Schemas & data dictionary
The data formats Optiom supports, from full order book to daily bars — each with its complete list of fields.
Terminology
What's a schema?
A schema is the data format (record layout) of a dataset. Each schema captures a different view of the market — from every individual order (L3) down to aggregated bars (L0) — and exposes a fixed set of fields you can query over API or export to CSV.
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.