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QD Model of Market Events

Overview

All events that occur on exchanges (placed and canceled orders, trades, and so on) are received by dxFeed in individual formats and in accordance with the protocols of each exchange. Hereupon dxFeed normalizes all the data into its own records with a predefined set of fields — dxFeed internal QD-model (Quote Distribution).

Info

For clients' access to data feeds we provide dxFeed API with a simplified set of events model. You can learn more about events and classes in dxFeed API.

Records in the QD-model are described below.

Exchange codes for US Equities and Options

On the US market, different exchanges may trade the same instruments. The cumulative feed of events from all exchanges we call composite. Individual events from each exchange we call regional. To distinguish regional events, each exchange has a corresponding code. In Europe, there are no regional events: each financial instrument has a different ticker symbol at each European exchange.

The list of the codes you can find here.

Records description

Records in the QD-model are described below. If you plan to use dxFeed API to process dxFeed market data, please check this documentation.

EventFlags field

Any record may contain an EventFlags field that is meant for the reconstruction of order books, options chains, or charts. Its values describe the order in which records are processed. QD text/csv format does not contain this field in the head description, but this flag may appear at the end of any string. If there is no Event flag, it is considered false.

Info

To learn about the order book reconstruction algorithm and corresponding details, see the dxFeed Order Book Reconstruction document.

  • TX_PENDING indicates a pending transactional update. When TX_PENDING is true, it means that an ongoing transaction update, that spans multiple events, is in process.

  • REMOVE_EVENT indicates that the event with the corresponding index has to be removed.

  • SNAPSHOT_BEGIN indicates when the loading of a snapshot starts. Snapshot load starts on new subscription and the first indexed event that arrives for each exchange code (in the case of a regional record) on a new subscription may have SNAPSHOT_BEGIN set to true. It means that an ongoing snapshot consisting of multiple events is incoming.

  • SNAPSHOT_END or SNAPSHOT_SNIP indicates the end of a snapshot. The difference between SNAPSHOT_END and SNAPSHOT_SNIP is the following: SNAPSHOT_END indicates that the data source sent all the data pertaining to the subscription for the corresponding indexed event, while SNAPSHOT_SNIP indicates that some limit on the amount of data was reached and while there still might be more data available, it will not be provided.

  • SNAPSHOT_MODE instructs dxFeed to use snapshot mode. It is intended to be used only for publishing to activate (if not yet activated) snapshot mode. The difference from SNAPSHOT_BEGIN flag is that SNAPSHOT_MODE only switches on snapshot mode without starting snapshot synchronization protocol.

Quote

Snapshot of the best bid and ask prices, and other fields that may change with each quote. It represents the most recent information that is available about the best quote on the market at any given moment.

Note

If there are no changes to the quote, the last known quote will continue to be displayed, even if it becomes stale. At the start of a new trading day, if the quote is still unchanged, it remains visible but with both bid and ask sizes set to 0.

#=Quote, EventSymbol, EventTime, BidTime, BidExchangeCode, BidPrice, BidSize, AskTime, AskExchangeCode, AskPrice, AskSize
Quote, FBGX, 20180926-100000.000-0400, 20180926-095959-0400, Q, 297.01, 25, 20180926-095959-0400, Q, 298.23, 25

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

BidTime

Time of the last bid change

BidExchangeCode

Bid exchange code

BidPrice

Bid price

BidSize

Bid size

AskTime

Time of the last ask change

AskExchangeCode

Ask exchange code

AskPrice

Ask price

AskSize

Ask size

Quote&X (regional Quote)

Similar to Quote, but represents the best bid and offer for a given exchange code. For possible values of X please refer to the Exchange codes chapter.

#=Quote&Z, EventSymbol, EventTime, BidTime, BidPrice, BidSize, AskTime, AskPrice, AskSize
Quote&Z, MU, 20180926-100000.000-0400, 20180926-095959-0400, 44.33, 4, 20180926-095959-0400, 44.34, 1

Profile

A record of a security instrument description. It represents the most recent information that is available about the traded security on the market at any given moment.

