|
HISTORICAL
FILES
All historical
files are ASCII,
the text limit being marked with "
the field separator is ;
and the decimal separator . |
Financial
futures contracts
| Zone |
Content |
Format |
Comment/type |
|
|
|
|
| 1 |
EXCHANGE |
C
5 |
exchange name: MATIF |
| 2 |
DATE_CL |
N
8 |
clearing day: YYYYMMDD |
| 3 |
CTRT |
C
3 |
contract code |
| 4 |
ISSUE |
C
9 |
maturity: YYYYMMXXX (XXX=>TRI,
MEN, ) |
| 5 |
RANK |
N
2 |
maturity rank |
| 6 |
FIRST_P |
N
11,4 |
first - Evening session |
| 7 |
MAX_P |
N
11,4 |
high - Evening session |
| 8 |
MIN_P |
N
11,4 |
low - Evening session |
| 9 |
LAST_P |
N
11,4 |
last - Evening session |
| 10 |
FIRST_D1 |
N
11,4 |
first - morning session |
| 11 |
MAX_D1 |
N
11,4 |
high - morning session |
| 12 |
MIN_D1 |
N
11,4 |
low - morning session |
| 13 |
LAST_D1 |
N
11,4 |
last - morning session |
| 14 |
FIRST_D2 |
N
11,4 |
first - day session |
| 15 |
MAX_D2 |
N
11,4 |
high - day session |
| 16 |
MIN_D2 |
N
11,4 |
low - day session |
| 17 |
LAST_D2 |
N
11,4 |
last - day session |
| 18 |
MAX |
N
11,4 |
high - clearing day |
| 19 |
MIN |
N
11,4 |
low - clearing day |
| 20 |
SETTLEMENT |
N
11,4 |
settlement price |
| 21 |
VOLUME |
N
8 |
volume - current clearing day
|
| 22 |
VOLUME_P |
N
8 |
volume - previous clearing
day |
| 23 |
VOLUME_D |
N
8 |
volume - main session |
| 24 |
Net_ OI |
N
8 |
Net open interest |
| 25 |
Gross_ OI |
N
8 |
Gross open interest |
Net OI and Gross
OI
For one member, they are two clients
:
- First Client : 10 long and 20 short
- Second client : 50 long and 30 short
Net Open Interest : 10 long
Gross Open interest : 10 short and 20 long
|
- C=character and N=numerical
- TRI=quarterly and
MEN=monthly
Financial
options contracts
| Zone |
Content |
Format |
Comment/type |
|
|
|
|
| 1 |
EXCHANGE |
C
5 |
exchange name: MATIF |
| 2 |
DATE_CL |
N
8 |
clearing day: YYYYMMDD |
| 3 |
CTRT |
C
3 |
contract code |
| 4 |
ISSUE |
C
9 |
maturity: YYYYMMXXX (XXX=>TRI,
MEN) |
| 5 |
RANK |
N
2 |
maturity rank |
| 6 |
SETTLEMENT_VOLATILITY |
N
11,4 |
settlement volatility |
| 7 |
VOLUME |
N
8 |
total volume |
| 8 |
OI |
N
8 |
open interest |
- C=character and N=numerical
- TRI=quarterly and
MEN=monthly
Commodity
futures contracts
| Zone |
Content |
Format |
Comment/type |
|
|
|
|
| 1 |
EXCHANGE |
C
5 |
exchange name: MATIF |
| 2 |
DATE_CL |
N
8 |
clearing day: YYYYMMDD |
| 3 |
CTRT |
C
3 |
contract code |
| 4 |
ISSUE |
C
6 |
maturity: YYYYMM |
| 5 |
FIRST |
N
11,4 |
first |
| 6 |
MAX |
N
11,4 |
high |
| 7 |
MIN |
N
11,4 |
low |
| 8 |
SETTLEMENT_EURO |
N
11,4 |
settlement price |
| 9 |
VOLUME |
N
8 |
volume - current clearing day
|
| 10 |
OI |
N
8 |
open interest |
TIMES &
SALES
TXT format
Field separator tab
Decimal separator .
The first line of the file contains the
description of the file |
| Zone |
Content |
Comment/type |
| 1 |
CLEARING_ DAY
|
24/4/01 00:00:00 |
| 2 |
CONTRACT |
FCE |
| 3 |
ISSUE |
20010401 |
| 4 |
TRADING_DATE &
TIMES |
23/4/01 11:35:00 |
| 5 |
TRADED_PRICES
|
5405.00 |
| 6 |
TRADED_CONTRACTS
|
40.00 |
TICK BY TICK
FILES
All tick by tick files are
ASCII,
the text limit being marked with "
the field separator is ;
and the decimal separator .
The first line of the file contains the
description of the file |
| Zone |
Content |
Format |
Comment/type |
| 1 |
CTRT |
C 3 |
contract code
|
| 2 |
SESSION |
C 3 |
GLO, GLD, NSC
|
| 3 |
TRADING_DATE |
C 8 |
trading day:
YYYYMMDD |
| 4 |
TRADING_TIME |
C 9 |
trading time:
HHMMSSD |
| 5 |
ISSUE |
C6 |
maturity: YYYYMM
|
| 6 |
RANK |
N 2 |
maturity rank
|
| 7 |
PRICE |
N 11,4 |
Traded price |
| 8 |
VOLUME |
N 8 |
Traded volume
|
| 9 |
DATE_CL |
N 8 |
clearing day:
YYYYMMDD |
- clearing day=evening session
(GLO) + morning session (GLD) + day session (NSC)
- main session=morning session
(GLD) + day session (NSC)
|
