Market Data Unfair Advantage Posting Status Robert 2016

CSV Format Specifications

This is a dynamic document, in that it is still evolving. New record types may be added in the future, and each user will not necessarily see each of the record types described herein. This format description and the actual format structures are copyrighted © property of CSI. The format and the details of the format are restricted to registered users who are granted a temporary license to use the format.

The following is an example of the CSI comma-separated values format:

00,ABC,1,23,19951228,4,19951227,19951227
01,DM,24,0,11789,52381,1286
02,DM,24,9603,6996,,7028,6962,6979,7000,11776,4839
02,DM,24,9606,7038,,7044,6996,7009,7030,11,288
02,DM,24,9609,7050,,7060,7030,7037,7058,2,108
02,DM,24,9612,7065,,7065,7065,7065,7086,0,1
01,DM,24,2,1151,38387
04,DM,24,9603,2,650,,,19,19,19,,28,1270,19,65
04,DM,24,9603,2,675,,,60,60,60,,0,114,60,67
04,DM,24,9603,2,700,,,161,142,157,,363,2416,157,70
01,DM,24,3,1331,34918
04,DM,24,9603,3,650,,,494,494,494,,0,4,494,65
04,DM,24,9603,3,700,,,156,136,136,,341,1678,136,70
03,OEX,5230,58626,58666,58415,58517,58626,2886
01,OEX,5230,2,32616,358954,,19951228
05,OEX,5230,9603,2,550,,332,316,332,,25,2047,316,55,19951228
05,OEX,5230,9603,2,560,,448,432,448,,250,1846,424,56,19951228
01,OEX,5230,3,32670,235343,,19951228
05,OEX,5230,9603,3,550,,4200,4200,4200,,0,25,4132,55,19951228
05,OEX,5230,9603,3,560,,3316,3316,3316,,0,523,3248,56,19951228
03,AAPL,5902,3208,3248,3156,3200,3224,2232
06,FMAGX,6018,8551,8815
00,ABC,1,23,19951228,4,19951227,19951227

Fields are comma-separated. Each record has a numeric record type in the first field, with 00 to 99 possible. The defined record types are described as follows:

Type 00. The file header and trailer records.
Field# 1 Portfolio identifier (alphanumeric).
Field# 2 File type flag. ‘1’ for daily.
Field# 3 Record count, including header and trailer records.
Field# 4 Today’s date in CCYYMMDD format.
Field# 5 Day number of week. 1=Monday, 2=Tuesday…7=Sunday.
Field# 6 Default volume date in CCYYMMDD format.
Field# 7 Default open interest date in CCYYMMDD format.

Type 01. Commodity/commodity option/stock option header record.
Field# 1 Symbol.
Field# 2 CSI commodity number.
Field# 3 Option type flag. 0=non-option, 2=put, 3=call.
Field# 4 Total volume.
Field# 5 Total open interest.
Field# 6 Total estimated volume.
Field# 7 Volume date, if different from default volume date.
Field# 8 Open interest date, if different from default open
interest date.

Type 02. Commodity future contract record.
Field# 1 Symbol.
Field# 2 CSI commodity number.
Field# 3 Delivery year and delivery month, in YYMM format.
Field# 4 Open1 price.
Field# 5 Open2 price.
Field# 6 High price.
Field# 7 Low price.
Field# 8 Settlement price.
Field# 9 Previous day settle price.
Field# 10 Volume, for date in associated Type 01.
Field# 11 Open interest, for date in associated Type 01.

Type 03. Stock price record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Open price.
Field# 4 High price.
Field# 5 Low price.
Field# 6 Last price.
Field# 7 Previous day last price.
Field# 8 Volume in 100’s of shares, for today’s date.

Type 04. Commodity option contract record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Delivery year and delivery month, in YYMM format.
Field# 4 Option type flag. 2 = put, 3 = call.
Field# 5 Strike price.
Field# 6 Open1 price.
Field# 7 Open2 price.
Field# 8 High price.
Field# 9 Low price.
Field# 10 Last price.
Field# 11 Previous day last price.
Field# 12 Volume, for date in associated Type 01.
Field# 13 Open interest, for date in associated Type 01.
Field# 14 Closing bid price.
Field# 15 Closing ask price.

