Data Contracts
The following are the data contracts in the application.
Quote
A quote represents what the "market" is for a given listed security.Table A-1 shows the quote data contract.
| Field | Format | Description |
|---|---|---|
| Ticker | String | Primary exchange security identifier |
| Bid | Decimal | The price at which the publisher is willing to buy the security |
| Ask | Decimal | The price at which the publisher is willing to sell the security |
| Publisher | String | Identifier of publisher is willing to sell the security |
| Update Time | DateTime | Update time in GMT for the published quote |
Trade
A trade represents a commitment to buy or sell a set quantity of shares for a specific listed security by a specific publisher.Table A-2 shows the trade data contract.
| Field | Format | Description |
|---|---|---|
| Ticker | String | Primary exchange security identifier |
| Type | Character | B or S for Buy or Sell |
| Publisher | String | Identifier of publisher |
| Participant | String | Identifier of participant |
| Quoted price | Decimal | Price from original quote corresponding to either the bid price or the ask price when the trade is a sell or buy type, respectively |
| Quantity | Integer | Quantity of shares as part of the trade |
| Trade Time | DateTime | Time stamp in GMT of when the trade was requested using the exchange's clock as the master |
Execution
An execution represents a committed exchange of a security amongst market participants at a set price and quantity. An execution is generally provided as a result of a trade and to the Depository for position tracking. Table A-3 shows the execution data contract.
| Field | Format | Description |
|---|---|---|
| Trade | Trade Type | The corresponding trade |
| Settlement Date | DateTime | The expected settlement date |
Settlement
A settlement represents the final update, cash, and position, at settlement time(T+1 in our model), on an executed trade between market participants. Table A-4 shows the settlement data contract.
| Field | Format | Description |
|---|---|---|
| Execution | Execution Type | The corresponding execution type |
| Status | Enum | Indicator of settlement status: Cleared, Failed, DK (do not know) |
Position
A position represents a long or short (+/−) quantity that is registered in a specific market participant's account at the Depository. Positions are impacted by execution reports. Table A-5 shows the position data contract.
| Field | Format | Description |
|---|---|---|
| Ticker | String | Primary exchange security identifier |
| Participant | String | Identifier of participant |
| Quantity | Integer | Quantity of shares on an account for the market participant |
| Unsettled Quantity | Integer | Summary quantity of any unsettled trades |
| Unsettled Trades | Execution [] | List of unsettled trades encapsulated in execution type array |