Field

Type (Format)

Description

Date

string (yyyymmdd)

Trading date in yyyymmdd format

Timestamp

string (HHMMSS.mmm)

Event timestamp in milliseconds

Excel Note: Excel displays incorrect timestamps unless the Timestamp column is imported as text.

CallPut

string

Option type (Call or Put) displayed as “C” or “P”

StrikePrice

decimal

Fixed price for buying or selling an option contract

ExpirationDate

string (yyyymmdd)

Expiration date of option contract in yyyymmdd format

EventType

string

Byte code. See “EventType” section for details

Side

string

B (Bid) or A (Ask) of the book. Empty field for trade events

Action

string

EventType and Side as text. See “Action” section for details

Price

decimal

Option contract pricing

Quantity

integer

Underlying asset quantity

Exchange

string

Exchange code. See “Exchanges” section for details

Conditions

string

Single letter for trade or quote condition

UnderBidPrice

decimal

The bid price of the underlying security

UnderAskPrice

decimal

The ask price of the underlying security

Exchange Code

Exchange Name

AM

AMEX

AR

ARCA

BA

BATS

BY

BATS_Y

BO

BOSTON

C2

C2

CB

CBOE

CS

CSE

EA

EDGA

EX

EDGX

FI

FINRA

IE

IEX

IS

ISE

IG

ISE_GEMINI

IM

ISE_MERCURY

LT

LTSE

MI

MIAX

MP

MIAX_PEARL

ME

MIAX_EMERALD

MS

MIAX_SAPPHIRE

MX

MEMX

NA

NASDAQ

NB

NASDAQ_BX

NP

NASDAQ_PSX

NS

NSE

NY

NYSE

OP

OPRA

SI

SIAC

TH

THOMSON

UN

UNKNOWN

Action

EventType

T

Trade

C

Trade Cancel

OI

OpenInterest

TI

TradeInterest

FQ

FirmQuote

NFQ

NonFirmQuote

R

Rotation

H

Halted

NQ

NoQuote

US

UnderlyingValueSale

UQ

UnderlyingValueQuote

I

Indicative Value

IN

Invalid

* NB

NBBO

Code

Type

Value

Description

Space Filled

Regular

Indicates that the transaction was a regular sale and was made without stated conditions.

A

CANC

Transaction previously reported (other than as the last or opening report for the particular option contract) is now to be canceled.

B

OSEQ

Transaction is being reported late and is out of sequence. (i.e., later transactions have been reported for the particular option contract)

C

CNCL

Transaction is the last reported for the particular option contract and is now canceled.

D

LATE

Transaction is being reported late, but is in the correct sequence. (i.e., no later transactions have been reported for the particular option contract)

E

CNCO

Transaction was the first one (opening) reported this day for the particular option contract. Although later transactions have been reported, this transaction is now to be canceled.

F

OPEN

Transaction is a late report of the opening trade and is out of sequence. (i.e., other transactions have been reported for the particular option contract)

G

CNOL

Transaction was the only one reported this day for the particular option contract and is now to be canceled.

H

OPNL

Transaction is a late report of the opening trade, but is in the correct sequence. (i.e., no other transactions have been reported for the particular option contract)

I

AUTO

Transaction was executed electronically. Prefix appears solely for information; process as a regular transaction.

J

REOP

Transaction is a reopening of an option contract in which trading has been previously halted. Prefix appears solely for information; process as a regular transaction.

S

ISOI

Transaction was the execution of an order identified as an Intermarket Sweep Order. Process like normal transaction.

a

SLAN

Single Leg Auction Non-ISO

Transaction was the execution of an electronic order which was stopped at a price and traded in a two-sided auction mechanism that goes through an exposure period. Such auction mechanisms include and are not limited to price improvement, facilitation, or solicitation mechanism.

b

SLAI

Single Leg Auction ISO

Transaction was the execution of an Intermarket Sweep electronic order which was stopped at a price and traded in a two-sided auction mechanism that goes through an exposure period. Such auction mechanisms include and are not limited to price improvement facilitation or solicitation mechanisms marked as ISO.

c

SLCN

Single Leg Cross Non-ISO

Transaction was the execution of an electronic order which was stopped at a price and traded in a two-sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and are not limited to Customer to Customer Cross and QCC with a single option leg.

d

SCLI

Single Leg Cross ISO

Transaction was the execution of an Intermarket Sweep electronic order which was stopped at a price and traded in a two-sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and are not limited to Customer to Customer Cross.

e

SLFT

Single Leg Floor Trade

Transaction represents a non-electronic trade executed on a trading floor. Execution of paired and unpaired auctions and cross orders on an exchange floor are also included in this category.

f

MLET

Multi-Leg Auto-Electronic Trade

Transaction represents an electronic execution of a multi-leg order traded in a complex order book.

g

MLAT

Multi-Leg Auction

Transaction was the execution of an electronic multi-leg order which was “stopped” at a price and traded in a two-sided auction mechanism that goes through an exposure period in a complex order book. Such auction mechanisms include and are not limited to price improvement, facilitation or solicitation mechanism.

h

MLCT

Multi-Leg Cross

Transaction was the execution of an electronic multi-leg order which was stopped at a price and traded in a two-sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and are not limited to customer to customer cross and QCC with two or more options legs.

i

MLFT

Multi-Leg Floor Trade

Transaction represents a non-electronic multi-leg order trade executed against other multi-leg order(s) on a trading floor. Execution of paired and unpaired auctions and cross orders on an exchange floor are also included in this category.

j

MESL

Multi-Leg Auto-Electronic Trade against Single Leg(s)

