Data Schemas & Execution Formats

Trade Data

Trade Data Schema

Field	Type	Description
trade_date	DATE	The execution trade date.
executiontime	TIMESTAMP	Execution time logged in raw format.
brokerexecutiontime	TIMESTAMP	Time recorded by the broker.
exec_time_et	TIMESTAMP	Execution time in Eastern Time.
recapid	STRING	Record ID for this trade.
orderid	STRING	Order ID associated with the execution.
parentcorrelationorderid	STRING	Parent order ID that links multiple orders.
executionid	STRING	Unique ID for the execution.
firm	STRING	Firm identifier.
client	STRING	Client identifier.
syntheticcontractidentifier	STRING	Identifier for the synthetic contract.
instrument	STRING	Instrument or contract involved in the trade.
syntheticpricemode	STRING	Pricing mode (e.g., Yield).
syntheticticksize	FLOAT	Tick size for the synthetic contract.
syntheticcontractdefinition	STRING	Details of the synthetic contract (e.g., UST 10_YEAR, UST 30_YEAR).
security_type	STRING	Type of security (e.g., C for Cash).
symbol	STRING	The symbol of the product that was executed.
cusip	STRING	CUSIP identifier for the security.
side	STRING	Trade side (B for Buy, S for Sell).
quantity	INT	Quantity of the trade (e.g., 1, 2).
price	FLOAT	Price of the trade.
order_source	STRING	Source of the order (e.g., Other-Core).
broker_id	STRING	Broker identifier.
exchange	STRING	Exchange where the trade was executed.
exchange_route	STRING	Route taken at the exchange.
exchange_endpoint	STRING	Endpoint for the exchange.
exchange_lp	STRING	Liquidity provider at the exchange.
is_aggressive	BOOLEAN	Indicator if the trade was aggressive.
destination	STRING	Destination type (e.g., ICEBERG, SOR).
order_text	STRING	Additional text for the order (e.g., Quote or Hedge description).
quote_or_hedge	STRING	Indicates if the trade is a Quote or Hedge.
hedge_target_price	FLOAT	Target price for the hedge.
cash_exchange_trade_id	STRING	ID of the cash exchange trade.
timestamp	FLOAT	Timestamp of the trade.
build_id	STRING	Build ID associated with the execution.
build_name	STRING	Name of the build.
hide_duration	FLOAT	Duration for which the order was hidden.
pop_ticks	STRING	Ticks associated with the trade population.
label	STRING	Label for the trade (e.g., comp_0: 0.0).
strategy	STRING	The trading strategy applied (e.g., Curve).

Market Data

Market Data Schema

Field	Type	Description
timestamp_ny	str	Timestamp of the order event.
side	str	Order side (Bid or Ask).
price	float	Market price.
size	int	Order size.
symbol	str	Represents the security symbol.

Supported Asset

1. Rates Instruments (General Category for Interest Rate Products)

• CBOT Treasury Futures: CBOT TYZ4, CBOT TYU4, CBOT TUZ4, CBOT TUU4, CBOT FVZ4, CBOT FVU4, CBOT USZ4, CBOT USU4

• CME SOFR Futures: CME SFRZ4, CME SFRH5, CME SFRM5, etc.

• EUREX Bonds and Swaps: EUREX RXZ4, EUREX IKZ4, EUREX OATZ4, EUREX BTSZ4, EUREX UBZ4, etc.

• IFLL (Implied Forward Libor and STIR products): IFLL ERZ4, IFLL ERM5, IFLL ERU5, etc.

2. Cash Bonds

Cash bonds refer to actual government bonds rather than derivatives. These are typically labeled by their maturities:

• 30 Year, 10 Year, 7 Year, 5 Year, 3 Year, 2 Year, 20 Year

• These could represent Treasury securities (USTs) or Bunds/OATs (European government bonds).

3. Futures (Rate Futures, Bond Futures, and Other Derivatives)

• CME Treasury and SOFR Futures: CME SFRZ4, CME SFRH5, CME SFRM6, CME SERU4, CME SERX4, etc.

• CBOT Futures: CBOT TYZ4, CBOT TUZ4, CBOT FVZ4, CBOT USZ4, CBOT WNZ4 (Wheat Futures)

• EUREX Bond Futures: EUREX RXZ4, EUREX UBZ4, EUREX OATZ4, EUREX BTSZ4

4. Swaps

Swaps are typically structured as spread trades, butterflies, or term structures across different maturities:

• CME SFR:AB 01Y Z4, CME SFR:AB 02Y U4, CME SFR:BF Z4-H5-M5, CME SFR:BF M6-U6-Z6

• CME SFRH6-SFRM6, CME SFRZ6-SFRH7, CME SFRU6-SFRH7, CME SFRU8-SFRH9, etc.