#=Profile, EventSymbol, EventTime, Beta, Eps, DivFreq, ExdDivAmount, ExdDivDate, HighPrice52, LowPrice52, Shares, FreeFloat, HighLimitPrice, LowLimitPrice, HaltStartTime, HaltEndTime, Flags, Description, StatusReason
Profile, FPI, 20180926-100000.135-0400,0.01985423, -0.06,4, 0.05, 20180928, 9.68,5.15, 3.2867817000000004E7, NaN, NaN, NaN, 0,0,10, "Farmland Partners Inc", "Trading Range Indication"

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Beta

The correlation coefficient of the instrument to the S&P500 index (calculated, or received from other data providers)

Eps

Earnings per share (the company’s profits divided by the number of shares). The value comes directly from the annual quarterly accounting reports of companies. Available generally for stocks

DivFreq

Frequency of cash dividends payments per year (calculated)

ExdDivAmount

The amount of the last paid dividend

ExdDivDate

Date of the last dividend payment

HighPrice52

The maximum price for 52 weeks (calculated from the current date)

LowPrice52

The minimum price for 52 weeks (calculated from the current date)

Shares

Shares outstanding. In general, this is the total number of shares issued by this company (only for stocks)

FreeFloat

The number of shares outstanding that are available to the public for trade. This field always has NaN value

HighLimitPrice

Maximum (high) allowed price

LowLimitPrice

Minimum (low) allowed price

HaltStartTime

Start time of the trading halt interval

HaltEndTime

End time of the trading halt interval

Flags

This field contains several individual bit flags encoded as an integer number the following way:

   31...4    3    2    1    0
+---------+----+----+----+-----+
|         |   SSR   |  Status  |
+---------+----+----+----+-----+

  1. SSR (shortSaleRestriction) — special mode of protection against "shorting the market", this field is optional (0 — undefined, 1 — active, 2 — inactive).

  2. Status (tradingStatus) — the state of the instrument (0 — status undefined, 1 — trading is halted, 2 — trading is active).

Description

Description of the security instrument

StatusReason

The reason why trading is halted

Order#X

A record that contains all available depth of market. X may stand for:

Source

Feed

BATE

Cboe EU BXE (BATE) FOD

BYX

Cboe BYX FOD

BZX

Cboe BZX FOD

bzx

Cboe BZX PLB

BXTR

Cboe EU SI (Systematic Internaliser) FOD

BI20

BIST Top20 Orders (Level2+) FOD

CHIX

Cboe EU CXE (Chi-X) FOD

CEUX

Cboe EU DXE FOD

CFE

Cboe CFE FOD

C2OX

Cboe C2 FOD

DEA

Cboe EDGA FOD

DEX

Cboe EDGX FOD

dex

Cboe EDGX PLB

ERIS

ErisX FOD

ESPD

Nasdaq E-speed FOD (for historical data only: 2018/06/01 - 2018/11/18)

FAIR

FairX FOD

GLBX

Globex FOD

glbx

CME Globex PLB

ICE

ICE Futures US/EU FOD

IST

Borsa Istanbul FOD

iex

IEX PLB

MEMX

Members Exchange FOD

memx

Members Exchange PLB

NTV

Nasdaq TotalView FOD

ntv

Nasdaq TotalView PLB

NFX

Nasdaq NFX FOD (for historical data only: 2017/07/23 - 2020/06/12)

GLBX

CME Globex FOD

SMFE

SmallEx FOD

smfe

SmallEx PLB

XNFI

Nasdaq NFI FOD

XEUR

Eurex FOD

xeur

Eurex PLB

*FOD — Full order depth, PLB — Price level book

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Void

Additional insignificant field; always 0

Index

Unique index in order book

Time

Time of this order

Sequence

Sequence of this order, may include milliseconds (e.g., "857:3")

Price

Price of this order

Size

Size of this order

ExecutedSize

Executed size of this analytic order

Flags

This field contains several individual bit flags encoded as an integer number the following way:

  31..11     10...4      3    2   1    0
+--------+------------+----+----+----+----+
|        |   Exchange |   Side  |  Scope  |
+--------+------------+----+----+----+----+

  1. Exchange — exchange code. For possible values of Exchange please refer to the Exchange codes chapter.

  2. Side — the initiator of an order (0 — side is undefined, 1 — buy side, 2 — sell side).

  3. Scope — specification of the order value (2 — aggregated information or BBO for a particular market maker, 0 — composite BBO from the whole market, 3 — individual order, 1 — regional BBO from a particular exchange).

