Securities and FX Market
Detailed File Layout for types A:
| Field name | Type | Description |
|---|---|---|
| NO | Int | No |
| SECCODE | String | Security code |
| BUYSELL | Char | Buy/Sell mark |
| B=Buy | ||
| S=Sell | ||
| TIME | Int | Time format HHMMSSZZZ |
| ORDERNO | Int | Order id |
| ACTION | Int | Event type |
| 0 = order cancellation | ||
| 1 = order placement | ||
| 2 = deal | ||
| PRICE | Float | Price |
| VOLUME | Int | Volume |
| For order placement - visible order size | ||
| For trades - volume of trade | ||
| For order cancellation - residual of vizible order size | ||
| Next fields are only for deals (ACTION = 2) | ||
| TRADENO | Int | Trade id |
| TRADEPRICE | Float | Trade price |
Sample records for types A:
| NO | SECCODE | BUYSELL | TIME | ORDERNO | ACTION | PRICE | VOLUME | TRADENO | TRADEPRICE | |
|---|---|---|---|---|---|---|---|---|---|---|
| 30818 | LSRG | S | 100000429 | 30789 | 2 | 574.9 | 10 | 1961689585 | 575 | deal |
| 30819 | NLMK | B | 100000430 | 30790 | 1 | 63.21 | 1780 | order placement | ||
| 30831 | ELTZ | S | 100000435 | 25211 | 0 | 824.6 | 150 | order cancellation |
Detailed File Layout for types B:
| Field name | Type | Description |
|---|---|---|
| SECCODE | String | Security code |
| BUYSELL | Char | Buy/Sell mark |
| B=Buy | ||
| S=Sell | ||
| TIME | Int | Time format HHMMSSZZZ |
| TRADENO | Int | Trade ID |
| PRICE | Float | Best quote price |
| VOLUME | Int | Total volume of orders with price = PRICE |
Sample records for types B:
| SECCODE | BUYSELL | TIME | TRADENO | PRICE | VOLUME |
|---|---|---|---|---|---|
| SBER | S | 100000429 | 96.47 | 300 | |
| SBER | S | 100000430 | 96.41 | 1500 | |
| GAZP | B | 100000435 | 25211 | 147.56 | 450 |
File size
| Type A - OrderLogs | Type B - Top of the book | Format |
|---|---|---|
| Compressed file size | Compressed file size | |
| 1 - 3 Gb. | 0.5 - 1 Gb. | CSV |
Note:
1) zero-valued PRICE followed by a non-zero VOLUME within the same row, for example: 4, TGKI, B, 103000000,4,1,0,40000000, , means market order, which is executed immediately at current market price, available in the trading system at the moment.
2) Trade direction mark Buy/Sell is available from January 2011.