Transcript Slide 1

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 LSE
ColumnName
FORMAT
ColumnName
FORMAT
Order Code
CHAR(10)
Order Code
CHAR(10)
MarketSegmentCode
CHAR(4)
OrderActionType
MarketSectorCode
CHAR(4)
TICode
CHAR(12)
ColumnName
FORMAT
CHAR(1)
MessageSequenceNum
ber
INTEGER(10)
MatchingOrder Code
CHAR(10)
TICode
CHAR(12)
DATE(YYYY-MMDD)
MarketSegmentCode
CHAR(4)
TradeDate
CountryOfRegister
CHAR(2)
CountryOfRegister
CHAR(2)
CurrencyCode
CHAR(3)
TradeTime
TIME(HH:MI:SS)
CurrencyCode
CHAR(3)
ParticipantCode
CHAR(11)
TradeSize
DECIMAL(8)
TradeCode
CHAR(10)
BuySellInd
CHAR(1)
TradeCode
CHAR(10)
TradePrice
DECIMAL(18,8)
MarketMechanismGrou
p
TICode
CHAR(12)
TradeSize
DECIMAL(12)
CHAR(1)
CurrencyCode
CHAR(3)
MarketMechanismType
CHAR(2)
TradeDate
DATE(YYYY-MMDD)
Price
DECIMAL(18,8)
TradeTime
TIME(HH:MI:SS)
AggregateSize
DECIMAL(12)
BroadcastUpdateAction
CHAR(1)
SingleFillInd
CHAR(1)
TradeTypeInd
CHAR(2)
BroadcastUpdateAction
CHAR(1)
TradeTimeInd
CHAR(1)
DATE(YYYY-MMDD)
BargainConditions
CHAR(1)
DateOfPreparation
TimeOfPreparation
MessageSequenceNum
ber
CountryOfRegister
CHAR(2)
MarketSegmentCode
CHAR(4)
AggregateSize
DECIMAL(12)
BuySellInd
CHAR(1)
MarketMechanismType
CHAR(2)
MessageSequenceNum
ber
INTEGER(10)
ConvertedPriceInd
CHAR(1)
TIME(HH:MI:SS)
ReceivedDate
DATE(YYYY-MMDD)
PublicationDate
DATE(YYYY-MMDD)
INTEGER(10)
ReceivedTime
TIME(HH:MI:SS)
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
Cou
ntry
OfR
egis
ter
Curr
ency
Cod
e
P
ar
ti
ci
p
a
nt
C
o
d
e
GB0008123571
GB
GBX
0
B
O
LO
65.5
FS10
GB0000044551
GB
GBX
0
B
O
LO
SET1
FT10
GB0008034141
GB
GBX
0
B
O
E01YIQFL02
SET1
FS10
GB0001540045
GB
GBX
0
S
B01UYLGW02
SET1
FS10
GB0031435265
GB
GBX
0
E01YJLGC02
SET1
FT10
GB0008034141
GB
GBX
E01YDU6V02
SET1
FS10
GB0000444736
GB
800YPYTV02
SET1
FT10
GB0008021650
F01Y5EQ402
SET1
FS10
E01YFK8D02
SET1
FS10
Ma
rke
tM
ec
ha
nis
mT
yp
e
Price
Aggre
gateSi
ze
Sin
gleF
illIn
d
Br
oa
dc
ast
Up
dat
eA
cti
on
9900
N
727.5
2900
LO
464
O
LO
B
O
0
B
GBX
0
GB
GBX
GB0007547838
GB
GB0007308355
GB
Marke
tSeg
ment
Code
Mark
etSec
torCo
de
TICode
800YT3LQ02
SET2
FE25
D02267G202
SET1
701XH1PP02
Order Code
Bu
yS
ellI
nd
Ma
rke
tM
ec
ha
nis
m
Gr
ou
p
DateOfPrep
aration
TimeOfPr
eparation
Messag
eSeque
nceNu
mber
A
2002-06-26
09:29:53
72847
N
A
2002-06-26
08:26:11
18533
15000
N
A
2002-06-26
08:55:29
43369
473
1728
N
A
2002-06-26
11:58:26
184659
LO
1035
250
N
A
2002-06-27
11:58:19
140456
O
LO
471
1000
N
A
2002-06-26
14:41:59
270143
B
O
LO
243
25000
N
A
2002-06-25
13:26:36
182425
0
B
O
LO
158.25
900
N
A
2002-06-25
14:51:41
232725
GBX
0
S
O
LO
1816
195
N
A
2002-06-27
15:40:26
315226
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
Order Code
Order
Action
Type
Matching
Order Code
Trad
e
Size
Trade code
TI Code
Co
unt
ry
of
Re
gis
ter
Curr
ency
Cod
e
Mark
et
segm
ent
code
Aggre
gate
Size
Bu
y
Sell
Ind
Mark
et
Mec
hanis
m
Type
Messa
ge
Seque
nce
Numbe
r
Received
Date
Receive
d 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
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 ...
