Schemas and Data Format
Trade Data
Trade Data Schema
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
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.
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