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tradedate | The market data date, represented as yyyymmdd, e.g. 20170103 |
symbol | Product Code eg: ES for Emini S&P 500 |
time_zone | Product The data is divided to three different time zones - Chicago (7AM - 4PM CST), London (7AM - 5PM GMT), Singapore (8AM - 8PM SGT) |
unix_in_sec | Time in unix time stamp |
avg_level_1_spread - avg_level_10_spread | Average Spread aggregated by time zone for all the levels in the order book. |
avg_level_1_midprice -avg_level_10_midprice | Average mid price aggregated by time zone for all the levels in the order book. Mid price is the average of Ask and Bid prices |
avg_level_1_weightedprice - avg_level_10_weightedprice | Weighted Average price aggregated by time zone for all the levels in the order book. The weighted average is performed from milli second level to day level. |
avg_level_1_ask_price - avg_level_10_ask_price | Average Ask price aggregated by time zone for all the levels in the order book. |
avg_level_1_bid_price - avg_level_10_bid_price | Average Bid price aggregated by time zone for all the levels in the order book. |
avg_level_1_ask_quantity - avg_level_10_ask_quantity | Average Ask Quantity aggregated by time zone for all the levels in the order book. |
avg_level_1_bid_quantity - avg_level_10_bid_quantity | Average Bid Quantity aggregated by time zone for all the levels in the order book. |
avg_level_1_ask_orders - avg_level_10_ask_orders | Average Ask Orders aggregated by time zone for all the levels in the order book. |
avg_level_1_bid_orders - avg_level_10_bid_orders | Average Bid Orders aggregated by time zone for all the levels in the order book. |
lot_1_size - lot_25_size | The lot size for which the cost to buy and sell are calculated. |
lot_1_buy_ctt - lot_25_buy_ctt | Weighted Average (per day) of Theoretical Cost to buy a particular lot size. This is listed for 25 such different lot sizes. |
lot_1_sell_ctt - lot_25_sell_ctt | Weighted Average (per day) of Theoretical Cost to sell particular lot size. This is listed for 25 such different lot sizes. |
lot_1_buy_depth - lot_25_buy_depth | Weighted Average (per day) of number of levels traversed for calculating cost to buy for a particular lot size. This is listed for 25 different lot sizes. |
lot_1_sell_depth - lot_25_sell_depth | Weighted Average (per day) of number of levels traversed for calculating cost to sell for a particular lot size. This is listed for 25 different lot sizes. |
frontmonth | Most Active contract for a specific trade date. |