US Consolidated Equity Replay for Intraday / CEP Schemas#

Consolidated data from all US equities exchanges, replayed and available for testing intraday access plus CEP / stream processing



US_COMP_REPLAY#

Database includes the following Tables:

  • MKT - Market phase / instrument status information

  • NBBO - National Best Bid / Offer quotes

  • QTE - Best bid / offer quotes

  • TRD - Trades


US_COMP_REPLAY - MKT#

Market phase / instrument status information

US_COMP_REPLAY - 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)

SHORT_SALE_RESTRICTION

string[1]

Indicates whether short selling is permitted

TRADING_STATUS

string[1]

Indicates whether the instrument is subject to a halt or suspension

REASON_CODE

string[6]

Reason for an instrument status 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.

US_COMP_REPLAY - NBBO#

National Best Bid / Offer quotes

US_COMP_REPLAY - 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

int

Best bid size

BID_EXCHANGE

string[2]

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

int

Best ask size

ASK_EXCHANGE

string[2]

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.

US_COMP_REPLAY - QTE#

Best bid / offer quotes

US_COMP_REPLAY - 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

EXCHANGE

string[1]

Exchange from which the update originates

SOURCE

string[1]

Source from which an update originates

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_COND

string[1]

Indicates any special conditions applicable to a quote

RPI

string[1]

Indicates the presence of Retail Price Improvement interest on bid and/or ask side

RESTRICTION_IND

string[1]

Indicates whether short selling is permitted

NBBO_LULD_IND

string[1]

Indicates whether the NBBO crosses the upper / lower LULD price bands

PARTICIPANT_TIME

nsectime

Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed

COND

string[1]

Condition code

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.

US_COMP_REPLAY - TRD#

Trades

US_COMP_REPLAY - 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

TRF_TIME

nsectime

Time at which a trade was processed by the Trade Reporting Facility (for trades reported to FINRA)

EXCHANGE

string[1]

Exchange from which the update originates

TRF

string[1]

Trade Reporting Facility used to report a trade (for trades reported to FINRA)

SOURCE

string[1]

Source from which an update originates

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

FRACTIONAL_SIZE

double

Trade size, as a floating-point number

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.

STOP_STOCK

string[1]

Y - Stopped stock trade, N - Not a stopped stock trade, - Not applicable

TTE

string[1]

Indicates whether a trade is exempt from the Trade Through Rule (1 - Trade Through Exempt, 0 - No Trade Through Exemption)

TRADE_ID

string[20]

Trade identifier, generally the ID assigned by the matching engine

PARTICIPANT_TIME

nsectime

Event timestamp (e.g. trade execution time), as provided by one of the participant exchanges in a consolidated feed

COND

string[4]

Condition code

TICK_STATUS

int

Internal OneTick field. Always 0 unless hidden ticks are requested (e.g. SHOW_HIDDEN_TICKS).

DELETED_TIME

msectime

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.