Esempio di Trade Reports
MessageS
equenceN
umber
TICode
Marke
tSeg
ment
Code
Cou
ntry
OfRe
giste
r
Curr
ency
Cod
e
TradeCode
TradePrice
TradeSize
TradeDate
TradeTim
e
Broadcast
UpdateAct
ion
Trad
eTyp
eInd
Tr
a
d
e
Ti
m
eI
n
d
B
a
r
g
ai
n
C
o
n
di
ti
o
n
s
C
o
n
v
e
rt
e
d
P
ri
c
eI
n
d
PublicationD
ate
Publicatio
nTime
101810
GB00087541
36
SET
2
GB
GB
X
B01UOSXX
02
361.5
4000
2002-0624
14:52:1
0
E
AT
N
N
N
2002-0624
14:52:1
0
65285
GB00087061
28
SET
1
GB
GB
X
10218V2P0
2
634.099
98
330
2002-0626
10:59:5
7
A
O
N
N
N
2002-0626
11:00:1
6
39696
GB00017347
47
SET
1
GB
GB
X
20244Q380
2
316.316
01
100000
2002-0627
10:23:5
4
A
O
N
N
N
2002-0627
10:24:3
4
125823
GB00088470
96
SET
1
GB
GB
X
800YY1GG
02
237
7333
2002-0627
15:10:5
9
E
AT
N
N
N
2002-0627
15:10:5
9
149869
GB00011144
11
SET
1
GB
GB
X
901XO52V0
2
627.5
1272
2002-0624
16:35:1
1
E
UT
N
N
N
2002-0624
16:35:1
1
5113
GB00080341
41
SET
1
GB
GB
X
B01ULMJP
02
478.5
6941
2002-0624
08:24:3
5
E
AT
N
N
N
2002-0624
08:24:3
5
132311
GB00028758
04
SET
1
GB
GB
X
701XHZRT0
2
709.5
13193
2002-0626
14:58:5
5
E
AT
N
N
N
2002-0626
14:58:5
5
131894
GB00071921
06
SET
1
GB
GB
X
E01YJN2C0
2
86.25
34000
2002-0626
14:58:0
3
E
AT
N
N
N
2002-0626
14:58:0
3
179824
GB00075478
38
SET
1
GB
GB
X
E01YKJXK0
2
1807
1200
2002-0626
16:26:5
4
E
AT
N
N
N
2002-0626
16:26:5
4
144595
GB00078396
98
SET
1
GB
GB
X
F01YANHU
02
603.5
899
2002-0628
16:08:3
8
E
AT
N
N
N
2002-0628
16:08:3
8
The trade report file contains details of every automatic and manual trade that has
taken place, except for trades that have not been published.
Pre-processing dati del London Stock Exchange
OD
OH
3 files contenenti tutti gli stocks
TD
size~ -15%
Temp
Temp
Temp
Temp
FileFileFileFile
size~ +30%
FlatFlatFlatFlat
FileFileFileFile
1 file per stock contenente tutti gli “eventi”
Preprocessing: calcolo di best
bid e best offer, ricerca dei
matching orders...
1 file per stock contenente tutti gli “eventi”
in formato “Santa Fe-like”
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 Code
4. Buy /sell code
1 = Buy
2 = Sell
5. Trade size
The number of shares that trades hands. Not applicable in the case
of
incoming orders.
6. Limit price
7. 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)
1
1
1
1
1
1
1
0.0
343.5
343.5
343.5
343.5
343.5
343.5
2300
1300
0
1
0
0
1000
3
0
0
0
0
0
0
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
1023265679
0
1
1
1
1
1
1
341.0
0
343.5 701VLMAW02
341.0 C01YD1CA02
343.5 E01WARGE02
341.0 C01YD1CA02
343.5 C01YD1C902
341.0 C01YD1CA02
0
0
0
0
0
0
0
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 trade
17. Remaining size
18.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 second
25. Best offer price on previous second
Best
Offer
0
0
0
0
0
0
0
Best
Bid
41
41
41
41
41
41
41
Matchi
ng
Price
Matchi
ng
Order
Numbe
r
Agent
ID of M
O
23
23
23
23
23
23
23
Matchi
ng
LO
10
10
10
10
10
10
10
Ending
Time
5
5
5
5
5
5
5
Ending
History
Type
Second
Agent
Id
6
6
6
6
6
6
6
Trade
price
Remain
ing
Size
Minute
2002
2002
2002
2002
2002
2002
2002
Tick
size
Hour
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
Day
341.0
341.0
343.5
341.0
343.5
341.0
343.5
Year
0
1000
1000
1299
1299
1
1
Month
Epoch
Time
2
2
1
2
1
2
1
Trade
Price
1 C01YD1CA02
2 C01YD1CA02
3 701VLMAW02
2 C01YD1CA02
3 E01WARGE02
3 C01YD1CA02
2 C01YD1C902
Trade
size
1
1
1
1
1
1
1
Order
Code
Buy
Sell Ind
Order
type
History
type
Esempio di Flat File
343.5
343.5
343.5
343.5
343.5
343.5
343.5
350.0
350.0
350.0
350.0
350.0
350.0
350.0
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 Code
4. Buy /sell code
1 = Buy
2 = Sell
5. Trade size
The number of shares that trades hands. Not applicable in the case of
incoming orders.