MarketMaker

The value is optional and is one of these based on the best effort basis:

  • Market maker

  • A market maker ID (4-letter code) — another aggregate identifier of this order

Example

For NTV source:

#=Order#NTV, EventSymbol, EventTime, Void, Index, Time, Sequence, Price, Size, Flags, MarketMaker
Order#NTV, A, 20180925-195959.999-0400, 0, 24, 0, 0, NaN, 0, 3, \NULL,EventFlags=SNAPSHOT_BEGIN

OrderImbalance

A record that represents order book statistics during auctions. It reflects the excess of buy or sell orders and provides parameters for a potential auction price, given the current state of the order book.

Field

Description

symbol

Symbol of this event

time

Time when this event was generated in the order book

sequence

Sequence number of this event

eventTime

Time when this event was registered in the dxFeed system

refPrice

Reference price used to calculate paired and imbalance sizes. Typically, the consolidated last sale price before the auction or imbalance event

pairedSize

Number of shares that are eligible to be matched at the refPrice

imbalanceSize

Number of shares that are not matched at the refPrice

nearPrice

Hypothetical price at which all interest (including auction and imbalance offset orders) could trade if the auction occurred now

farPrice

Hypothetical price at which only auction interest (i.e., all auction orders currently on the book) could trade if the auction occurred now. This price is usually further from the refPrice than nearPrice.

Flags

This field contains several individual bit flags encoded as an integer number the following way:

  31..6        5..3            2..0 
+--------+--------------+---------------+
|        | Auction Type | Imbalance Side|
+--------+--------------+---------------+

  1. Auction Type — the type of auction for which the order imbalance message is being generated (1 – opening auction, 2 – closing auction, 3 – reopening auction (after a halt or pause) and IPO, 4 – other, 0 – undefined).

  2. Imbalance Side — the side of the order imbalance (0 — side is undefined, 1 — buy imbalance, 2 — sell imbalance, 3 — no imbalance, 4 — insufficient orders to calculate, 5 — paused).

AnalyticOrder#X

Represents an extension of the Order record introducing analytic information, e.g. adding to this order iceberg related information. The collection of analytic order records of a symbol represents the most recent analytic information that is available about orders on the market at any given moment.

X may stand for:

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Void

Additional insignificant field; always 0

Index

Unique index in order book

Time

Time of this order

Sequence

Sequence of this order, may include milliseconds (e.g., "857:3")

Price

Price of this order

Size

Size of this order

ExecutedSize

Executed size of this analytic order

Flags

This field contains several individual bit flags encoded as an integer number the following way:

  31..11     10...4      3    2   1    0
+--------+------------+----+----+----+----+
|        |   Exchange |   Side  |  Scope  |
+--------+------------+----+----+----+----+

  1. Exchange — exchange code. For possible values of Exchange please refer to Exchange codes chapter.

  2. Side — the initiator of an order (0 — side is undefined, 1 — buy side, 2 — sell side).

  3. Scope — specification of the order value (2 — aggregated information or BBO for a particular market maker, 0 — composite BBO from the whole market, 3 — individual order, 1 — regional BBO from a particular exchange).

MarketMaker

Market maker or other aggregate identifier of this order (optional field)

IcebergPeakSize

Iceberg peak size of this analytic order

IcebergHiddenSize

Iceberg hidden size of this analytic order

IcebergExecutedSize

Iceberg executed size of this analytic order

IcebergFlags

This field contains individual flag encoded as an integer number the following way:

   1    0
+-----+----+
|   Type   |
+-----+----+

Type — iceberg type of this analytical order ( 0 — type is undefined, 1 — native (exchange-managed), 2 — synthetic (managed outside of the exchange))

MarketMaker

This record contains data aggregated by price (price level book), by Market Maker, or by a bank.

#=MarketMaker, EventSymbol, EventTime, ExchangeCode, MarketMaker, BidTime, BidPrice, BidSize, BidCount, AskTime, AskPrice, AskSize, AskCount
MarketMaker, INTC,20180925-195959.999-0400, Q, XGWD, 20180925-160004-0400, 44.36, 0, 0, 20180925-160004-0400, 48.18, 0, 0, EventFlags=SNAPSHOT_BEGIN

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

ExchangeCode

Exchange code

MarketMaker

The MarketMaker field has different meanings in different feeds:

  • ID of the Market Maker (e.g., Nasdaq Level 2, PinkSheets). For example, OTC or OTCBB.

