | REASON_CODE | string[4] | Reason for an instrument status update | | EVENT_CODE | string[4] | Event that triggered an instrument status update | | 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. | ### CBOT_BARS - QTE_1M 1-minute quote bars #### CBOT_BARS - QTE_1M 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) | | FIRST_BID_TIME | nsectime | Time of the first best bid update in the current bar interval | | FIRST_BID_PRICE | double | Price of the first best bid update in the current bar interval | | FIRST_BID_SIZE | long | Size of the first best bid update in the current bar interval | | FIRST_ASK_TIME | nsectime | Time of the first best ask update in the current bar interval | | FIRST_ASK_PRICE | double | Price of the first best ask update in the current bar interval | | FIRST_ASK_SIZE | long | Size of the first best ask update in the current bar interval | | HIGH_BID_TIME | nsectime | Time of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. | | HIGH_BID | double | Highest bid price in the current bar interval | | HIGH_BID_SIZE | long | Size of the bid quote that set HIGH_BID. If there are multiple quotes at that price, the first one is used. | | ASK_PRICE_AT_HIGH_BID | double | Ask price of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. | | ASK_SIZE_AT_HIGH_BID | long | Ask size of the quote that set HIGH_BID. If there are multiple bid quotes at HIGH_BID, the first one is used. | | LOW_ASK_TIME | nsectime | Time of the bid quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. | | LOW_ASK | double | Lowest ask price in the current bar interval | | LOW_ASK_SIZE | long | Size of the ask quote that set LOW_ASK. If there are multiple quotes at that price, the first one is used. | | BID_PRICE_AT_LOW_ASK | double | Bid price of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. | | BID_SIZE_LOW_ASK | long | Bid size of the quote that set LOW_ASK. If there are multiple ask quotes at LOW_ASK, the first one is used. | | LAST_BID_TIME | nsectime | Time of the last best bid update in the current bar interval | | LAST_BID_PRICE | double | Price of the last best bid update in the current bar interval | | LAST_BID_SIZE | long | Size of the last best bid update in the current bar interval | | LAST_ASK_TIME | nsectime | Time of the last best ask update in the current bar interval | | LAST_ASK_PRICE | double | Price of the last best ask update in the current bar interval | | LAST_ASK_SIZE | long | Size of the last best ask update in the current bar interval | | MID_TWAP | double | Time-weighted average of the midpoint of the best bid/ask over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | MID_MEDIAN | double | Median of the midpoint of the best bid/ask quotes over the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | MID_LAST | double | Midpoint of the last best bid/ask in the current bar interval. [Note: One-sided or empty quotes are excluded from the calculation] | | SPREAD_MIN | double | Narrowest bid/ask spread, i.e. the lowest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_MAX | double | Widest bid/ask spread, i.e. the highest value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_TWAP | double | Time-weighted average of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_MEDIAN | double | Median value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | SPREAD_LAST | double | Last value of (best ask price - best bid price) over the current bar interval. [Note: May be zero or negative if the book was locked/crossed. One-sided or empty quotes are excluded from the calculation] | | QUOTE_CURRENCY | string[3] | Currency in which a quote price is expressed. | | QUOTE_TICK_COUNT | long | Number of BBO quotes in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | 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. | ### CBOT_BARS - TRD_1D Daily trade bars #### CBOT_BARS - TRD_1D 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) | | FIRST_TIME | nsectime | Timestamp of the first eligible trade in the current bar interval | | FIRST | double | Price of the first eligible trade in the current bar interval | | FIRST_SIZE | long | Size of the first eligible trade in the current bar interval | | HIGH_TIME | nsectime | Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | 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_SIZE | long | Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW_TIME | nsectime | Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | 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_SIZE | long | Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LAST_TIME | nsectime | Timestamp of the last eligible trade in the current bar interval | | LAST | double | Price of the last eligible trade in the current bar interval | | LAST_SIZE | long | Size of the last eligible trade in the current bar interval | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average 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 | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | TRADE_TICK_COUNT | long | Number of eligible trades in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | 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. | ### CBOT_BARS - TRD_1M 1-minute trade bars #### CBOT_BARS - TRD_1M 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) | | FIRST_TIME | nsectime | Timestamp of the first eligible trade in the current bar interval | | FIRST | double | Price of the first eligible trade in the current bar interval | | FIRST_SIZE | long | Size of the first eligible trade in the current bar interval | | HIGH_TIME | nsectime | Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | 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_SIZE | long | Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LOW_TIME | nsectime | Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | 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_SIZE | long | Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used. | | LAST_TIME | nsectime | Timestamp of the last eligible trade in the current bar interval | | LAST | double | Price of the last eligible trade in the current bar interval | | LAST_SIZE | long | Size of the last eligible trade in the current bar interval | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average 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 | | BUY_VOLUME | long | Traded volume originating from incoming buy orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | SELL_VOLUME | long | Traded volume originating from incoming sell orders. Excludes trades involving hidden orders, as well as off-book trades and auction trades, for the which the side of the aggressive order is undefined or unknown. