This page describes the Trades file, which contains the current trading day’s executions in all exchange listed instruments. The Trades file is refreshed throughout the trading day and contains the same information disseminated over Real-time Market Data (OCTP) feeds. Trade events are reported at the instrument level. As such calendar spread transactions appear as a single record with the EntryLegPriceNear field indicating the price of the cleared front leg. The back leg is calculated by adding the EntryLegPriceNear to the EntryPrice of the trade record.

Overview:

Access to Content

File CycleEach business day excluding holidays between 0800 and 1730 EST (Updated every 10 minutes)
File NameTRADES.YYYYMMDD.csv
ConnectivityThe public FTP server https://ftp.onechicago.com is accessible over general internet
File OverviewThe file is comma separated value (CSV) with column headers in the first row
File Locationhttps://ftp.onechicago.com/market_data/trade_history/

Field Names and Definitions

Field NameField TypeLengthDescription
MPSecIDint20

Exchange assigned instrument identifier.

Symbolstring6Exchange assigned listing symbol.
SecuritySubTypestring2

S = SSF
B = Block
E = EFP
BS = Block Calendar Spread
SS = Calendar Spread

MaturityDatestring8

YYYYMMDD

MaturityDateBackstring8

For spread instruments, field is populated with expiration date of back leg.

YYYYMMDD

EntryTypeint1

4 = Trade
5 = Trade Bust

EntryPricedoubledoubleThe executed trade price.
EntrySizedoubledoubleThe executed trade size (number of contracts).
ReferenceIDint15Exchange assigned identifier for referencing a specific trade event.
EntryRatedoubledouble

Applicable for SecuritySubType: S, E, BS, SS

The implied rate expressed as a decimal, derived at the time of the transaction.

Default value is 0 for non-applicable records.

TransactTimestring

UTC time of transaction.

YYYY-MM-DD HH:MM:SS.ssssss

NetChangePxdoubledouble

Applicable for SecuritySubType: S and B

Change in price based off of prior trading day’s settlement.

Default value is 0 for non-applicable records.

EntryLegPriceNeardoubledouble

Applicable for SecuritySubType: E, BS, and SS

The executed trade price of the near term leg.

Default value is 0 for non-applicable records.

Sample File

TRADES.20181018.csv