  • Price-level number (e.g., CME, ICE, Nasdaq TotalView) if Order.scope == ORDER. For some sources like BTRX, a Market Maker ID can be received from Cboe or Cboe EU data feeds.

  • Bank identifier (e.g., Forex feed) if Order.scope == AGGREGATE. For example, ACMFX, MCFX.

BidTime

Time of the last bid change

BidPrice

Bid price

BidSize

Bid volume

BidCount

The sequence of the bid in the aggregated feed

AskTime

The time of the last ask change

AskPrice

Ask price

AskSize

Volume ask

AskCount

The sequence of the ask in the aggregated feed

Summary

Summary information record about the trading session that includes the session’s highs, lows, etc. It represents the most recent information that is available about the trading session on the market at any given moment.

#=Summary, EventSymbol, EventTime, DayId, DayOpenPrice, DayHighPrice, DayLowPrice, DayClosePrice, PrevDayId, PrevDayClosePrice, PrevDayVolume, OpenInterest, Flags
Summary, AON, 20180926-100000.018-0400, 20180926, 155.82, 156, 154.82, NaN, 20180925, 155.81, NaN, 0, 3

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

DayId

Identifier of the day that this summary represents. DayId reflects the date of the trading session, which changes when a new trading day begins.

  • DayId updates to the new date

  • All prices (DayOpenPrice, DayHighPrice, etc.) and quote sizes are set to NaN

DayOpenPrice

The first (open) price of the day.

 DayOpenPrice is set to:

  • NaN by default

  • The exchange open price based on TimeAndSales data for the instrument. It may be updated during the day

For details, see the TimeAndSale sale conditions page

DayHighPrice

Maximum (high) price of the day.

DayHighPrice is set to:

  • NaN by default

  • The exchange high price based on TimeAndSales data for the instrument. It may be updated during the day

For details, see the TimeAndSale sale conditions page

DayLowPrice

Minimum (low) price of the day.

DayLowPrice is set to:

  • NaN by default

  • The exchange low price based on TimeAndSales data for the instrument. It may be updated during the day

For details, see the TimeAndSale sale conditions page

DayClosePrice

The last (close) price of the day.

DayClosePrice is set to:

  • Empty during trading hours

  • Settlement price when we receive a close or settlement price from the exchange. The type of settlement price is determined by the exchange and passed through without modification (e.g., preliminary, indicative, final). To identify the specific settlement type, refer to the dayClosePriceType flag within the flags field.

  • Regular close price if no settlement or close price is received by the end of the day. The price is set based on:

    • The last valid TimeAndSale according to the instrument’s schedule

    • The last TimeAndSale when the exchange notifies us that the market is closed

    • A final settlement price (marked as final close)

Note

Exchanges may send corrections after the end of the day, but the corresponding flag remains as final.

PrevDayId

Identifier of the previous day.

Updated when at least one trade is received.

Note

DayId and PrevDayId may differ by more than one day depending on trade activity.

PrevDayClosePrice

The last (close) price of the previous day.

Updated together with PrevDayId. The value of DayClosePrice is copied over, including its flag type

PrevDayVolume

Total volume traded of the previous day.

Updated together with PrevDayId.

The total volume from trades (Trade.Volume) is copied, together with the associated flags

OpenInterest

The number of open contracts of the symbol

Flags

This field contains several individual bit flags encoded as an integer number the following way:

  31...4   3    2    1      0
+--------+----+----+----+------+
|        |  Close  | PrevClose |
+--------+----+----+----+------+

  1. Close (dayClosePriceType) — parameter that shows if the closing price is final (0, 1, 2, 3).

  2. PrevClose (prevDayClosePriceType) — parameter that shows if the closing price of the previous day is final (0, 1, 2, 3).

The values mean:

  • 0 – Regular: derived from TimeAndSale, not explicitly published by the exchange

  • 1 – Indicative: estimate calculated or published by the exchange

  • 2 – Preliminary: intermediate official value, may change

  • 3 – Final: official settlement from the exchange

Settlement price availability may vary by exchange.

Settlement data can be queried via the Market Data API by type and date. Historical values require specific access permissions

Summary&X (regional Summary)

Similar to the Summary record but represents summary information for a given exchange code. For possible values of X please refer to the Exchange codes chapter.

