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Obtaining Daily data
All files are transmitted compressed in a single .ZIP file
expandable by using the PKUNZIP.EXE utility. The name of file
is YYYYMMDD.ZIP
Once it is decompressed, the following files are generated:
DM.TXT
General trading data
OG.TXT
Session trades
PT.TXT
Arrays of theoretical prices for margins calculation.
PAPAPER.TXT
Open positions distribution per opening price.
PAPRECIO.TXT
Open positions distribution per last settlement price.
TIPOINT.TXT
Interest rate used for calculations.
DELTA.TXT
Arrays of deltas for margins calculation.
The following criteria are used:
- 1. Fields are comma-separated (e.g.: 23,45,6,122,15)
- 2. Text fields are enclosed in double quotation marks
(e.g.: "M1","OS96)
- 3. Numeric fields use a decimal point (e.g.:
22.1,115.01)
- 4. Date fields in format dd/mm/yy (e.g.: 31/12/96)
- 5. Time fields in format hh:mm:ss and enclosed in
double quotation marks (e.g.:. "12:00:00")
The description of files is shown below. The contract codes are
available in this
file.
GENERAL TRADING DATA (DM.TXT)
| FIELD |
TYPE |
LENGTH |
DESCRIPTION |
|
| 1 |
Date |
|
Date of session |
|
| 2 |
Text |
2 |
Market |
|
| 3 |
Text |
8 |
Contract |
|
| 4 |
Number |
|
High price |
|
| 5 |
Number |
|
Low price |
|
| 6 |
Number |
|
Close price |
|
| 7 |
Number |
|
Previous close price |
|
| 8 |
Number |
|
Volume traded |
|
| 9 |
Number |
|
Open interest |
|
| 10 |
Number |
|
Number of trades |
|
| 11 |
Number |
|
First operation price |
|
| 12 |
Number |
|
Last operation price |
|
| 13 |
Number |
|
Volatility |
|
Example:
28/06/96,"M1","AD96",9105,9100,9105,9083,807,12473,12,9100,9105,0.00
SESSION TRADES (OG.TXT)
| FIELD |
TYPE |
LENGTH |
DESCRIPTION |
| 1 |
Date |
|
Date of session |
| 2 |
Text |
2 |
Market |
| 3 |
Number |
|
Trade id |
| 4 |
Text |
8 |
Contract |
| 5 |
Hour |
|
Time of trade |
| 6 |
Number |
|
Price |
| 7 |
Number |
|
Volume |
| 8 |
Text |
1 |
Type of trade |
Example:
28/06/96,"M1",680811,"OS96","07:58:08",8961,50,"A"
In the document "Session Trades", the last field includes the
type of trade, and is abbreviated using the following criteria:
M - Exchange.
A - Ex-pit: Telephonic Trade Outside
Market.
H - Ex-pit: Telephonic Trade During Market.
V -
Expiry.
E - Exercise.
R - Spread Operation.
S -
Associated Spread Operation.
T - Administrative Transfers.
1
- Transfer to Global from Operation type "M".
2 - Transfer to
Global from Operation type "A".
3 - Transfer to Global from
Operation type "H".
4 - Transfer to Global from Operation type
"R".
5 - Transfer to Global from Operation type "S".
0 -
Transfer to Global from Operation type "T".
6 - Transfer to
Global from Operation type "M".
7 - Transfer to Global from
Operation type "A".
8 - Transfer to Global from Operation type
"H".
9 - Transfer to Global from Operation type "S".
Z -
Transfer to Global from Operation type "T".
ARRAY OF THEORETICAL PRICES
(PT.TXT)
| FIELD |
TYPE |
LENGTH |
DESCRIPTION |
| 1 |
Date |
|
Date of session |
| 2 |
Text |
2 |
Market |
| 3 |
Text |
8 |
Contract |
| 4 |
Text |
1 |
Buy (T) or Sell (D) |
| 5 |
Number |
|
Number of prices in array |
| 6...n |
Number |
|
Prices in array |
Example:
28/06/96,"M1","LS96","T",11,150,120,90,60,30,0,-30,-60,-90,-120,-150
Example:
28/06/96,"M1","D","AD96",9065,250
Example:
28/06/96,"M1","D","AD96",9083,12023
Example: 9.0
ARRAY OF THEORETICAL DELTAS
(DELTA.TXT)
| FIELD |
TYPE |
LENGTH |
DESCRIPTION |
| 1 |
Date |
|
Date of session |
| 2 |
Text |
2 |
Market |
| 3 |
Text |
8 |
Contract |
| 4 |
Text |
1 |
Long delta (T) or Short delta (D) |
| 5 |
Number |
|
Number of deltas in array |
| 6...n |
Number |
|
Deltas in array |
Example:
23/06/98,"M1","OS10950C","T",11,0.88,0.83,0.78,0.71,0.63,0.54,0.46,0.37,0.29,0.22,0.16
Access the
historical market data. |
