Dati di alta frequenza

Dati acquistati e disponibili:

• “Rebuild Order Book” del London Stock Exchange per l’anno 2002 (22 G)• “Best Bid/Best Ask” e “Trades” della Borsa di Milano per l’anno 2002 (4.7 G)

Dati in possesso di alcuni gruppi (da condividere) :

• “Trades and Quotes” del New York Stock Exchange per gli anni 1995/2001 (originariamenta acquistati da INFM ), 2000/2002 (originariamenta acquistati da Dip. Statistica “G. Parenti”, Firenze )

Dati disponibili in futuro:• “Trades and Quotes” del New York Stock Exchange per l’anno 2003• “Open Book” del New York Stock Exchange per gennaio/febbraio/marzo 2002• “Intraday Historical Data” di Euronext (Parigi, Amsterdam, Brussels) per l’anno 2002 (consegna Luglio 2004)• “Order Book” della Borsa di Francoforte per l’anno 2002

Order Book LSEColumnName FORMAT

Order Code CHAR(10)

MarketSegmentCode CHAR(4)

MarketSectorCode CHAR(4)

TICode CHAR(12)

CountryOfRegister CHAR(2)

CurrencyCode CHAR(3)

ParticipantCode CHAR(11)

BuySellInd CHAR(1)

MarketMechanismGroup CHAR(1)

MarketMechanismType CHAR(2)

Price DECIMAL(18,8)

AggregateSize DECIMAL(12)

SingleFillInd CHAR(1)

BroadcastUpdateAction CHAR(1)

DateOfPreparationDATE(YYYY-MM-DD)

TimeOfPreparation TIME(HH:MI:SS)

MessageSequenceNumber INTEGER(10)

ColumnName FORMAT

Order Code CHAR(10)

OrderActionType CHAR(1)

MatchingOrder Code CHAR(10)

TradeDateDATE(YYYY-MM-DD)

TradeTime TIME(HH:MI:SS)

TradeSize DECIMAL(8)

TradeCode CHAR(10)

TICode CHAR(12)

CurrencyCode CHAR(3)

CountryOfRegister CHAR(2)

MarketSegmentCode CHAR(4)

AggregateSize DECIMAL(12)

BuySellInd CHAR(1)

MarketMechanismType CHAR(2)

MessageSequenceNumber INTEGER(10)

ReceivedDateDATE(YYYY-MM-DD)

ReceivedTime TIME(HH:MI:SS)

ColumnName FORMAT

MessageSequenceNumber INTEGER(10)

TICode CHAR(12)

MarketSegmentCode CHAR(4)

CountryOfRegister CHAR(2)

CurrencyCode CHAR(3)

TradeCode CHAR(10)

TradePrice DECIMAL(18,8)

TradeSize DECIMAL(12)

TradeDateDATE(YYYY-MM-DD)

TradeTime TIME(HH:MI:SS)

BroadcastUpdateAction CHAR(1)

TradeTypeInd CHAR(2)

TradeTimeInd CHAR(1)

BargainConditions CHAR(1)

ConvertedPriceInd CHAR(1)

PublicationDateDATE(YYYY-MM-DD)

PublicationTime TIME(HH:MI:SS)

The ROB has 3 type of files:t_OrderDetail.csv, t_OrderHistory.csv, t_TradeReports.csv.Each file is produced in a comma separated format. The above tables describe the number of fields and the format of each field.