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | TRADE_TICK_COUNT | long | Number of eligible trades in the current bar interval | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | 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. | ### CBOT_BARS - VWAP_1H 1-hour VWAP bars #### CBOT_BARS - VWAP_1H 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) | | VWAP | double | Volume-weighted average price | | TWAP | double | TIme-weighted average 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 | | CURRENCY | string[64] | Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal). | | CLOUD_DB | string[32] | In composite DBs: Identifies the source database for each tick. In bars DBs: Identifies the database containing the tick data used to calculate the bars. | | 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. | ## CBOT_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 ### CBOT_DAILY - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### CBOT_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 | | ELEC_VOLUME | long | Total volume traded electronically | | BLOCK_VOLUME | long | Total volume of block trades executed on the current day | | 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) | | 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. | ### CBOT_DAILY - STAT Static data, e.g. ISIN, description, security type #### CBOT_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[250] | Description of the instrument | | EXCH_SYMBOL | string[30] | Ticker symbol specified by the exchange | | UNDERLYING_SYMBOL | string[40] | Symbol of the underlying instrument | | UNDERLYING_EXCH_SYMBOL | string[30] | Ticker symbol of the underlying instrument, as 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. | | TRADING_GROUP | string[8] | Trading group to which the instrument belongs. Instruments in the same trading group will have the same trading schedule, order matching algorithm, etc. | | 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[30] | 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[30] | Instrument type as specified by the exchange | | EXCH_STRATEGY_TYPE | string[30] | 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) | | LAST_TRADING_TIME | nsectime | Time when the instrument finishes trading on the final trading day | | CONTRACT_SIZE | double | Indicates a derivative’s underlying quantity | | CONTRACT_UNITS | string[25] | Units in which CONTRACT_SIZE is expressed | | 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) | | 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. | | FRACTIONAL_PRICE_FORMAT | string[10] | Indicates the denominator of the fractional portion of the price, for instruments whose price is conventionally displayed in fractional format. If the display price has a fraction and a subfraction, both are provided, separated by -. | | STRATEGY_LEG_COUNT | int | Number of legs in a strategy (spread) | | STRATEGY_LEGS | string[600] | Comma-separated list of symbols for the legs of a futures / options spread | | STRATEGY_RATIO | string[100] | Comma-separated list of ratios for the legs of a futures / options spread. Ratios are listed in the same order as the symbols in STRATEGY_LEGS. | | HEDGE_LEG_COUNT | int | Number of legs in the hedge portion of a spread (e.g. for option spreads hedged against underlying futures) | | HEDGE_LEGS | string[70] | Comma-separated list of symbols for the hedge portion of a spread | | HEDGE_RATIO | string[40] | Comma-separated list of ratios for the hedge portion of a futures / options spread. Ratios are listed in the same order as the symbols in HEDGE_LEGS. | | HEDGE_PRICE | string[70] | Comma-separated list of prices for the hedge portion of a futures / options spread. Prices are listed in the same order as the symbols in HEDGE_LEGS. | | MIN_TRADE_SIZE | int | Minimum tradable size | | MAX_TRADE_SIZE | int | Maximum tradable size | | ORDER_EXEC_ALGO | string[30] | Algorithm used by the matching engine to prioritise and match orders | | IMPLIED_PRICING | string[1] | Indicates whether a derivative instrument supports implied pricing (Y - Yes, N - No) | | EXCH_PRICE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal price value used in the matching engine to the monetary price seen in market data | | EXCH_STRIKE_MULTIPLIER | double | Multiplier used to convert from the exchange’s internal strike price to the monetary strike price seen in market data | | EXPIRY_CODE | string[12] | Code identifying a specific futures / options expiry within the exchange system | | EXPIRY_WEEK | string[2] | Identifies the week of the month in which weekly futures / options expire | | 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. | ## CBOT_LATEST Database includes the following tick types: * SNAP - Latest Trade & Quote / NBBO Prices for all Instruments in the venue * SNAP_QTE - Latest Quotes for all Instruments in the venue * SNAP_TRD - Latest Trade Prices for all Traded Instruments in the venue ### CBOT_LATEST - SNAP Latest Trade & Quote / NBBO Prices for all Instruments in the venue #### CBOT_LATEST - SNAP 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) | | 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 | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | OPEN | double | Open price for the current trading day | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[10] | Trading date to which the settlement price relates (YYYYMMDD) | | OPEN_INT | long | Open interest for futures / options | | OPEN_INT_DATE | string[10] | Trading date to which the open interest relates (YYYYMMDD) | | LATENCY_LOAD | long | Latency in milliseconds for the time duration between data collection and in-memory database load | | LATENCY_COLLECTION | long | Latency in milliseconds for the time duration between exchange publishing and data collection | | SEC_TYPE | string[64] | Security type, e.g. Equity, ETF, Future | | 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 | | 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 | | SYMBOL | string[64] | Exchange Symbol | | LAST_TRADE_TIME | nsectime | Last Trade Time | | 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) | | 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) | | LAST_QUOTE_TIME | nsectime | Last Quote Time | ### CBOT_LATEST - SNAP_QTE Latest Quotes for all Instruments in the venue #### CBOT_LATEST - SNAP_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) | | 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 | | QUOTE_CURRENCY | string[3] | Currency in which a quote price is expressed. | | SYMBOL | string[64] | Exchange Symbol | | TICK_TIME | nsectime | Timestamp for latest Trade / Quote or NBBO Update | ### CBOT_LATEST - SNAP_TRD Latest Trade Prices for all Traded Instruments in the venue #### CBOT_LATEST - SNAP_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) | | 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 | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | OPEN | double | Open price for the current trading day | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[10] | Trading date to which the settlement price relates (YYYYMMDD) | | OPEN_INT | long | Open interest for futures / options | | OPEN_INT_DATE | string[10] | Trading date to which the open interest relates (YYYYMMDD) | | LATENCY_LOAD | long | Latency in milliseconds for the time duration between data collection and in-memory database load | | LATENCY_COLLECTION | long | Latency in milliseconds for the time duration between exchange publishing and data collection | | SEC_TYPE | string[64] | Security type, e.g. Equity, ETF, Future | | 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 | | 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 | | SYMBOL | string[64] | Exchange Symbol | | TICK_TIME | nsectime | Timestamp for latest Trade / Quote or NBBO Update |