#=Summary&P, EventSymbol, EventTime, DayId, DayOpenPrice, DayHighPrice, DayLowPrice, DayClosePrice, PrevDayId, PrevDayClosePrice, Flags
Summary&P, MRK, 20180926-100000.006-0400, 20180926, 70.94, 71.14, 70.8, NaN, 20180925, 70.65, 3

Trade

A record of the price and size of the last trade during regular trading hours, along with the overall day volume and day turnover. It represents the most recent information available about the last regular trade on the market at any given moment.

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Time

Time of the last trade

Sequence

Sequence of the last trade

ExchangeCode

Exchange code of the last trade

Price

Price of the last trade

Size

Size of the last trade

Tick

Trend indicator - in which direction price is moving (1 = up, 2 = down, and 0 = undefined)

Change

Value equals Price minus PrevDayClosePrice (the value of PrevDayClosePrice is retrieved from the Summary record)

Flags

This field contains several individual bit flags encoded as an integer number the following way:

  31...4    3    2    1    0
+--------+----+----+----+-----+
|        |  Direction   | ETH |
+--------+----+----+----+-----+

  1. Direction (tickDirection) — is the more accurate definition of the trend (0 - undefined, 1 — down, 2 — zero down (current price is the same as previous price and is lower than the last known price of different value), 3 — zero (current price is equal to the only known price value suitable for price direction computation), 4 — zero up (current price is the same as previous price and is higher than the last known price of different value), 5 — up).

  2. ETH (extendedTradingHours) — flag that determines current trading session: extended or regular (0 — regular trading hours, 1 — extended trading hours).

DayVolume

Total volume traded for a day

DayTurnover

Total turnover traded for a day

Trade&X (regional Trade)

Similar to Trade record but represents trades for a given exchange code. For possible values of X please refer to Exchange codes chapter.

#=Trade&D, EventSymbol, EventTime, Time, Sequence, Price, Size, Tick, Change, Flags, DayVolume, DayTurnover
Trade&D, BABA, 20180926-100000.002-0400, 20180926-095959-0400, 0, 166.74, 100, 1, 2.48, 0, 929667, NaN

TradeETH

A record of the price and size of the last trade during extended trading hours, and the extended trading hours day volume and day turnover. This record is defined only for symbols (typically stocks and ETFs) that have extended trading hours (ETH, pre-market and post-market trading sessions). It represents the most recent information that is available about ETH last trade on the market at any given moment.

#=TradeETH, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, Flags, DayVolume, DayTurnover
TradeETH, SPLPpA, 20180926-100154.380-0400, 20180920-160124-0400, 0, D, 22.65, 454, 0, 0, NaN

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Time

Time of the last trade

Sequence

Sequence of the last trade

ExchangeCode

Exchange code of the last trade

Price

Price of the last trade

Size

Size of the last trade

Flags

Same as in the Trade record

DayVolume

Total volume traded during extended trading hours

DayTurnover

Total turnover traded extended trading hours

TradeETH&X (regional TradeETH)

Similar to the TradeETH record but represents ETH trades for a given exchange code. For possible values of X please refer to Exchange codes chapter.

#=TradeETH&P, EventSymbol, EventTime, Time, Sequence, Price, Size, Flags, DayVolume, DayTurnover
TradeETH&P, CRVS, 20180926-100000.155-0400, 20180815-092803-0400, 0, 9.69, 100, 0, 35, NaN

OptionSale

Represents a trade or other market event with price for each option symbol listed under the specified Underlying, like market open/close price, etc. OptionSale record provides information about option trades in a continuous time slice with the additional metrics: Option Volatility, Option Delta, and Underlying Price.

OptionSale record has a unique index which can be used for later correction/cancellation processing.

Field

Description

EventSymbol

Symbol of this event

EventFlags

Transactional event flags

Index

Unique index in order book

Time

Timestamp of the original event

Sequence

Sequence number of this record, may include milliseconds (e.g., "857 :3")

ExchangeCode

Exchange code of this OptionSale record

Price

Price of this OptionSale record

Size

Size of this OptionSale record

BidPrice

The current bid price on the market when this OptionSale record had occurred

AskPrice

The current ask price on the market when this OptionSale record had occurred

ExchangeSaleConditions

Sale conditions provided for this reocrd by data feed (you can find a list of parameters in the TimeAndSale Conditions map)

Flags

This field contains several individual flags:

  1. Side (aggressorSide) — the initiator of a trade, may have value (0 — side is undefined, 1 — buy side, 2 — sell side).

  2. SL (spreadLeg) — an indication of whether this transaction is a part of a multi-leg order (0 — single order, 1 — multi-leg order).