Esempio di Order Details

Order Code

MarketSegmentCode

MarketSectorCo

de TICode

CountryOfRegis

ter

CurrencyCode

Participa

ntCode

BuySellInd

MarketMechanismGrou

p

MarketMechanismTyp

e Price

AggregateSi

ze

SingleFillIn

d

BroadcastUpdateAction

DateOfPreparation

TimeOfPreparation

MessageSequenceNu

mber

800YT3LQ02 SET2 FE25 GB0008123571 GB GBX 0 B O LO 65.5 9900 N A 2002-06-26 09:29:53 72847

D02267G202 SET1 FS10 GB0000044551 GB GBX 0 B O LO 727.5 2900 N A 2002-06-26 08:26:11 18533

701XH1PP02 SET1 FT10 GB0008034141 GB GBX 0 B O LO 464 15000 N A 2002-06-26 08:55:29 43369

E01YIQFL02 SET1 FS10 GB0001540045 GB GBX 0 S O LO 473 1728 N A 2002-06-26 11:58:26 184659

B01UYLGW02 SET1 FS10 GB0031435265 GB GBX 0 B O LO 1035 250 N A 2002-06-27 11:58:19 140456

E01YJLGC02 SET1 FT10 GB0008034141 GB GBX 0 B O LO 471 1000 N A 2002-06-26 14:41:59 270143

E01YDU6V02 SET1 FS10 GB0000444736 GB GBX 0 B O LO 243 25000 N A 2002-06-25 13:26:36 182425

800YPYTV02 SET1 FT10 GB0008021650 GB GBX 0 B O LO 158.25 900 N A 2002-06-25 14:51:41 232725

F01Y5EQ402 SET1 FS10 GB0007547838 GB GBX 0 S O LO 1816 195 N A 2002-06-27 15:40:26 315226

E01YFK8D02 SET1 FS10 GB0007308355 GB GBX 0 S O LO 603.5 10000 N A 2002-06-26 08:43:44 32619

This file contains details of new orders entering the trading system. It contains details of orders that both enter the Order Book and that do not enter the Order Book (i.e. orders that completely execute on entry).

Esempio di Order History

This file contains a history of changes to each order and the method by which it is removed. For each order there are one or more rows shown with an order action type for each record. The order action type indicates if the order was partially or fully executed against, deleted, expired etc ...

Order Code

Order Action

TypeMatching

Order Code

Trade

Size Trade code TI Code

Count

ry of

Register

Currency Cod

e

Market

segment

code

Aggregate Size

Buy

Sell Ind

Market

Mechanis

m Type

Message

Sequence

Number

Received Date

Received Time

B01UXNOC02 P C021C6JP02 56 C021C6JS02 GB0009223206 GB GBX SET1 608 B LO 864101 2002-06-26 16:23:12

A01VK6HQ02 P A01VK72D02 5865 A01VK6HR02 GB0030913577 GB GBX SET1 2332 S LO 20285 2002-06-28 08:15:59

F01XR0NS02 P 4011DYDY02 550 4011DYDZ02 GB0007547838 GB GBX SET1 596 S LO 237767 2002-06-25 10:51:52

5027IWMO02 P C021ILK502 220 C021ILK602 GB0007839698 GB GBX SET1 20680 B LO 715581 2002-06-27 15:46:47

5027IWMO02 P A01VJBMF02 1619 A01VJBMG02 GB0007839698 GB GBX SET1 19061 B LO 715875 2002-06-27 15:46:59

B01ULMWD02 P D021TKSI02 220 D021TKSJ02 GB0002944055 GB GBX SET1 2280 S LO 36240 2002-06-24 08:36:57

F01Y4LH102 P 701XLZRD02 1562 701XLZRG02 GB0009740423 GB GBX SET1 8438 B LO 427523 2002-06-27 13:34:23

F01YANUI02 P F01YANYM02 570 F01YANYP02 GB0001452795 GB GBX SET1 80 S LO 724863 2002-06-28 16:14:02

F01XUAO902 P 5027BAIF02 3826 5027BAIG02 GB0007547838 GB GBX SET1 1724 B LO 442864 2002-06-25 14:00:57

601ZAXWR02 P 4011EF9402 3130 601ZAXWS02 GB0009252882 GB GBX SET1 5000 S LO 498578 2002-06-25 14:42:38

Esempio di Trade Reports

The trade report file contains details of every automatic and manual trade that has taken place, except for trades that have not been published.

