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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.
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