Nodal Exchange Schemas#

Nodal Exchange is a leading commodities derivatives exchange providing price, credit, and liquidity risk management to participants in the North American energy markets. It operates as the #1 power futures exchange in the United States, capturing roughly 55% market share of the U.S. power futures open interest.



NODAL#

Database includes the following Tables:

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

  • PRL - Market depth data, aggregated by price point (MBP)

  • QTE - Best bid / offer quotes

  • STAT - Static data, e.g. ISIN, description, security type

  • TRD - Trades


NODAL - DAY#

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

NODAL - 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)

CLOSE

double

Closing price

DELTA

double

Option delta, i.e. the rate of change of an option’s price relative to its underlying

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

OFF_BOOK_VOLUME

double

Total volume traded off-book

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.

ON_BOOK_VOLUME

double

Total volume traded through the orderbook

OPEN

double

Open price for the current trading day

OPEN_INT

double

Open interest for futures / options

OPEN_INT_DATE

string[8]

Trading date to which the open interest relates (YYYYMMDD)

SETTLE_DATE

string[8]

Trading date to which the settlement price relates (YYYYMMDD)

SETTLE_PRICE

double

Settlement price

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]

TRADE_COUNT

double

Number of trades on the current trading day

UPDATE_TYPE

string[16]

Type of update

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

VWAP

double

Volume-weighted average price

NODAL - PRL#

Market depth data, aggregated by price point (MBP)

NODAL - PRL 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)

BUY_SELL_FLAG

int

Orderbook side (0 - Buy, 1 - Sell)

DELETED_TIME

msectime

Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).

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.

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

RECORD_TYPE

string[1]

Type of depth update.

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

TICK_STATUS

int

Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).

NODAL - QTE#

Best bid / offer quotes

NODAL - 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)

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

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

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.

NODAL - STAT#

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

NODAL - 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)

CALL_PUT_IND

string[1]

C - Call option, P - Put option

CONTRACT_FREQUENCY

string[1]

Expiration frequency of a derivative contract (D - Daily, W - Weekly, M - Monthly, Q - Quarterly, A - Annual, I - Irregular)

CONTRACT_LOCATION

string[40]

Location to which a derivative contract relates (e.g. ISO load zone for US power contracts)

CONTRACT_REGION

string[16]

Region to which a derivative contract relates

CONTRACT_SIZE

double

Indicates a derivative’s underlying quantity

CONTRACT_UNITS

string[16]

Units in which CONTRACT_SIZE is expressed

CURRENCY

string[3]

Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).

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

EXCH_SYMBOL

string[40]

Ticker symbol specified by the exchange

EXCH_SYMBOL_2

string[40]

Secondary ticker symbol specified by the exchange

EXERCISE_TYPE

string[1]

Option exercise type (A - American, E - European, B - Bermudan, S - Asian)

EXPIRATION_DATE

string[8]

Date when a derivative expires (YYYYMMDD)

MIC

string[4]

Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded

NAME

string[200]

Description of the instrument

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.

OPERATING_MIC

string[4]

Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded

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.

SEC_TYPE

string[20]

Security type, e.g. Equity, ETF, Future

SETTLEMENT_TYPE

string[1]

Settlement method for a derivatives contract (C - Cash, P - Physical, E - Either cash or physical)

STRATEGY_TYPE

string[40]

Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly

STRIKE_PRICE

double

Exercise price for options / warrants

TICK_SIZE

string[80]

Tick size / minimum price increment. All order prices must be a multiple of the tick size.

UNDERLYING_SEC_TYPE

string[20]

Underlying asset class

UNDERLYING_SYMBOL

string[32]

Symbol of the underlying instrument

NODAL - TRD#

Trades

NODAL - 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)

AGGRESSOR_SIDE

string[1]

Indicates whether a trade resulted from an incoming buy or sell order.

BOOK_TYPE

string[1]

Type of order book or trading mechanism through which a trade was executed.

DELETED_TIME

msectime

Internal OneTick field. Usually null unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).

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.

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

TICK_STATUS

int

Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).

TRADE_ID

string[32]

Trade identifier, generally the ID assigned by the matching engine

TRADE_PERIOD

string[1]

Market period during which a trade was executed.

TRADE_TYPE

string[4]

Type of trade


NODAL_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


NODAL_DAILY - DAY#

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

NODAL_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)

CLOSE

double

Closing price

DELTA

double

Option delta, i.e. the rate of change of an option’s price relative to its underlying

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

OFF_BOOK_VOLUME

double

Total volume traded off-book

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.

ON_BOOK_VOLUME

double

Total volume traded through the orderbook

OPEN

double

Open price for the current trading day

OPEN_INT

double

Open interest for futures / options

OPEN_INT_DATE

string[8]

Trading date to which the open interest relates (YYYYMMDD)

SETTLE_DATE

string[8]

Trading date to which the settlement price relates (YYYYMMDD)

SETTLE_PRICE

double

Settlement price

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]

TRADE_COUNT

double

Number of trades on the current trading day

UPDATE_TYPE

string[16]

Type of update

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

VWAP

double

Volume-weighted average price

NODAL_DAILY - STAT#

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

NODAL_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)

CALL_PUT_IND

string[1]

C - Call option, P - Put option

CONTRACT_FREQUENCY

string[1]

Expiration frequency of a derivative contract (D - Daily, W - Weekly, M - Monthly, Q - Quarterly, A - Annual, I - Irregular)

CONTRACT_LOCATION

string[40]

Location to which a derivative contract relates (e.g. ISO load zone for US power contracts)

CONTRACT_REGION

string[16]

Region to which a derivative contract relates

CONTRACT_SIZE

double

Indicates a derivative’s underlying quantity

CONTRACT_UNITS

string[16]

Units in which CONTRACT_SIZE is expressed

CURRENCY

string[3]

Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).

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

EXCH_SYMBOL

string[40]

Ticker symbol specified by the exchange

EXCH_SYMBOL_2

string[40]

Secondary ticker symbol specified by the exchange

EXERCISE_TYPE

string[1]

Option exercise type (A - American, E - European, B - Bermudan, S - Asian)

EXPIRATION_DATE

string[8]

Date when a derivative expires (YYYYMMDD)

MIC

string[4]

Market Identifier Code (MIC, ISO 10383) identifying the market on which the instrument is traded

NAME

string[200]

Description of the instrument

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.

OPERATING_MIC

string[4]

Market Identifier Code (MIC, ISO 10383) of the exchange that operates the market on which the instrument is traded

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.

SEC_TYPE

string[20]

Security type, e.g. Equity, ETF, Future

SETTLEMENT_TYPE

string[1]

Settlement method for a derivatives contract (C - Cash, P - Physical, E - Either cash or physical)

STRATEGY_TYPE

string[40]

Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly

STRIKE_PRICE

double

Exercise price for options / warrants

TICK_SIZE

string[80]

Tick size / minimum price increment. All order prices must be a multiple of the tick size.

UNDERLYING_SEC_TYPE

string[20]

Underlying asset class

UNDERLYING_SYMBOL

string[32]

Symbol of the underlying instrument