Overview
Here you will find the specifications for the downloadable Time&Sales files for individual stocks.
Time&Sales data contains only records of executed orders, also known as traded volume.
The data also contains executions for non-displayed orders (orders that are not present in the book),
also referred to as non-cross trades. There are the following formats available:
You might want to consult with the
Nasdaq's TotalView-ITCH 3.0 and
Nasdaq's TotalView-ITCH 4.0 specifications for the native data stream as well.
Description
Table files are designed to be more user friendly than other formats.
Column tables are padded with spaces to align the data vertically with headers.
The first row is always the header row.
An empty line is added at the end of the table to indicate the end of file.
Column Format
| Column |
Width |
Value |
Description |
| Timestamp |
8 |
Unsigned 32-bit |
Number of milliseconds after the midnight. |
| T |
1 |
Character |
Message type. Allowed values:
- "B" -- A "Buy" order was executed
- "S" -- A "Sell" order was executed
|
| Shares |
6 |
Unsigned 32-bit |
Indicates how many shares were actually traded. |
| Price |
10 |
Unsigned 32-bit |
Original order price. The last 4 digits are decimal digits.
The decimal portion is padded on the right with zeros.
The decimal point is implied by position; it does not appear inside the price field.
Divide by 10000 to convert into currency value. |
| MPID |
4 |
Text |
Market Participant ID associated with the transaction. |
Description
Character-separated-value (CSV) files are designed for importing to other applications, such as statistical packages.
Columns are separated by a special delimiter character. The default delimiter is ",".
The data is not padded with spaces for vertical alignment.
The first row is always the header row.
An empty line is added at the end of the table to indicate the end of file.
Column Format
The column format is the same as in the Table Format.
Description
XML files are designed for use in real time applications.
XML also contains information about the session date and requested stock.
Column tables are padded with spaces to align the data vertically with headers.
The first row is always the header row.
An empty line is added at the end of the table to indicate the end of file.
XML Format
| Element |
Description |
Attributes |
Contains |
| <session> |
Session information that contains session type, session date, stock ticker, and related records. |
date="string": session date in YYYYMMDD format
ticker="string": stock ticker string
type="TimeAndSales": session type, equals "TimeAndSales" string
|
Any number of <sales> elements |
| <sales> |
Time&Sales record that contains timestamp and order parameters. |
timestamp="unsigned 32-bit": number of milliseconds after the midnight
type="string": Original order type in string format. Allowed values:
- "buy-order" -- A "Buy" order was executed
- "sell-order" -- A "Sell" order was executed
|
The following mandatory elements:
|
| <price> |
Original order price. The last 4 digits are decimal digits.
The decimal portion is padded on the right with zeros.
The decimal point is implied by position; it does not appear inside the price field.
Divide by 10000 to convert into currency value. |
None |
Unsigned 32-bit |
| <quantity> |
Indicates how many shares were actually traded. |
None |
Unsigned 32-bit |
| <mpid> |
Market Participant ID associated with the transaction. |
None |
Text |
|