Taiwan Futures Exchange (TAIFEX) Schemas#

The Taiwan Futures Exchange was established in 1998. It offers futures and options on major Taiwan stock indices, government bond futures, equity options and 30-day CP interest rate futures.

TAIFEX#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
IND - Indicative pricing, e.g. indicative auction prices and imbalance
LULD - Limit Up / Limit Down price levels
MKT - Market phase / instrument status information
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades

TAIFEX - DAY#

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

TAIFEX - 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.

TAIFEX - IND#

Indicative pricing, e.g. indicative auction prices and imbalance

TAIFEX - 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)
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[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.

TAIFEX - LULD#

Limit Up / Limit Down price levels

TAIFEX - 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)
EXCH_TIME	nsectime	Event timestamp, as provided by the exchange. For electronic trading this refers to the matching engine timestamp
HIGH_LIMIT	double	Upper trading limit / circuit breaker level
HIGH_LIMIT_2	double	Second upper trading limit / circuit breaker level
HIGH_LIMIT_3	double	Third upper trading limit / circuit breaker level
LOW_LIMIT	double	Lower trading limit / circuit breaker level
LOW_LIMIT_2	double	Second lower trading limit / circuit breaker level
LOW_LIMIT_3	double	Third lower trading limit / circuit breaker level
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.

TAIFEX - MKT#

Market phase / instrument status information

TAIFEX - 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
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.
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.

TAIFEX - QTE#

Best bid / offer quotes

TAIFEX - 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
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_SIZE_IMPLIED	int	Volume of implied orders included in the best ask size (best ask size = implied ask size + outright 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.

TAIFEX - STAT#

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

TAIFEX - 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[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.
UNDERLYING_SYMBOL	string[32]	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[20]	Underlying asset class
STRATEGY_TYPE	string[40]	Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly
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
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)
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[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.
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.

TAIFEX - TRD#

Trades

TAIFEX - 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	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
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_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
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.

TAIFEX_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

TAIFEX_DAILY - DAY#

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

TAIFEX_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
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.

TAIFEX_DAILY - STAT#

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

TAIFEX_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[200]	Description of the instrument
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[40]	Ticker symbol 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.
UNDERLYING_SYMBOL	string[32]	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[20]	Underlying asset class
STRATEGY_TYPE	string[40]	Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly
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
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)
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[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.
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.