Singapore Exchange - Commodity Derivatives Schemas#
The Singapore Exchange ( SGX ) offers trading in commodity derivatives, including futures and options on iron ore, rubber, and other commodities.
SGX_COM#
Database includes the following Tables:
IND - Indicative pricing, e.g. indicative auction prices and imbalance
MKT - Market phase / instrument status information
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
SGX_COM - IND#
Indicative pricing, e.g. indicative auction prices and imbalance
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 |
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 |
AUCTION_TYPE |
string[1] |
Type of auction from which an indicative auction price / auction imbalance originates. |
SESSION |
string[5] |
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. |
SGX_COM - MKT#
Market phase / instrument status information
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
EXCH_TIME |
nsectime |
Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp |
MKT_PHASE |
string[10] |
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[5] |
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. |
SGX_COM - QTE#
Best bid / offer quotes
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
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 |
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_SESSION |
string[5] |
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. |
SGX_COM - STAT#
Static data, e.g. ISIN, description, security type
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
NAME |
string[120] |
Description of the instrument |
EXCH_SYMBOL |
string[25] |
Ticker symbol specified by the exchange |
TRADING_CODE |
string[40] |
ID used to identify the instrument in the trading system |
RTS_SYMBOL |
string[32] |
Ticker symbol used by ICE Data Services |
BBG_TICKER |
string[40] |
Bloomberg ticker symbol |
FIGI |
string[12] |
Financial Instrument Global Identifier, identifying an individual instrument traded on a specific venue |
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. |
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 |
STRATEGY_TYPE |
string[30] |
Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly |
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_DATE |
string[8] |
Final date on which the instrument can be traded (YYYYMMDD) |
DELIVERY_START_DATE |
string[8] |
Date when a derivative’s delivery period begins (YYYYMMDD) |
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[50] |
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. |
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. |
SGX_COM_BARS#
Database includes the following Tables:
MKT - Market phase / instrument status information
QTE_1M - 1-minute quote bars
SGX_COM_BARS - MKT#
Market phase / instrument status information
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
OMD_STATUS |
string[64] |
Indicates an instrument’s current trading status. Values are normalized across all DBs. |
EXCH_TIME |
nsectime |
Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp |
MKT_PHASE |
string[10] |
Indicates the instrument’s current market phase, as specified by the trading venue |
SESSION |
string[5] |
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. |
SGX_COM_BARS - QTE_1M#
1-minute quote bars
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. |
SGX_COM_DAILY#
Database includes the following Tables:
STAT - Static data, e.g. ISIN, description, security type
SGX_COM_DAILY - STAT#
Static data, e.g. ISIN, description, security type
Field |
Data Type |
Description |
|---|---|---|
SYMBOL_NAME |
string |
Symbol Name (Exchange Symbol for Equities & ETFs, and Starting with Exchange Product Code for Derivative Markets followed by expiry and strike as appropriate) |
TIMESTAMP |
nsectime |
Event Timestamp (typically at a nano-second resolution) |
NAME |
string[120] |
Description of the instrument |
EXCH_SYMBOL |
string[25] |
Ticker symbol specified by the exchange |
TRADING_CODE |
string[40] |
ID used to identify the instrument in the trading system |
RTS_SYMBOL |
string[32] |
Ticker symbol used by ICE Data Services |
BBG_TICKER |
string[40] |
Bloomberg ticker symbol |
FIGI |
string[12] |
Financial Instrument Global Identifier, identifying an individual instrument traded on a specific venue |
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. |
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 |
STRATEGY_TYPE |
string[30] |
Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly |
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_DATE |
string[8] |
Final date on which the instrument can be traded (YYYYMMDD) |
DELIVERY_START_DATE |
string[8] |
Date when a derivative’s delivery period begins (YYYYMMDD) |
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[50] |
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. |
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. |