MessageSequenceN

umber TICode

MarketSegmentCode

CountryOfRegister

Currency

Code TradeCode TradePrice TradeSize TradeDateTradeTim

e

BroadcastUpdateAct

ion

TradeTypeInd

Trade

TimeInd

BargainConditions

Conv

ertedPric

eInd

PublicationDate

PublicationTime

101810GB0008754136

SET2 GB

GBX

B01UOSXX02 361.5 4000 2002-06-24

14:52:10 E AT N N N 2002-06-24

14:52:10

65285GB0008706128

SET1 GB

GBX

10218V2P02

634.09998 330 2002-06-26

10:59:57 A O N N N 2002-06-26

11:00:16

39696GB0001734747

SET1 GB

GBX

20244Q3802

316.31601 100000 2002-06-27

10:23:54 A O N N N 2002-06-27

10:24:34

125823GB0008847096

SET1 GB

GBX

800YY1GG02 237 7333 2002-06-27

15:10:59 E AT N N N 2002-06-27

15:10:59

149869GB0001114411

SET1 GB

GBX

901XO52V02 627.5 1272 2002-06-24

16:35:11 E UT N N N 2002-06-24

16:35:11

5113GB0008034141

SET1 GB

GBX

B01ULMJP02 478.5 6941 2002-06-24

08:24:35 E AT N N N 2002-06-24

08:24:35

132311GB0002875804

SET1 GB

GBX

701XHZRT02 709.5 13193 2002-06-26

14:58:55 E AT N N N 2002-06-26

14:58:55

131894GB0007192106

SET1 GB

GBX

E01YJN2C02 86.25 34000 2002-06-26

14:58:03 E AT N N N 2002-06-26

14:58:03

179824GB0007547838

SET1 GB

GBX

E01YKJXK02 1807 1200 2002-06-26

16:26:54 E AT N N N 2002-06-26

16:26:54

144595GB0007839698

SET1 GB

GBX

F01YANHU02 603.5 899 2002-06-28

16:08:38 E AT N N N 2002-06-28

16:08:38

OD OH TD

TempFile

FlatFile

Pre-processing dati del London Stock Exchange

TempFile

TempFile

TempFile

FlatFile

FlatFile

FlatFile

3 files contenenti tutti gli stocks

1 file per stock contenente tutti gli “eventi”

1 file per stock contenente tutti gli “eventi”

in formato “Santa Fe-like”

Preprocessing: calcolo di best bid e best offer, ricerca dei matching orders...

size~ -15%

size~ +30%

1. OrderType 1 = Limit Order 2 = At best with no price execute-and-eliminate with a price 3 = Fill-or-kill, price optional 4 = Fixed exposure (acts like an expiration) 5 = Market order for the auction (like 2)2. History type 1 = New order 2 = Partial trade 3 = Full match 4 = Deletion 5 = Expiration 3. Order Code4. Buy /sell code 1 = Buy 2 = Sell5. Trade size The number of shares that trades hands.  Not applicable in the case of incoming orders.6. Limit price7. Timestamp An integer indicating number of seconds since 1970 (GMT).  When the event occurred.8. - 13.  Broken out time of #7  (integers for year, month, day, hour, minute, second)

14. Participant code An integer that changes monthly that indicates the agent involved in the event.15. Tick size as a number (e.g. .5 for halves, .25 for quarters)16. Trade price, if there was a trade17. Remaining size18.History type code Indicates how a given order will be resolved.19. Timestamp at which ending event occurs (an integer encoded as #7).20. Whether or not a counterparty order was a limit order.  [Boolean]21. The limit price of a counter party limit order, if any.  For incoming order (field #2 = 1), this indicates the deepest price that the order matched against.22. The order index of the counterparty order, encoded like field #3.23. The counter party code -- the agent traded against.  Encoded like field #14.24. Best bid price on previous second25. Best offer price on previous second

Orde

r ty

peHi

stor

y ty

pe

Orde

r Co

de Buy

Sell

Ind

Trad

e siz

e

Trad

e Pr

ice

Epoc

h Ti

me

Year

Mont

hDa

y

Hour

Minu

te

Seco

ndAg

ent

Id Tick

siz

e

Trad

e pr

iceRe

main ing

Size

Endi

ng

Hist

ory

Type

Endi

ng

Tim

e

Matc

hing

LO

Matc

hi ng

Price

Matc

hi ng

Orde

r Nu

mbe r

Agen

t ID

ofM

O

Best

Bi

d

Best

Of

fer

1 1 C01YD1CA02 2 0 341.0 1023265421 2002 6 5 10 23 41 0 1 0.0 2300 3 1023265421 0 341.0 0 0 343.5 350.01 2 C01YD1CA02 2 1000 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1300 0 1023265421 1 343.5 701VLMAW02 0 343.5 350.01 3 701VLMAW02 1 1000 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 2 C01YD1CA02 2 1299 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1 0 1023265421 1 343.5 E01WARGE02 0 343.5 350.01 3 E01WARGE02 1 1299 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 3 C01YD1CA02 2 1 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 343.5 C01YD1C902 0 343.5 350.01 2 C01YD1C902 1 1 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 1000 0 1023265679 1 341.0 C01YD1CA02 0 343.5 350.0