Type 05. Stock option contract record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Delivery year and delivery month, in YYMM format.
Field# 4 Option type flag. 2 = put, 3 = call.
Field# 5 Strike price.
Field# 6 Open price.
Field# 7 High price.
Field# 8 Low price.
Field# 9 Last price.
Field# 10 Previous day last price.
Field# 11 Volume, for date in associated Type 01.
Field# 12 Open interest, for date in associated Type 01.
Field# 13 Closing bid price.
Field# 14 Closing ask price.

Type 06. Mutual fund record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Net asset value.
Field# 4 Asking price (NAV plus commission).

Type 07. Dividend/capital gain record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Ex-dividend date in CCYYMMDD format.
Field# 4 Dividend amount.
Field# 5 Capital gain amount.

Type 08. Stock split record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Ex-dividend date in CCYYMMDD format.
Field# 4 Number of new shares.
Field# 5 Number of old shares.

Type 09. Error correction record.
Field# 1 Date to be corrected in CCYYMMDD format.
Field# 2 Type of record to correct.
The remaining fields defined according to the record type.
NOTE: Commodity records will always show 0 or blank for previous close. Previous close can be ignored. Also, a correction for the previous day may show vol/OI as missing/0. Make sure to process the 09 records first, and then process the regular data records to overwrite these 0’s.

Type 10. Text message record.
Field# 1 Text message from CSI.

Type 11. Fact sheet modifications.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Function A = Add, D = Delete, M = Modify
Field# 4 Instrument Name.
Field# 5 Instrument Type ST=Stock, CM=Commodity, SO=StockOption,
CO=CommodityOption, CI=CommodityIndex,
SI=StockIndex, MU=MutualFund
Field# 6 Exchange Flag (per CSI fact sheet).
Field# 7 Conversion Factor

Conversion factors apply to “points” representation of prices, and not “decimal” representation.
+1 = division by 10
+2 = division by 100
+3 = division by 1,000
+4 = division by 10,000
+5 = division by 100,000
+6 = division by 1,000,000
0 = no modification
1 = value expressed in 8ths
2 = value expressed in 16ths
3 = value expressed in 32nds
4 = value expressed in 64ths
-5 = value expressed in 128ths
-6 = value expressed in 256ths
-7 = value expressed in 32nds and halves
-8 = value expressed in 32nds and quarters
-9 = value expressed in 64ths and halves or 64ths and quarters

Further explanation for –7,-8,-9 conversion factors:

These conversion factors were implemented to conform to the CBT method of displaying prices for certain instruments. The conversion factors –7 and –8 are functionally equivalent in that the same logic processes both. For conversion factor –7, the final digit in points representation will always be 0 or 5. For conversion factors –8 and -9, the final digit will always be 0,2,5 or 7.

Examples for conversion factors –7 and -8:

116060 means 116 and 6/32nds and 0 quarters of 32nds
True decimal value = 116.1875
116062 means 116 and 6/32nds and 1 quarter of 1/32nd
True decimal value = 116.1953125
116065 means 116 and 6/32nds and 2 quarters (one half) of 1/32nd
True decimal value=116.203125
116067 means 116 and 6/32nds and 3 quarters of 1/32nd
True decimal value=116.2109375

Examples for conversion factor –9:

116060 means 116 and 6/64ths and 0 quarters of 64ths
True decimal value = 116.09375
116062 means 116 and 6/64ths and 1 quarter of 1/64th
True decimal value = 116.0976563
116065 means 116 and 6/64ths and 2 quarters (one half)of 1/64th
True decimal value=116.1015625
116067 means 116 and 6/64th and 3 quarters of 1/64th
True decimal value=116.10546875

Field# 8 Old Symbol.
Field# 9 Reserved
Field# 10 (Pending) Start if known
Field# 11 (Pending) End if known
Field# 12 (Pending) Unique Identifier type
CUSIP – CUSIP
SEDOL – SEDOL
Field# 13 (Pending) Unique Identifier

Type 13. Delete a past day of data.
Field# 1 Date to be deleted in CCYYMMDD format.
Field# 2 Symbol.
Field# 3 CSI number.
Field# 4 Delivery year and delivery month, in YYMM format.
Field# 5 Option type flag. 0=non-option, 2=put, 3=call.
Field# 6 Strike price.

