Schemas and Data Format
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.
Trade Data
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
Input Market Data Schema
timestamp
str
Timestamp of the order event.
ask_price_0
float
Ask price at level 0.
ask_size_0
int
Ask size at level 0.
ask_price_1
float
Ask price at level 1.
ask_size_1
int
Ask size at level 1.
ask_price_2
float
Ask price at level 2.
ask_size_2
int
Ask size at level 2.
ask_price_3
float
Ask price at level 3.
ask_size_3
int
Ask size at level 3.
ask_price_4
float
Ask price at level 4.
ask_size_4
int
Ask size at level 4.
ask_price_5
float
Ask price at level 5.
ask_size_5
int
Ask size at level 5.
ask_price_6
float
Ask price at level 6.
ask_size_6
int
Ask size at level 6.
ask_price_7
float
Ask price at level 7.
ask_size_7
int
Ask size at level 7.
ask_price_8
float
Ask price at level 8.
ask_size_8
int
Ask size at level 8.
ask_price_9
float
Ask price at level 9.
ask_size_9
int
Ask size at level 9.
bid_price_0
float
Bid price at level 0.
bid_size_0
int
Bid size at level 0.
bid_price_1
float
Bid price at level 1.
bid_size_1
int
Bid size at level 1.
bid_price_2
float
Bid price at level 2.
bid_size_2
int
Bid size at level 2.
bid_price_3
float
Bid price at level 3.
bid_size_3
int
Bid size at level 3.
bid_price_4
float
Bid price at level 4.
bid_size_4
int
Bid size at level 4.
bid_price_5
float
Bid price at level 5.
bid_size_5
int
Bid size at level 5.
bid_price_6
float
Bid price at level 6.
bid_size_6
int
Bid size at level 6.
bid_price_7
float
Bid price at level 7.
bid_size_7
int
Bid size at level 7.
bid_price_8
float
Bid price at level 8.
bid_size_8
int
Bid size at level 8.
bid_price_9
float
Bid price at level 9.
bid_size_9
int
Bid size at level 9.
symbol
str
Represents the security symbol.
Receiving Orders
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