Market Data Unfair Advantage Posting Status Robert 2016

History Format#2 Specification

Stock files (.CSV)
One issue per file

Field 1: Date – multiple formats, generally YYYYMMDD
Field 2: Open (decimal)
Field 3: High (decimal)
Field 4: Low (decimal)
Field 5: Close (decimal)
Field 6: Volume in 100s of shares (integer)
Field 7: Dividend in 1/1000s of currency (integer)

Fund files (.CSV)
One issue per file

Field 1: Date – multiple formats, generally YYYYMMDD
Field 2: Net Asset Value (decimal)
Field 3: Net Asset Value + Load (if any) (decimal)
Field 4: Net Asset Value (decimal)
Field 5: Net Asset Value (decimal)
Field 6: Dividend in 1/1000s of currency (integer)
Field 7: Capital Gain in 1/1000s of currency (integer)

Futures files (.CSV)
One delivery month contract per file with the filename [symbol]\[symbol]_[DY][DM].csv where DY is the delivery year and DM is the delivery month.

Field 1: Trade Date as YYYYMMDD
Field 2: Open (decimal)
Field 3: High (decimal)
Field 4: Low (decimal)
Field 5: Close price. (decimal) (can be settlement or last depending on the CSI number)
Field 6: Contract Volume (integer)
Field 7: Contract Open Interest (integer)
Field 8: Total Volume for all contracts (integer)
Field 9: Total Open Interest for all contracts (integer)

Cash files (.CSV)
One cash file per future with the filename [symbol]\[symbol]_0000.csv.

Field 1: Trade Date as YYYYMMDD
Field 2: Cash Open (decimal)
Field 3: Cash High (decimal)
Field 4: Cash Low (decimal)
Field 5: Cash Close price. (decimal)
Field 6: Total Volume for all contracts (integer)
Field 7: Total Open Interest for all contracts (integer)
Field 8: Total Volume for all contracts (integer)
Field 9: Total Open Interest for all contracts (integer)

Dividend/Capital Gain files (.DIV)
One file per issue that has dividends or capital gains

Field 1: Ex Date – multiple formats, generally YYYYMMDD
Field 2: Dividend (decimal)
Field 3: Capital Gain (decimal)

Splits files (.SPT)
One file per issue that has splits

Field 1: Date – multiple formats, generally YYYYMMDD
Field 2: Number of new shares (integer)
Field 3: Number of old shares (integer)

SYMBOLS.CSV file

Field 1: CSI identification number
Field 2: Symbol as used in the filenames
Field 3: Symbol used by CSI
Field 4: Conversion Factor (to convert prices given in points to decimals)
Field 5: CSI Exchange/Group
Field 6: Stock Type
Field 7: Name

Options Header File
Filename format is W\WP.csv where W is the Market symbol and P is Put.

Field 1: Trade date
Field 2: Market symbol
Field 3: Put (P) or Call (C)
Field 4: Total volume for all strikes
Field 5: Total option interest for all strikes

Futures Options
Filename format is W\202107\P00850.csv where W is the Market symbol, 2021 is the delivery year, 07 is the delivery month, P is Put, and 00850 is the strike price.

Field 1: Trade date
Field 2: Market symbol
Field 3: Delivery month and year.
Field 4: Put (P) or Call (C)
Field 5: Strike price
Field 6: Open (Opens are not available prior to 7/1/2021)
Field 7: High
Field 8: Low
Field 9: Settle
Field 10: Volume
Field 11: Open Interest

Stock Options
Filename format is OEX\202107\P00850.csv where OEX is the Market symbol, 2021 is the delivery year, 07 is the delivery month, P is Put, and 00850 is the strike price.

Field 1: Trade Date
Field 2: Symbol
Field 3: Delivery month and year.
Field 4: Put (P) or Call (C)
Field 5: Strike price
Field 6: Bid
Field 7: Ask
Field 8: High
Field 9: Low
Field 10: Last
Field 11: Volume
Field 12: Open Interest