Type 15. CSI fact table entry.
Field# 1 Category (S = stock, C = commodity).
Field# 2 Option flag (O = option, N = not an option).
Field# 3 Action (M = Merge, D = Delete)
Field# 4 CSI number.
Field# 5 Symbol.
Field# 6 Exchange.
Field# 7 Name.
Field# 8 Conversion factor.
Field# 9 Unit of measure.
Field# 10 Contract size.
Field# 11 Value of one CSI point.
Field# 12 Trading months – 12 characters:
‘V’ = valid month.
‘I’ = invalid month.
‘S’ = switching month.
Field# 13 Last Trading Date.
Field# 14 Minimum Tick.
Field# 15 Branch Number.
Field# 16 Branch Date.
Field# 17 Second Symbol.
Field# 18 Unused.
Field# 19 Internal Proprietary Field.
Field# 20 Currency.
Field# 21 Start Date for commodity (includes branch history)

Type 16. CSI fact table footnote.
Field# 1 Category (S = stock, C = commodity).
Field# 2 Option flag (O = option, N = not an option).
Field# 3 CSI number.
Field# 4 Single line of text.
Repeat type 16 for multiple line footnote.

Type 21. Most active stocks.
Field# 1 Exchange.
Field# 2 Rank by volume.
Field# 3 Symbol.
Field# 4 CSI number.
Field# 5 Volume.
This type would appear for each of the n most active stocks.

Type 22. Stock exchange statistics.
Field# 1 Exchange.
Field# 2 Issues traded.
Field# 3 Advancing issues.
Field# 4 Declining issues.
Field# 5 Unchanged issues.
Field# 6 Total volume.
Field# 7 Advancing volume.
Field# 8 Declining volume.
Field# 9 Unchanged volume.
Field# 10 New 12-month highs.
Field# 11 New 12-month lows.

Type 23. Reserved.

Type 32. Commodity future contract record.
Same as type 02, with prices in decimal format.

Type 33. Stock price record.
Same as type 03, with prices in decimal format.

Type 34. Commodity option contract record.
Same as type 04, with prices in decimal format.

Type 35. Stock option contract record.
Same as type 05, with prices in decimal format.

Type 36. Mutual fund record.
Same as type 06, with prices in decimal format.

Type 37. Dividend/capital gain record.
Same as type 07, with dividends/capital gains in decimal format.

Type 38. Stock future header record.
Same fields as type 01

Type 39. Stock future contract record
Same fields as type 02

Type 40. Stock future contract record, decimal format
Same fields as type 32

Type 41.
Field #1 Csinum
Field #2 Symbol
Field #3 Shares Outstanding
Field #4 Market Capitalization

Type 42.
Field #1 Csinum
Field #2 Symbol
Field #3 Earnings Per Share TTM
Field #4 Price To Earnings TTM

Type 43.
Field #1 Csinum
Field #2 Symbol
Field #3 Dividend Per Share
Field #4 Dividend Yield

Type 50. Account information.
Field# 1 Balances/amount due/etc.

Historical data types.

Type 70. The history header and trailer records.
Field# 1 File type flag. ‘2’ for history.
Field# 2 Customer identifier (alphanumeric).
Field# 3 Creation date in YYMMDD format.
Field# 4 Creation time in HHMMSS format.
Field# 5 Record count, including header and trailer records.

Type 71. History Header Record.
Field# 1 Symbol.
Field# 2 CSI number.
Field# 3 Delivery Month.
Field# 4 Delivery Year.
Field# 5 Normal/Put/Call flag.
Field# 6 Strike Price.
Field# 7 Daily/Weekly/Monthly flag.
Field# 8 First date in file (CCYYMMDD format).
Field# 9 Last date in file (CCYYMMDD format).
Field# 10 Conversion factor.
Field# 11 Number of days in the file.

Type 72. Commodity record.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Open price.
Field# 3 High price.
Field# 4 Low price.
Field# 5 Closing price.
Field# 6 Contract volume.
Field# 7 Contract open interest.
Field# 8 Total volume.
Field# 9 Total open interest.