  3. ETH (extendedTradingHours) — whether the transaction is completed during extended trading hours (0 — regular trading hours, 1 — extended trading hours).

  4. VT (validTick) — our normalized SaleCondition flag (1 — the tick is valid and must be drawn on the chart service, 0 — this is most likely not a transaction and does not need to be displayed).

  5. Type — type of record (0 — new, 1 — correction on a TimeAndSale event, 2 — cancel of a TimeAndSale event).

UnderlyingPrice

The underlying price at the time when this OptionSale record had occurred

Volatility

Black-Scholes implied volatility of the record's option

Delta

The record's option delta

GetOptionSymbol() optionSymbol

The option symbol of this record's option

TimeAndSale

Represents a trade or other market event with price, like market open/close price, etc. TimeAndSale record is intended to provide information about trades in a continuous time slice (unlike Trade records, which are supposed to provide a snapshot of the current last trade).

#=TimeAndSale, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, BidPrice, AskPrice, SaleConditions, Flags
TimeAndSale, BABA, 20180926-100000.002-0400, 20180926-095959-0400, 872 :33427, D,166.8177, 31,166.71, 166.74, "4 I", 12576

Field

Description

EventSymbol

Symbol of this event

EventTime

Time when this event has been registered in dxFeed system (filled only for historical data; not filled for real-time data feed)

Time

Timestamp of the original event

Sequence

Sequence number of this event, may include milliseconds (e.g., "857 :3")

ExchangeCode

Exchange code of this TimeAndSale event

Price

Price of this TimeAndSale event

Size

Size of this TimeAndSale event

BidPrice

The current bid price on the market when this TimeAndSale event had occurred

AskPrice

The current ask price on the market when this TimeAndSale event had occurred

SaleConditions

Sale conditions provided for this event by data feed (you can find a list of parameters in the TimeAndSale Conditions map)

Flags

This field contains several individual bit flags encoded as an integer number the following way:

   31..16  15...8    7    6    5     4     3     2      1    0
+--------+---------+----+----+----+-----+-----+------+----+----+
|        |   TTE   |    |   Side  |  SL | ETH |  VT  |  Type   |
+--------+---------+----+----+----+-----+-----+------+----+----+

  1. Tradethroughexempt (TTE) — is a transaction concluded by exempting from compliance with some rule. The value is encoded by the letter.

  2. Side (aggressorSide) — initiator of the trade, may have value (0 — side is undefined, 1 — buy side, 2 — sell side).

  3. SL (spreadLeg) — an indication of whether this transaction is a part of a multi-leg order (0 — single order, 1 — multi-leg order).

  4. ETH (extendedTradingHours) — whether the transaction is completed during extended trading hours (0 — regular trading hours, 1 — extended trading hours).

  5. VT (validTick) — our normalized SaleCondition flag (1 — the tick is valid and must be drawn on the chart service, 0 — this is most likely not a transaction and does not need to be displayed).

  6. Type — type of record (0 — new, 1 — correction on a TimeAndSale record, 2 — cancel of a TimeAndSale record).

Buyer

These fields are optional and exclusive to the Borsa Istanbul exchange. The first two letters "BI" indicate Borsa Istanbul, followed by letters directly from the exchange. The list of Borsa Istanbul companies. Possible values include: BIZRY, BIVKY, BIMDS

Seller

TimeAndSale&X (regional TimeAndSale)

Similar to the TimeAndSale but represents TimeAndSale record for a given exchange code. For a list of possible values for X please refer to the Exchange codes chapter.

#=TimeAndSale&P, EventSymbol, EventTime, Time, Sequence, ExchangeCode, Price, Size, BidPrice, AskPrice, SaleConditions, Flags
TimeAndSale&P, AMZN, 20180802-030000.059-0500, 20180802-030000-0500, 13:0, P, 1799, 1, 1798.97, 1800, "@ TI", 8264
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