Derivatives Market and Standard sector
Detailed File Layout for types A and B:
| Order Log - Information on all trades and all orders (type А) | ||
| Format | Description | |
| SYMBOL | c25 | instrument code |
| SYSTEM | c1 | F- futures, C(P)- call(put) options, S- RTS Standard |
| TYPE | c1 | B- buy, S- sell, |
| MOMENT | t | Trade time |
| ID | i8 | quote id |
| ACTION | i1 | 0- quote was deleted, 1- quote was added, 2- trade |
| PRICE | d16.5 | quote price |
| VOLUME | i8 | quote(trade) volume in contracts(shares) |
| ID_DEAL | i8 | trade id |
| PRICE_DEAL | d16.5 | trade price |
| Top of the Book - Information on all trades and best orders (type B) | ||
| Format | ||
| SYMBOL | c25 | instrument code |
| SYSTEM | c1 | F- futures, C(P)- call(put) options, S- RTS Standard |
| TYPE | c1 | B- buy, S- sell, |
| MOMENT | t | Trade time |
| ID_DEAL | i8 | trade id |
| PRICE | d16.5 | quote price |
| VOLUME | i8 | quote(trade) volume in contracts(shares) |
| Deals - all trades with information on open positions (application for types А and В) | ||
| Format | ||
| SYMBOL | c25 | instrument code |
| SYSTEM | c1 | F- futures, C(P)- call(put) options, S- RTS Standard |
| MOMENT | t | Trade time |
| ID_DEAL | i8 | trade id |
| PRICE_DEAL | d16.5 | trade price |
| VOLUME | i8 | quote(trade) volume in contracts(shares) |
| OPEN_POS | i8 | open positions |
| DIRECTION | c1 | trade direction Buy/Sell |
Sample records for type A (Order Log):
| #SYMBOL | SYSTEM | TYPE | MOMENT | DEAL_ID | PRICE | VOLUME | |
|---|---|---|---|---|---|---|---|
| RI180000BR1 | P | S | 20110531194810000 | 327648497 | 1010.00000 | 13 | Deal |
| RI180000BR1 | P | B | 20110531194810000 | 1010.00000 | 63 | Order |
Sample records for type B (Top of the book):
| #SYMBOL | SYSTEM | TYPE | MOMENT | DEAL_ID | PRICE | VOLUME | |
|---|---|---|---|---|---|---|---|
| RI180000BR1 | P | S | 20110531194810000 | 327648497 | 1010.00000 | 13 | Deal |
| RI180000BR1 | P | B | 20110531194810000 | 1010.00000 | 63 | Order |
Sample records of application for types A and B (Deals):
| #SYMBOL | SYSTEM | MOMENT | ID_DEAL | PRICE_DEAL | VOLUME | OPEN_POS | DIRECTION |
|---|---|---|---|---|---|---|---|
| LKM1 | F | 20110531190001200 | 327626591 | 18200.00000 | 37 | 152918 | S |
| RI180000BR1 | P | 20110531194810000 | 327648497 | 1010.00000 | 13 | 118858 | S |
File size
| Type A – Order Log | Type B – Top of the Book | Format |
|---|---|---|
| Compressed file size | Compressed file size | |
| 1 - 3 Gb. - Futures&Options 0.5 - 1 Gb. - Standard |
0.5 - 1 Gb. | CSV |
Note:
Sample files for June 2011 are available here