Schemas & data dictionary
A reference dictionary for candidate Developer API datasets, separate from bounded Web Lite projections and internal Desktop transport.
Terminology
What's a schema?
A schema describes a possible licensed dataset record layout, from individual orders (L3) to aggregates (L0). This catalog does not grant access, promise availability or define a public endpoint. Developer access requires separate authentication, quotas, source and export rights, licensing and commercial terms.
Levels
- L3L3 — Full order book (market by order)
- L2L2 — Aggregated depth (market by price)
- L1L1 — Top of book & trades
- L0L0 — Aggregates & reference
- REFReference — Static & corporate data
Market by order(MBO)
Full order book data, including all buy and sell orders at every price level.
Imbalance
Auction imbalance data like paired quantity, total quantity, and auction status.
Market by price(MBP-10)
Aggregated book depth with every trade and book update at the top ten price levels.
Market by price(MBP-1)
Aggregated book depth with every trade and book update at the BBO.
BBO on trade(TBBO)
Every trade event alongside the BBO immediately before each trade.
BBO on interval(BBO)
Last best bid, best offer, and sale on 1-second or 1-minute intervals.
Trades
Every trade event, tick-by-tick.
Aggregate bars(OHLCV)
Open, high, low, close prices with volume in second, minute, hour, or daily intervals.
Instrument definitions
Properties like symbol, instrument name, expiration date, tick size, and strike price.
Statistics
Daily instrument statistics like open interest and official settlement prices.
Status
Trading session updates like halts, pauses, short-selling restrictions, and auction start.
Corporate actions
Corporate actions events with global coverage.
Adjustment factors
End-of-day price adjustment factors for capital events with global coverage.
Security master
Latest or point-in-time (PIT) static information on global market securities.