# 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 tick types: * 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. |