# Warsaw Stock Exchange - Derivatives Schemas Warsaw Stock Exchange operates a financial instruments exchange. The Exchange trades equities, fixed income, derivatives, listings, bonds, subscription rights. ## WARSAW_FUT Database includes the following tick types: * 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 * PRL_FULL - Full orderbook data, showing updates to each individual order (MBO) * QTE - Best bid / offer quotes * STAT - Static data, e.g. ISIN, description, security type * TRD - Trades ### WARSAW_FUT - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### WARSAW_FUT - 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 | | 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 | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[8] | Trading date to which the settlement price relates (YYYYMMDD) | | 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 | | OPEN_INT | double | Open interest for futures / options | | OPEN_INT_DATE | string[8] | Trading date to which the open interest relates (YYYYMMDD) | | 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. | ### WARSAW_FUT - IND Indicative pricing, e.g. indicative auction prices and imbalance #### WARSAW_FUT - 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. | | 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. | ### WARSAW_FUT - LULD Limit Up / Limit Down price levels #### WARSAW_FUT - 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 | | LOW_LIMIT | double | 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. | ### WARSAW_FUT - MKT Market phase / instrument status information #### WARSAW_FUT - 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[6] | Indicates the instrument’s current market phase, as specified by the trading venue | | EVENT_CODE | string[4] | Event that triggered an instrument status update | | REASON_CODE | string[1] | Reason for an instrument status update | | ORDER_ENTRY_STATUS | string[1] | Indicates the availability of order entry / modification / cancellation | | OMD_STATUS | string[1] | Indicates an instrument’s current trading status. Values are normalized across all DBs. | | 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. | ### WARSAW_FUT - PRL_FULL Full orderbook data, showing updates to each individual order (MBO) #### WARSAW_FUT - PRL_FULL 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 | | UPDATE_TYPE | string[1] | Type of update | | ORDER_ID | string[20] | Order identifier, uniquely identifying an order at any given point in time. Uniqueness depends on the exchange - e.g. may be globally unique, or unique per trading day, or per instrument per trading day. | | ORDER_TYPE | string[1] | Type of order. | | BUY_SELL_FLAG | int | Orderbook side (0 - Buy, 1 - Sell) | | 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 | | RECORD_TYPE | string[1] | Type of depth update. | | TICK_STATUS | int | Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS). | | DELETED_TIME | nsectime | Internal OneTick field. Usually null 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. | ### WARSAW_FUT - QTE Best bid / offer quotes #### WARSAW_FUT - 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 | 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 | | 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. | ### WARSAW_FUT - STAT Static data, e.g. ISIN, description, security type #### WARSAW_FUT - 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[32] | Security type, e.g. Equity, ETF, Future | | UNDERLYING_SEC_TYPE | string[20] | Underlying asset class | | STRATEGY_TYPE | string[48] | Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly | | EXCH_STRATEGY_TYPE | string[12] | 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[40] | 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. | ### WARSAW_FUT - TRD Trades #### WARSAW_FUT - 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 | | TRADE_TYPE | string[4] | Type of trade | | TRADE_VENUE | string[4] | Identifies the venue where a trade was executed. Typically a MIC, with the special values XOFF for off-exchange and SINT for Systematic Internaliser trades. | | TRADE_CURRENCY | string[3] | Currency in which a trade was executed. | | MMT_MKT_MECH | string[1] | Market mechanism through which a trade was executed. | | MMT_TRD_MODE | string[1] | Trading period during which an on-book trade was executed, or origin of an off-book trade report (on-exchange / off-exchange / SI). | | MMT_TRANS_CAT | string[1] | Identifies various special categories of trade. | | MMT_NEGOTIATED_IND | string[1] | Indicates privately negotiated trades, or Systematic Internaliser trades exempt from pre-trade transparency. | | MMT_CROSS_IND | string[1] | Identifies agency cross trades, where a broker crossed two client orders outside the order book. | | MMT_MOD_IND | string[1] | Identifies trade cancellations, or amendments of a previous trade. | | MMT_BENCHMARK_IND | string[1] | Identifies whether a trade was priced according to a defined benchmark (e.g. VWAP) or reference price (e.g. midpoint of the primary market BBO), or whether it was part of a trade in multiple instruments (contingent trade or portfolio trade). | | MMT_DIVIDEND_IND | string[1] | Identifies whether a trade includes special dividend arrangements, e.g. a trade sold cum-dividend during an ex-dividend period. | | MMT_OFF_BOOK_AUTO_IND | string[1] | Identifies whether an off-book trade report was executed via a manual or automated process. | | MMT_PRICE_FORMING_IND | string[1] | Identifies whether a trade is price-forming, or contributes to the price discovery process. | | MMT_ALGO_IND | string[1] | Identifies whether a trade involved an algorithmic order. | | MMT_PUB_MODE | string[1] | Identifies whether a trade was subject to delayed publication, and the reason for the deferral. | | MMT_DEFERRAL_TYPE | string[1] | Type of publication deferral or subsequent enrichment applied to a trade report. | | MMT_DUP_IND | string[1] | Identifies trades reported to more than one Approved Publication Arrangement. | | 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. | ## WARSAW_FUT_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 ### WARSAW_FUT_DAILY - DAY Daily price and statistical data, e.g. closing price, settlement price, open interest #### WARSAW_FUT_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 | | 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 | | SETTLE_PRICE | double | Settlement price | | SETTLE_DATE | string[8] | Trading date to which the settlement price relates (YYYYMMDD) | | 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 | | OPEN_INT | double | Open interest for futures / options | | OPEN_INT_DATE | string[8] | Trading date to which the open interest relates (YYYYMMDD) | | 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. | ### WARSAW_FUT_DAILY - STAT Static data, e.g. ISIN, description, security type #### WARSAW_FUT_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[32] | Security type, e.g. Equity, ETF, Future | | UNDERLYING_SEC_TYPE | string[20] | Underlying asset class | | STRATEGY_TYPE | string[48] | Type of strategy / spread, e.g. Calendar Spread, Futures Butterfly | | EXCH_STRATEGY_TYPE | string[12] | 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[40] | 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. |