Transaction represents an electronic execution of a multi-leg order traded against single-leg orders/quotes.

k

TLAT

Stock Options Auction

Transaction was the execution of an electronic multi-leg stock/options order which was stopped at a price and traded in a two-sided auction mechanism that goes through an exposure period in a complex order book. Such auction mechanisms include and are not limited to price improvement, facilitation or solicitation mechanism.

l

MASL

Multi-Leg Auction against Single Leg(s)

Transaction was the execution of an electronic multi-leg order which was stopped at a price and traded in a two-sided auction mechanism that goes through an exposure period and trades against single-leg orders/ quotes. Such auction mechanisms include and are not limited to price improvement, facilitation or solicitation mechanism.

m

MFSL

Multi-Leg Floor Trade against Single Leg(s)

Transaction represents a non-electronic multi-leg order trade executed on a trading floor against single-leg orders/quotes. Execution of paired and unpaired auctions on an exchange floor is also included in this category.

n

TLET

Stock Options Auto-Electronic Trade

Transaction represents an electronic execution of a multi-leg stock/options order traded in a complex order book.

o

TLCT

Stock Options Cross

Transaction was the execution of an electronic multi-leg stock/options order which was “stopped” at a price and traded in a two-sided crossing mechanism that does not go through an exposure period. Such crossing mechanisms include and are not limited to customer to customer cross.

p

TLFT

Stock Options Floor Trade

Transaction represents a non-electronic multi-leg order stock/options trade executed on a trading floor in a Complex order book. Execution of paired and unpaired auctions and cross orders on an exchange floor are also included in this category.

q

TESL

Stock Options Auto-Electronic Trade against Single Leg(s)

Transaction represents an electronic execution of a multi-leg stock/options order traded against single leg orders/quotes.

r

TASL

Stock Options Auction against Single Leg(s)

Transaction was the execution of an electronic multi-leg stock/options order which was stopped at a price and traded in a two-sided auction mechanism that goes through an exposure period and trades against single-leg orders/quotes. Such auction mechanisms include and are not limited to price improvement, facilitation, or solicitation mechanism.

s

TFSL

Stock Options Floor Trade against Single Leg(s)

Transaction represents a non-electronic multi-leg stock/options order trade executed on a trading floor against single-leg orders/quotes. Execution of paired and unpaired auctions on an exchange floor is also included in this category.

t

CBMO

Multi-Leg Floor Trade of Proprietary Products

Transaction represents the execution of a proprietary product non-electronic multi-leg order with at least 3 legs. The trade price may be outside the current NBBO.

u

MCTP

Multilateral

Compression Trade

of Proprietary

Products

Transaction represents an execution in a proprietary product done as part of a multilateral compression. Trades are executed outside of regular trading hours at prices derived from end of day markets. Trades do not update Open, High, Low, and Closing Prices.

v

EXHT

Extended Hours

Trade

Transaction represents a trade that was executed outside of regular market hours. Trades do not update Open, High, Low, and Closing Prices.

Code

Value

Description

Category H (Control)

A

Start of test cycle

transmitted to signal the start of the transmission of a

Test Cycle

B

End of test cycle

transmitted to signal the end of the transmission of a Test

Cycle message

C

Start of day

signals the start of normal data recipient processing of messages received over a line

D

Good morning

transmitted by a Participant to signal the beginning of

transaction processing by that Participant

E

Start of summary

transmitted by a Participant to signal the beginning of

transmission of one or more End of Day Summary messages by that Participant

F

End of summary

transmitted by a Participant to signal the end of

transmission of one or more End of Day Summary messages by that Participant

G

Early market close

transmitted by a Participant to signal that the

Participant originating the message is closing prior to normal market close time

H

End of transaction reporting

transmitted by a Participant to signify that the

Participant has terminated reporting of transactions

I

Good night

transmitted by a Participant to advise all data recipients that

there are no further messages of any type transmitted for the day by that Participant

J

End of day

signals the end of transmission of original data over the lines

K

Reset block sequence number

transmitted when the block sequence number requires resetting

L

Start of open interest

signals the beginning of transmission of a series of one

or more Open Interest messages

M

End of open interest

signals the end of transmission of a series of one or more

Open Interest messages

N

Line integrity

Generated automatically at intervals of approximately one minute to verify continued integrity of multicast transmission

P

Disaster recovery data center

disseminated from the Disaster Recovery site to signify that OPRA has switched processing from the Primary Data Center to the Disaster Recovery Center

Category k (Long Equity and Index Quote) and Category q (Short Equity and Index Quote)

Space

Regular trading

F

Non-firm quote

I

Indicative value

R

Rotation

T

Trading halted

A

Eligible for automatic execution

B

Bid contains customer trading interest

O

Offer contains customer trading interest

C

Both bid and offer contain customer trading interest

X

Offer side of quote not firm; bid side firm

Y

Bid side of quote not firm; offer side firm

Category Y (Underlying Value)

 Space

Index based on last sale

I

Index based on bid and offer

Bit Position

Description

0-3

Message type (integer 3-bit value). See Message Type Table

4

Set if the previous trade/quote canceled

5

Option type: 1 for call, 0 for put

6

Indicates NBBO

7

Indicates buy or sell side. Buy side if set and sell side otherwise

Value

Message

Value

 Message

0

Heartbeat (not in use)

6

Rotation

1

Trade

7

Halted

2

OpenInterest

8

NoQuote

3

TradeInterest

9

SessionEnd (not in use)

4

FirmQuote

10

UnderlyingValueSell

5

NonFirmQuote

11

UnderlyingValueQuote