Type 73. Stock price record.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Open price.
Field# 3 High price.
Field# 4 Low price.
Field# 5 Closing price.
Field# 6 Volume.

Type 74. Commodity option record.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Open price.
Field# 3 High price.
Field# 4 Low price.
Field# 5 Closing price.
Field# 6 Closing bid price.
Field# 7 Closing ask price.
Field# 8 Contract volume.
Field# 9 Contract open interest.
Field# 10 Total volume.
Field# 11 Total open interest.

Type 75. Stock option record.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Open price.
Field# 3 High price.
Field# 4 Low price.
Field# 5 Closing price.
Field# 6 Closing bid price.
Field# 7 Closing ask price.
Field# 8 Contract volume.
Field# 9 Contract open interest.
Field# 10 Total volume.
Field# 11 Total open interest.

Type 76. Mutual fund record.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Net asset value.
Field# 3 Asking price (NAV plus commission).

Type 79. Catch all record type.
Field# 1 Date of data in CCYYMMDD format.
Field# 2 Open price.
Field# 3 High price.
Field# 4 Low price.
Field# 5 Closing price.
Field# 6 Contract volume.
Field# 7 Contract open interest.
Field# 8 Total volume.
Field# 9 Total open interest.

Type 82. Commodity record.
Same as type 72, with prices in decimal format.

Type 83. Stock price record.
Same as type 73, with prices in decimal format.

Type 84. Commodity option record.
Same as type 74, with prices in decimal format.

Type 85. Stock option record.
Same as type 75, with prices in decimal format.

Type 86. Mutual fund record.
Same as type 76, with prices in decimal format.

Type 87. Economic Data Record
Field# 1 CSI Number.
Field# 2 Data Value

Type 88. COT Data Record
Field# 1 CSI Number
Field# 2 DM Code (63 for Futures. 64 for Futures + Options.)
Field# 3 NonCommercial Long
Field# 4 NonCommercial Short
Field# 5 NonCommercial Spread
Field# 6 Commercial Long
Field# 7 Commercial Short
Field# 8 Total Reportable Long
Field# 9 Total Reportable Short
Field# 10 NonReportable Long
Field# 11 NonReportable Short
Field# 12 Producer Merchants Long
Field# 13 Producer Merchants Short
Field# 14 Swap Dealers Long
Field# 15 Swap Dealers Short
Field# 16 Swap Dealers Spread
Field# 17 Managed Money Long
Field# 18 Managed Money Short
Field# 19 Managed Money Spread
Field# 20 Other Long
Field# 21 Other Short
Field# 22 Other Spread

Type 97. Dividend/capital gain record.
Field# 1 Ex-dividend date in CCYYMMDD format.
Field# 2 Dividend amount.
Field# 3 Capital gain amount.

Type 98. Stock split record.
Field# 1 Ex-dividend date in CCYYMMDD format.
Field# 2 Number of new shares.
Field# 3 Number of old shares.

PERPETUAL CONTRACT/NEAREST FUTURE CONTRACT DELIVERY MONTH CODES

If the delivery code is between 37 and 61, inclusive, use the following table:

CSI Day of contract Include
Code Description roll forward switching months?
60 1st nearest future last trading day yes
59 1st nearest future 1st day of spot month yes
56 1st nearest future last trading day no
58 2nd nearest future last trading day no
57 3rd nearest future last trading day no
55 1st nearest future 1st day of spot month no
53 2nd nearest future 1st day of spot month no
52 3rd nearest future 1st day of spot month no

54 Current day cash
61 Previous day cash

38 2 month perpetual last trading day
39 3 month perpetual last trading day
41 4 month perpetual last trading day
42 5 month perpetual last trading day
37 6 month perpetual last trading day
43 7 month perpetual last trading day
44 8 month perpetual last trading day
45 9 month perpetual last trading day
47 11 month perpetual last trading day

49 3 month perpetual 10th of month preceding delivery
48 6 month perpetual 10th of month preceding delivery
46 3 month perpetual 10th of delivery month

51 Weighted average all delivery months, by open interest
40 6 month index index based on 6 month perpetual
50 3 month index index based on 3 month perpetual