# 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 tick types: * 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 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 ### 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 |