How large are these files?
Below you will find the average daily size of each dataset:
Top of Book – 2 to 5 MB per tenor, per day
Depth of Book – 2 to 5 MB per tenor, per day
Full Order Book – 2 to 10 MB per tenor, per day.
What does a <blank> or an empty field reflect in the Top of Book and Depth of Book files?
<blank>:
This text denotes that a pricing system explicitly sets a value to "this price has no value". It can also mean null/nil.
This means when Bid=1.23 and Ask=<blank>, the field that has <blank> is now empty, devoid of value, such as when the top of book is cleared at the end of day. In the .csv files, <blank> is used instead of null/nil.
empty (no value or text):
Where no value exists between commas in the .csv file, it means those values have not changed since the last value seen. Only changes or updates in prices are shown.
Time,Bid,Ask
12:00:00,1,2
12:00:10,2,3
12:00:20,,4 << bid is still 2, only ask has changed to 4
<blank> and empty combined in a row of updates within the file:
To give an example,
Time,Bid,Ask
12:00:00,1,2
12:00:10,2,3
12:00:20,<blank>,4 << there is no top of book orders for bid, so <blank> is published
12:00:30,,5 << the bid is still blank, the ask has changed to 5
12:00:30,4, << the bid now has a top of book order of 4, there is no value for ask and therefore is still 5 from the previous update
What is the file structure for the Top of Book dataset?
Please see the below table to find the file structure for this dataset.
FIELD NAME | CSV COLUMN | EXAMPLE VALUE | SUPPORTED VALUE | DESCRIPTION |
Date | A | 14/05/2018 19:32:51.501 | dd/mm/yyyy hh:mm:ss.sss | Date of update |
Currency | B | USD | USD | Currency |
Description | C | 10YR NOTE | 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 20YR NOTE, 30YR NOTE | Issue Tenor |
Producer | D | US_500 | US_500 | BrokerTec Source |
Record | E | 10_YEAR | 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 20_YEAR, 30_YEAR | Instrument Name |
Bid | F | 98.92188 | decimal | Bid Price |
Ask | G | 98.9375 | decimal | Ask Price |
Bid Yield % | H | 3.001 | decimal | Bid Yield in percent |
Ask Yield | I | 2.999 | decimal | Ask Yield in percent |
Maturity Date | J | 15-May-28 | dd-mmm-yy | Date of Maturity |
Coupon | K | 2.875 | decimal | Interest |
Last Trade Price | L | 98.9375 | decimal | Traded Price |
Last Trade Size mm | M | 7 | int64 | Quantity of last trade in millions |
Mid Yield % | N | 2.999 | decimal | Mid Yield in percent |
Bid Size mm | O | 2 | int64 | Quantity of Bid in millions |
| | | | |
Ask Size mm | P | 2 | int64 | Quantity of Ask in millions |
Duration | Q | 8.529709 | decimal | Avg time cash flows are received |
Total Volume mm | R | 7 | int64 | Cumulative Volume in millions |
Dollar Flow | S | -8 | int64 | Trade Size relevant to Trade Price being greater than or equal to the previous trade price |
Close | T | 98.890625 | decimal | Closing price for the trading day |
High | U | 98.9375 | decimal | Highest price for the trading day |
Low | V | 98.9375 | decimal | Lowest price for the trading day |
Open | W | 98.375 | decimal | First price for the day |
What is the file structure for the Depth of Book dataset?
Please see the below table to find the file structure for this dataset.
FIELD NAME | CSV COLUMN | EXAMPLE VALUE | SUPPORTED VALUE | DESCRIPTION |
Date | A | 14/05/2018 19:32:51.501 | dd/mm/yyyy hh:mm:ss.sss | Date of update |
Currency | B | USD | USD | Currency |
Description | C | 10YR NOTE | 2YR NOTE, 3YR NOTE, 5YR NOTE, 7YR NOTE, 10YR NOTE, 20YR NOTE, 30YR NOTE | Issue Tenor |
Producer | D | US_500 | US_500 | BrokerTec Source |
Record | E | 10_YEAR | 2_YEAR, 3_YEAR, 5_YEAR, 7_YEAR, 10_YEAR, 20_YEAR, 30_YEAR | |