SGX-NZX Dairy Derivatives Schemas#

SGX-NZX’s Dairy Derivatives Market provides the dairy industry with a forward view of dairy prices and a cash settled instrument for managing price risk simply and efficiently.



NZX_DAIRY#

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


NZX_DAIRY - DAY#

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

NZX_DAIRY - 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

SESSION

string[8]

Trading session to which the update relates, e.g. Day, Night, T, T+1

OPEN

double

Open price for the current trading day

HIGH

double

DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval

LOW

double

DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval

CLOSE

double

Closing price

VOLUME

double

DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval

SETTLE_PRICE

double

Settlement price

SETTLE_DATE

string[8]

Trading date to which the settlement price relates (YYYYMMDD)

OPEN_INT

double

Open interest for futures / options

OPEN_INT_DATE

string[8]

Trading date to which the open interest relates (YYYYMMDD)

TRADE_COUNT

double

Number of trades on the current trading day

VWAP

double

Volume-weighted average price

ON_BOOK_VOLUME

double

Total volume traded through the orderbook

OFF_BOOK_VOLUME

double

Total volume traded off-book

SPREAD_VOLUME

double

Total volume originating from spread executions [i.e. strategy leg trades reported in each outright leg when two spread orders are matched]

OMDSEQ

uint

Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

NZX_DAIRY - MKT#

Market phase / instrument status information

NZX_DAIRY - MKT Table Schema#

Field

Data Type

Description

SYMBOL_NAME

string

Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)

TIMESTAMP

nsectime

Event Timestamp (typically at a nano-second resolution)

EXCH_TIME

nsectime

Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp

MKT_PHASE

string[8]

Indicates the instrument’s current market phase, as specified by the trading venue

OMD_STATUS

string[1]

Indicates an instrument’s current trading status. Values are normalized across all DBs.

SESSION

string[8]

Trading session to which the update relates, e.g. Day, Night, T, T+1

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.

NZX_DAIRY - QTE#

Best bid / offer quotes

NZX_DAIRY - QTE Table Schema#

Field

Data Type

Description

SYMBOL_NAME

string

Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)

TIMESTAMP

nsectime

Event Timestamp (typically at a nano-second resolution)

EXCH_TIME

nsectime

Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp

BID_PRICE

double

Best bid price. A null value is used if the bid side is empty, or if the best bid is set by unpriced orders (e.g. market orders)

BID_SIZE

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

QUOTE_SESSION

string[8]

Trading session from which the quote originates, e.g. Day, Night

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.

NZX_DAIRY - STAT#

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

NZX_DAIRY - STAT Table Schema#

Field

Data Type

Description

SYMBOL_NAME

string

Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate)

TIMESTAMP

nsectime

Event Timestamp (typically at a nano-second resolution)

NAME

string[200]

Description of the instrument

ISIN

string[12]

ISIN code

EXCH_SYMBOL

string[40]

Ticker symbol specified by the exchange

TRADING_CODE

string[40]

ID used to identify the instrument in the trading system

TRADING_CODE_2

string[20]

Secondary ID used to identify the instrument in the trading system

PRODUCT_CODE

string[10]

Root code of a futures / options product, as specified by the exchange (e.g. CL for Crude Oil futures on NYMEX). For inter-product spreads, PRODUCT_CODE will include both products, e.g. AB-CD for a spread between products AB and CD.

UNDERLYING_SYMBOL

string[40]

Symbol of the underlying instrument

UNDERLYING_ISIN

string[12]

ISIN of the underlying instrument

MIC

string[4]

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

OPERATING_MIC

string[4]

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

SEC_TYPE

string[20]

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

UNDERLYING_SEC_TYPE

string[24]

Underlying asset class

STRATEGY_TYPE

string[40]

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

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)

FIRST_TRADING_DATE

string[8]

First date on which the instrument can be traded (YYYYMMDD)

FIRST_NOTICE_DATE

string[8]

Earliest date when holders of short futures positions can provide notice of their intention to deliver the underlying commodity (YYYYMMDD)

LAST_NOTICE_DATE

string[8]

Latest date when holders of short futures positions can provide notice of their intention to deliver the underlying commodity (YYYYMMDD)

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)

STRIKE_PRICE

double

Exercise price for options / warrants

CALL_PUT_IND

string[1]

C - Call option, P - Put option

EXERCISE_TYPE

string[1]

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

SETTLEMENT_TYPE

string[1]

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

CONTRACT_SIZE

double

Indicates a derivative’s underlying quantity

TICK_SIZE_TYPE

string[8]

Indicates the type of tick size carried by TICK_SIZE. Values are Static or Variable.

TICK_SIZE

string[64]

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

TICK_VALUE

double

Tick value, i.e. the profit / loss per contract resulting from a price movement equal to TICK_SIZE.

POINT_VALUE

double

Profit / loss per contract resulting from a 1 point price movement (e.g. if the price moves from 123.00 to 124.00). Note that if an instrument trades in minor currency units such as USX (US cents), the point value will also be expressed in those units.

OMDSEQ

uint

Sequence number allowing ticks of different types at the same timestamp to be sorted into the correct chronological order. e.g. if a trade and a quote have the same timestamp, the one with the lower value of OMDSEQ arrived first.

NZX_DAIRY - TRD#

Trades

NZX_DAIRY - 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[8]

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_SESSION

string[8]

Trading session from which a trade originates, e.g. Day, Night

TRADE_ID

string[20]

Trade identifier, generally the ID assigned by the matching engine

COMBO_TRADE_ID

string[20]

Links leg trades in outright instruments with the spread trade that generated them

EXECUTED_ORDER_ID

string[20]

ID of the resting (passive) order that was executed

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.