6. Limit price
7. 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 trade
17. Remaining size
18.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 second
25. Best offer price on previous second
1
1
1
1
1
1
1
0.0
343.5
343.5
343.5
343.5
343.5
343.5
2300
1300
0
1
0
0
1000
3
0
0
0
0
0
0
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
1023265679
0
1
1
1
1
1
1
341.0
343.5
341.0
343.5
341.0
343.5
341.0
0
701VLMAW02
C01YD1CA02
E01WARGE02
C01YD1CA02
C01YD1C902
C01YD1CA02
0
0
0
0
0
0
0
Best
Offer
0
0
0
0
0
0
0
Best
Bid
41
41
41
41
41
41
41
Matchi
ng
Price
Matchi
ng
Order
Numbe
r
Agent
ID of M
O
23
23
23
23
23
23
23
Matchi
ng
LO
10
10
10
10
10
10
10
Ending
Time
5
5
5
5
5
5
5
Ending
History
Type
Second
Agent
Id
6
6
6
6
6
6
6
Trade
price
Remain
ing
Size
Minute
2002
2002
2002
2002
2002
2002
2002
Tick
size
Hour
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
1023265421
Day
341.0
341.0
343.5
341.0
343.5
341.0
343.5
Year
0
1000
1000
1299
1299
1
1
Month
2
2
1
2
1
2
1
Epoch
Time
C01YD1CA02
C01YD1CA02
701VLMAW02
C01YD1CA02
E01WARGE02
C01YD1CA02
C01YD1C902
Trade
Price
1
2
3
2
3
3
2
Trade
size
1
1
1
1
1
1
1
Order
Code
Buy
Sell Ind
Order
type
History
type
Esempio di Flat File
343.5
343.5
343.5
343.5
343.5
343.5
343.5
350.0
350.0
350.0
350.0
350.0
350.0
350.0
Esempio di Flat File
O
r
d
e
r
t
y
p
e
H
i
s
t
o
r
y
t
y
p
e
1
4
1
B
u
y
S
e
l
l
I
n
d
Tra
de
siz
e
Tra
de
Pric
e
Epoch
Time
Ye
ar
A01TJNXJ02
1
0
341.5
1023265419
1
C01YD1CA02
2
0
341.0
1
3
701VLMAW0
2
1
100
0
1
2
C01YD1C902
1
1
2
C01YD1CA02
1
2
1
H
o
u
r
M
i
n
u
t
e
S
e
c
o
n
d
A
g
e
n
t
I
d
T
i
c
k
s
i
z
e
Tra
de
pric
e
Re
ma
ini
ng
Siz
e
En
din
g
His
tor
y
Ty
pe
Ending
Time
Mat
chi
ng
LO
Matc
hing
Price
Matching
Order
Number
Ag
ent
ID
of
M
O
Bes
t
Bid
Bes
t
Off
er
0
1023265419
0
0.0
0
0
343.5
350.0
230
0
3
1023265421
0
341.0
0
0
343.5
350.0
343.5
0
0
1023265421
1
341.0
C01YD1CA02
0
343.5
350.0
1
343.5
100
0
0
1023265679
1
341.0
C01YD1CA02
0
343.5
350.0
0
1
343.5
130
0
0
1023265421
1
343.5
701VLMAW02
0
343.5
350.0
4
1
0
1
343.5
1
0
1023265421
1
343.5
E01WARGE02
0
343.5
350.0
2
3
4
1
0
1
343.5
0
0
1023265421
1
343.5
C01YD1C902
0
343.5
350.0
1
0
2
3
4
1
0
1
343.5
0
0
1023265421
1
341.0
C01YD1CA02
0
343.5
350.0
5
1
0
2
4
2
0
0
1
0.0
200
4
1023265578
0
343.0
0
0
343.5
350.0
5
1
0
2
6
1
8
0
1
0.0
0
0
1023265578
0
0.0
0
0
343.5
350.0
M
o
n
t
h
D
a
y
200
2
6
5
1
0
2
3
3
9
0
1
0.0
0
1023265421
200
2
6
5
1
0
2
3
4
1
0
1
0.0
343.5
1023265421
200
2
6
5
1
0
2
3
4
1
0
1
1
343.5
1023265421
200
2
6
5
1
0
2
3
4
1
0
2
100
0
341.0
1023265421
200
2
6
5
1
0
2
3
4
1
C01YD1CA02
2
129
9
341.0
1023265421
200
2
6
5
1
0
2
3
3
C01YD1CA02
2
1
341.0
1023265421
200
2
6
5
1
0
1
3
E01WARGE0
2
1
129
9
343.5
1023265421
200
2
6
5
1
1
E01WAS9S0
2
1
0
343.0
1023265460
200
2
6
1
4
E01WAS9S0
2
1
0
343.0
1023265578
200
2
6
Order
Code