# Data Schemas & Execution Formats

### Trade Data

Trade Data Schema

<table><thead><tr><th width="270">Field</th><th width="236">Type</th><th>Description</th></tr></thead><tbody><tr><td><strong>trade_date</strong></td><td>DATE</td><td>The execution trade date.</td></tr><tr><td><strong>executiontime</strong></td><td>TIMESTAMP</td><td>Execution time logged in raw format.</td></tr><tr><td><strong>brokerexecutiontime</strong></td><td>TIMESTAMP</td><td>Time recorded by the broker.</td></tr><tr><td><strong>exec_time_et</strong></td><td>TIMESTAMP</td><td>Execution time in Eastern Time.</td></tr><tr><td><strong>recapid</strong></td><td>STRING</td><td>Record ID for this trade.</td></tr><tr><td><strong>orderid</strong></td><td>STRING</td><td>Order ID associated with the execution.</td></tr><tr><td><strong>parentcorrelationorderid</strong></td><td>STRING</td><td>Parent order ID that links multiple orders.</td></tr><tr><td><strong>executionid</strong></td><td>STRING</td><td>Unique ID for the execution.</td></tr><tr><td><strong>firm</strong></td><td>STRING</td><td>Firm identifier.</td></tr><tr><td><strong>client</strong></td><td>STRING</td><td>Client identifier.</td></tr><tr><td><strong>syntheticcontractidentifier</strong></td><td>STRING</td><td>Identifier for the synthetic contract.</td></tr><tr><td><strong>instrument</strong></td><td>STRING</td><td>Instrument or contract involved in the trade.</td></tr><tr><td><strong>syntheticpricemode</strong></td><td>STRING</td><td>Pricing mode (e.g., Yield).</td></tr><tr><td><strong>syntheticticksize</strong></td><td>FLOAT</td><td>Tick size for the synthetic contract.</td></tr><tr><td><strong>syntheticcontractdefinition</strong></td><td>STRING</td><td>Details of the synthetic contract (e.g., UST 10_YEAR, UST 30_YEAR).</td></tr><tr><td><strong>security_type</strong></td><td>STRING</td><td>Type of security (e.g., C for Cash).</td></tr><tr><td><strong>symbol</strong></td><td>STRING</td><td>The symbol of the product that was executed.</td></tr><tr><td><strong>cusip</strong></td><td>STRING</td><td>CUSIP identifier for the security.</td></tr><tr><td><strong>side</strong></td><td>STRING</td><td>Trade side (B for Buy, S for Sell).</td></tr><tr><td><strong>quantity</strong></td><td>INT</td><td>Quantity of the trade (e.g., 1, 2).</td></tr><tr><td><strong>price</strong></td><td>FLOAT</td><td>Price of the trade.</td></tr><tr><td><strong>order_source</strong></td><td>STRING</td><td>Source of the order (e.g., Other-Core).</td></tr><tr><td><strong>broker_id</strong></td><td>STRING</td><td>Broker identifier.</td></tr><tr><td><strong>exchange</strong></td><td>STRING</td><td>Exchange where the trade was executed.</td></tr><tr><td><strong>exchange_route</strong></td><td>STRING</td><td>Route taken at the exchange.</td></tr><tr><td><strong>exchange_endpoint</strong></td><td>STRING</td><td>Endpoint for the exchange.</td></tr><tr><td><strong>exchange_lp</strong></td><td>STRING</td><td>Liquidity provider at the exchange.</td></tr><tr><td><strong>is_aggressive</strong></td><td>BOOLEAN</td><td>Indicator if the trade was aggressive.</td></tr><tr><td><strong>destination</strong></td><td>STRING</td><td>Destination type (e.g., ICEBERG, SOR).</td></tr><tr><td><strong>order_text</strong></td><td>STRING</td><td>Additional text for the order (e.g., Quote or Hedge description).</td></tr><tr><td><strong>quote_or_hedge</strong></td><td>STRING</td><td>Indicates if the trade is a Quote or Hedge.</td></tr><tr><td><strong>hedge_target_price</strong></td><td>FLOAT</td><td>Target price for the hedge.</td></tr><tr><td><strong>cash_exchange_trade_id</strong></td><td>STRING</td><td>ID of the cash exchange trade.</td></tr><tr><td><strong>timestamp</strong></td><td>FLOAT</td><td>Timestamp of the trade.</td></tr><tr><td><strong>build_id</strong></td><td>STRING</td><td>Build ID associated with the execution.</td></tr><tr><td><strong>build_name</strong></td><td>STRING</td><td>Name of the build.</td></tr><tr><td><strong>hide_duration</strong></td><td>FLOAT</td><td>Duration for which the order was hidden.</td></tr><tr><td><strong>pop_ticks</strong></td><td>STRING</td><td>Ticks associated with the trade population.</td></tr><tr><td><strong>label</strong></td><td>STRING</td><td>Label for the trade (e.g., comp_0: 0.0).</td></tr><tr><td><strong>strategy</strong></td><td>STRING</td><td>The trading strategy applied (e.g., Curve).</td></tr></tbody></table>

### Market Data

Market Data Schema

<table><thead><tr><th width="222">Field</th><th>Type</th><th>Description</th></tr></thead><tbody><tr><td><code>timestamp_ny</code></td><td>str</td><td>Timestamp of the order event.</td></tr><tr><td><code>side</code></td><td>str</td><td>Order side (Bid or Ask).</td></tr><tr><td><code>price</code></td><td>float</td><td>Market price.</td></tr><tr><td><code>size</code></td><td>int</td><td>Order size.</td></tr><tr><td><code>symbol</code></td><td>str</td><td>Represents the security symbol.</td></tr></tbody></table>

**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.