Esempio di Flat File

1. OrderType 1 = Limit Order 2 = At best with no price execute-and-eliminate with a price 3 = Fill-or-kill, price optional 4 = Fixed exposure (acts like an expiration) 5 = Market order for the auction (like 2)2. History type 1 = New order 2 = Partial trade 3 = Full match 4 = Deletion 5 = Expiration 3. Order Code4. Buy /sell code 1 = Buy 2 = Sell5. Trade size The number of shares that trades hands.  Not applicable in the case of incoming orders.6. Limit price7. Timestamp An integer indicating number of seconds since 1970 (GMT).  When the event occurred.8. - 13.  Broken out time of #7  (integers for year, month, day, hour, minute, second)14. Participant code An integer that changes monthly that indicates the agent involved in the event.15. Tick size as a number (e.g. .5 for halves, .25 for quarters)16. Trade price, if there was a trade17. Remaining size18.History type code Indicates how a given order will be resolved.19. Timestamp at which ending event occurs (an integer encoded as #7).20. Whether or not a counterparty order was a limit order.  [Boolean]21. For trades (field #2 = 2 or 3), the limit price of a counter party limit order, if any.  For incoming order (field #2 = 1), this indicates the deepest price that the order matched against.22. The order index of the counterparty order, encoded like field #3.23. The counter party code -- the agent traded against.  Encoded like field #14.24. Best bid price on previous second25. Best offer price on previous second

Esempio di Flat File

Ord

er

type

Hist

ory

type

Ord

er

Code

Buy

Sell

Ind

Trad

e si

ze

Trad

e Pr

ice

Epoc

h Ti

me

Year

Mon

thDa

y

Hour

Min

ute

Seco

ndAg

ent

Id Tick

si

ze

Trad

e pr

ice

Rem

ain

ing

Size

Endi

ng

Hist

ory

Type

Endi

ng

Tim

e

Mat

chi

ngLO

Mat

chi

ng

Pric

eM

atch

ing

O

rder

Nu

mbe r

Agen

t ID

ofM

O

Best

Bi

d

Best

O

ffer

1 1 C01YD1CA02 2 0 341.0 1023265421 2002 6 5 10 23 41 0 1 0.0 2300 3 1023265421 0 341.0 0 0 343.5 350.01 2 C01YD1CA02 2 1000 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1300 0 1023265421 1 343.5 701VLMAW02 0 343.5 350.01 3 701VLMAW02 1 1000 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 2 C01YD1CA02 2 1299 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1 0 1023265421 1 343.5 E01WARGE02 0 343.5 350.01 3 E01WARGE02 1 1299 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 3 C01YD1CA02 2 1 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 343.5 C01YD1C902 0 343.5 350.01 2 C01YD1C902 1 1 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 1000 0 1023265679 1 341.0 C01YD1CA02 0 343.5 350.0

Esempio di Flat File

Order type

History

type

Order Code

Buy

Sell Ind

Trade siz

e

Trade

Price

Epoch Time

Year

Month

Day

Hour

Mi

nute

Second

Agent Id

Tick

size

Trade

price

Remaining Siz

e

Endin

g Histor

y Type

Ending Time

Matching LO

Matching

Price

Matching Order

Number

Agent ID of M O

Best

Bid

Best

Offer

1 4 A01TJNXJ02 1 0 341.5 1023265419

2002 6 5

10

23

39 0 1 0.0 0 0 1023265419 0 0.0 0 0 343.5

350.0

1 1 C01YD1CA02 2 0 341.0 1023265421

2002 6 5

10

23

41 0 1 0.0 2300 3 1023265421 0 341.0 0 0 343.5

350.0

1 3701VLMAW02 1

1000 343.5 1023265421

2002 6 5

10

23

41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5

350.0

1 2 C01YD1C902 1 1 343.5 1023265421

2002 6 5

10

23

41 0 1 343.5 1000 0 1023265679 1 341.0 C01YD1CA02 0 343.5

350.0

1 2 C01YD1CA02 2100

0 341.0 1023265421

2002 6 5

10

23

41 0 1 343.5 1300 0 1023265421 1 343.5 701VLMAW02 0 343.5

350.0

1 2 C01YD1CA02 2129

9 341.0 1023265421

2002 6 5

10

23

41 0 1 343.5 1 0 1023265421 1 343.5 E01WARGE02 0 343.5

350.0

1 3 C01YD1CA02 2 1 341.0 1023265421

2002 6 5

10

23

41 0 1 343.5 0 0 1023265421 1 343.5 C01YD1C902 0 343.5

350.0

1 3E01WARGE02 1

1299 343.5 1023265421

2002 6 5

10

23

41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5

350.0

1 1E01WAS9S02 1 0 343.0 1023265460

2002 6 5

10

24

20 0 1 0.0 200 4 1023265578 0 343.0 0 0 343.5

350.0

1 4E01WAS9S02 1 0 343.0 1023265578

2002 6 5

10

26

18 0 1 0.0 0 0 1023265578 0 0.0 0 0 343.5

350.0