Global FX (Spots, Forwards, NDFs) Sample Schemas#

Global Forex markets offer trading in spot, forward on various currency paris , between January 1,2024 and March 31, 2024

GLOBAL_FX_SAMPLE#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
IDX - Index values
INTRADAY - Intraday Bid / Offer Quotes
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type

GLOBAL_FX_SAMPLE - DAY#

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

GLOBAL_FX_SAMPLE - 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)
BID_CLOSE	double	Closing bid price
ASK_CLOSE	double	Closing ask price
UPDATE_TYPE	string[20]	Type of update
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.

GLOBAL_FX_SAMPLE - IDX#

Index values

GLOBAL_FX_SAMPLE - IDX 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)
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
CONTRIBUTOR_ID	string[4]	Identifies the party that provided a contributed rate (e.g. FX rates)
REGION_ID	string[4]	Geographical region where a participant is located
CITY_ID	string[4]	City where a participant is located
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.

GLOBAL_FX_SAMPLE - INTRADAY#

Intraday Bid / Offer Quotes

GLOBAL_FX_SAMPLE - INTRADAY 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)
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)
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)
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.

GLOBAL_FX_SAMPLE - QTE#

Best bid / offer quotes

GLOBAL_FX_SAMPLE - 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)
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)
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)
CONTRIBUTOR_ID	string[4]	Identifies the party that provided a contributed rate (e.g. FX rates)
REGION_ID	string[4]	Geographical region where a participant is located
CITY_ID	string[4]	City where a participant is located
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.

GLOBAL_FX_SAMPLE - STAT#

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

GLOBAL_FX_SAMPLE - 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[150]	Description of the instrument
PROVIDER_SYMBOL	string[32]	Symbol used by the data source, where the data source is a third party other than the exchange
SEC_TYPE	string[20]	Security type, e.g. Equity, ETF, Future
FORWARD_POINT_VALUE	double	(For FX forwards) Indicates the value of 1 forward point - e.g. if set to 0.0001, a forward price of 1 represents a premium of 0.0001 relative to the spot rate
QUOTATION_UNIT	double	Number of units of the instrument to which the price refers; or for FX, the number of units of the base currency
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.

GLOBAL_FX_SAMPLE_BARS#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
QTE_1M - 1-minute quote bars

GLOBAL_FX_SAMPLE_BARS - DAY#

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

GLOBAL_FX_SAMPLE_BARS - 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)
BID_CLOSE	double	Closing bid price
ASK_CLOSE	double	Closing ask price
UPDATE_TYPE	string[20]	Type of update
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.

GLOBAL_FX_SAMPLE_BARS - QTE_1M#

1-minute quote bars

GLOBAL_FX_SAMPLE_BARS - QTE_1M 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)
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.

GLOBAL_FX_SAMPLE_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

GLOBAL_FX_SAMPLE_DAILY - DAY#

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

GLOBAL_FX_SAMPLE_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)
BID_CLOSE	double	Closing bid price
ASK_CLOSE	double	Closing ask price
UPDATE_TYPE	string[20]	Type of update
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.

GLOBAL_FX_SAMPLE_DAILY - STAT#

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

GLOBAL_FX_SAMPLE_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[150]	Description of the instrument
PROVIDER_SYMBOL	string[32]	Symbol used by the data source, where the data source is a third party other than the exchange
SEC_TYPE	string[20]	Security type, e.g. Equity, ETF, Future
FORWARD_POINT_VALUE	double	(For FX forwards) Indicates the value of 1 forward point - e.g. if set to 0.0001, a forward price of 1 represents a premium of 0.0001 relative to the spot rate
QUOTATION_UNIT	double	Number of units of the instrument to which the price refers; or for FX, the number of units of the base currency
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.