Japan Consolidated Equities Sample Schemas#

A subset of symbols from all Japanese venues, between January 2,2024 and March 31, 2024.

JP_COMP_SAMPLE#

Database includes the following Tables:

DAY - Daily price and statistical data, e.g. closing price, settlement price, open interest
NBBO - National Best Bid / Offer quotes
QTE - Best bid / offer quotes
STAT - Static data, e.g. ISIN, description, security type
TRD - Trades

JP_COMP_SAMPLE - DAY#

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

JP_COMP_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)
VENUE_ID	string[4]	Venue to which the tick relates. Typically a MIC.
SESSION	string[12]	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	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRADE_COUNT	long	Number of trades on the current trading day
TURNOVER	long	Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer.
VWAP	double	Volume-weighted average price
VOLUME_LIT	long	Volume traded in a lit orderbook
VOLUME_DARK	long	Volume traded in a dark orderbook
OFF_BOOK_VOLUME	long	Total volume traded off-book
VOLUME_CONTINUOUS	long	Volume traded in the main orderbook during continuous trading
VOLUME_AUCTION	long	Volume traded during auctions. Includes all auction types.
VOLUME_OPENING_AUCTION	long	Volume of the Opening Auction
VOLUME_CLOSING_AUCTION	long	Volume of the Closing Auction
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.

JP_COMP_SAMPLE - NBBO#

National Best Bid / Offer quotes

JP_COMP_SAMPLE - NBBO 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)
BID_SIZE	long	Best bid size
BID_SIZE_TOTAL	long	Total size at the (national) best bid price across all participant markets
BID_EXCHANGE	string[4]	Exchange that set the best bid
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
ASK_SIZE_TOTAL	long	Total size at the (national) best ask price across all participant markets
ASK_EXCHANGE	string[4]	Exchange that set the best ask
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.

JP_COMP_SAMPLE - QTE#

Best bid / offer quotes

JP_COMP_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)
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
BID_COND	string[4]	Quote condition applicable to the best bid
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
ASK_COND	string[4]	Quote condition applicable to the best ask
QUOTE_VENUE	string[4]	Venue (MIC) from which a quote originates
QUOTE_SESSION	string[12]	Trading session from which the quote originates, e.g. Day, Night
OMD_STATUS	string[1]	Indicates an instrument’s current trading status. Values are normalized across all DBs.
CLOUD_DB	string[16]	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.

JP_COMP_SAMPLE - STAT#

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

JP_COMP_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[120]	Description of the instrument
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
SEC_TYPE	string[40]	Security type, e.g. Equity, ETF, Future
CURRENCY	string[3]	Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).
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.

JP_COMP_SAMPLE - TRD#

Trades

JP_COMP_SAMPLE - 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_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.
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[12]	Trading session from which a trade originates, e.g. Day, Night
TRADE_ID	string[24]	Trade identifier, generally the ID assigned by the matching engine
CLOUD_DB	string[16]	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.

JP_COMP_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
TRD_1D - Daily trade bars
TRD_1M - 1-minute trade bars
VWAP_1H - 1-hour VWAP bars

JP_COMP_SAMPLE_BARS - DAY#

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

JP_COMP_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)
VENUE_ID	string[4]	Venue to which the tick relates. Typically a MIC.
SESSION	string[12]	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	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRADE_COUNT	long	Number of trades on the current trading day
TURNOVER	long	Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer.
VWAP	double	Volume-weighted average price
VOLUME_LIT	long	Volume traded in a lit orderbook
VOLUME_DARK	long	Volume traded in a dark orderbook
OFF_BOOK_VOLUME	long	Total volume traded off-book
VOLUME_CONTINUOUS	long	Volume traded in the main orderbook during continuous trading
VOLUME_AUCTION	long	Volume traded during auctions. Includes all auction types.
VOLUME_OPENING_AUCTION	long	Volume of the Opening Auction
VOLUME_CLOSING_AUCTION	long	Volume of the Closing Auction
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.

JP_COMP_SAMPLE_BARS - QTE_1M#

1-minute quote bars

JP_COMP_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.

JP_COMP_SAMPLE_BARS - TRD_1D#

Daily trade bars

JP_COMP_SAMPLE_BARS - TRD_1D 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_TIME	nsectime	Timestamp of the first eligible trade in the current bar interval
FIRST	double	Price of the first eligible trade in the current bar interval
FIRST_SIZE	long	Size of the first eligible trade in the current bar interval
HIGH_TIME	nsectime	Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
HIGH	double	DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval
HIGH_SIZE	long	Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LOW_TIME	nsectime	Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LOW	double	DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval
LOW_SIZE	long	Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LAST_TIME	nsectime	Timestamp of the last eligible trade in the current bar interval
LAST	double	Price of the last eligible trade in the current bar interval
LAST_SIZE	long	Size of the last eligible trade in the current bar interval
VWAP	double	Volume-weighted average price
TWAP	double	TIme-weighted average price
VOLUME	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRADE_CURRENCY	string[3]	Currency in which a trade was executed.
TRADE_TICK_COUNT	long	Number of eligible trades 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.

JP_COMP_SAMPLE_BARS - TRD_1M#

1-minute trade bars

JP_COMP_SAMPLE_BARS - TRD_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_TIME	nsectime	Timestamp of the first eligible trade in the current bar interval
FIRST	double	Price of the first eligible trade in the current bar interval
FIRST_SIZE	long	Size of the first eligible trade in the current bar interval
HIGH_TIME	nsectime	Timestamp of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
HIGH	double	DAY: High price for the current trading day TRD_1M: Price of the highest-priced eligible trade in the current bar interval
HIGH_SIZE	long	Size of the highest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LOW_TIME	nsectime	Timestamp of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LOW	double	DAY: Low price for the current trading day. TRD_1M: Price of the lowest-priced eligible trade in the current bar interval
LOW_SIZE	long	Size of the lowest-priced eligible trade in the current bar interval. If there are multiple eligible trades at that price, the first one is used.
LAST_TIME	nsectime	Timestamp of the last eligible trade in the current bar interval
LAST	double	Price of the last eligible trade in the current bar interval
LAST_SIZE	long	Size of the last eligible trade in the current bar interval
VWAP	double	Volume-weighted average price
TWAP	double	TIme-weighted average price
VOLUME	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRADE_CURRENCY	string[3]	Currency in which a trade was executed.
TRADE_TICK_COUNT	long	Number of eligible trades 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.

JP_COMP_SAMPLE_BARS - VWAP_1H#

1-hour VWAP bars

JP_COMP_SAMPLE_BARS - VWAP_1H 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)
VWAP	double	Volume-weighted average price
TWAP	double	TIme-weighted average 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
CURRENCY	string[64]	Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).
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.

JP_COMP_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

JP_COMP_SAMPLE_DAILY - DAY#

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

JP_COMP_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)
VENUE_ID	string[4]	Venue to which the tick relates. Typically a MIC.
SESSION	string[12]	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	long	DAY: Total volume traded on the current trading day TRD_1M, VWAP_1H: Total volume of eligible trades in the current bar interval
TRADE_COUNT	long	Number of trades on the current trading day
TURNOVER	long	Total monetary value traded on the current trading day. Note: The value will typically be rounded to the nearest integer.
VWAP	double	Volume-weighted average price
VOLUME_LIT	long	Volume traded in a lit orderbook
VOLUME_DARK	long	Volume traded in a dark orderbook
OFF_BOOK_VOLUME	long	Total volume traded off-book
VOLUME_CONTINUOUS	long	Volume traded in the main orderbook during continuous trading
VOLUME_AUCTION	long	Volume traded during auctions. Includes all auction types.
VOLUME_OPENING_AUCTION	long	Volume of the Opening Auction
VOLUME_CLOSING_AUCTION	long	Volume of the Closing Auction
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.

JP_COMP_SAMPLE_DAILY - STAT#

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

JP_COMP_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[120]	Description of the instrument
ISIN	string[12]	ISIN code
EXCH_SYMBOL	string[20]	Ticker symbol specified by the exchange
SEC_TYPE	string[40]	Security type, e.g. Equity, ETF, Future
CURRENCY	string[3]	Currency in which the instrument’s price is expressed (or nominal currency for bonds traded as a % of nominal).
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.