Futures Trade Data File Format
The column headings for the Futures Trade Data are described below. The same file format is also used for Futures Trade Detail. Note that fields not applicable to a given Exchange or trade will be blank.
Note for TAS Trades:
TAS trades are always flagged with Y in the TAS Trade column. Prior to 5:00 p.m. ET on the day of the trade, TAS trades will show up on the Trade Data file with their TAS symbol (i.e.: VXT).
After 5:00 p.m. ET on Trade Data File and also on the Monthly Billing Trade Detail file, TAS trades will be shown with their corresponding root symbol (i.e.: VX) and their final price which is calculated from the root symbol’s settlement price +/- the TAS trade price. The trade record will now also show columns for Original Price and Original Size which show the values from the original TAS trade. The columns Executing Firm OCC ID and Reg Fee will be populated only after 5:00 p.m. ET for TAS trades.
| Column Position | Column Header | Sample Value | Description | Prior Trade Date Only |
|---|---|---|---|---|
| 1 | Trade Day | 5/23/2018 | Calendar day of the trade | |
| 2 | Trade Time | 09:30:01.190456715 | Matching Engine time of the trade | |
| 3 | Sending Firm | CBOE | Four character firm ID of the port owner | |
| 4 | SessionId | 0044 | Four character sub ID of the port | |
| 5 | Executing Firm Id | ABCD | EFID used by the executing customer | |
| 6 | Clearing Account | CFB | Clearing account provided by the customer | |
| 7 | Client Order Id | 123456789 | Client Order Id provided by the customer | |
| 8 | Cboe Order Id | W5FYFLTRXGDC | Order Id assigned by Cboe | |
| 9 | Execution Id | 0W9W00002 | Execution ID assigned by Cboe | |
| 10 | Symbol | 0002Jh | Cboe-generated instrument ID | |
| 11 | Futures Root | VX | Root symbol of the Product | |
| 12 | Expiration Date | 6/20/2018 | Expiration Date of the Futures/Options Contract | |
| 13 | Side | B | "B" or "S" | |
| 14 | Price | 25.1900 | Execution Price | |
| 15 | Original Price | -0.01 | Original Execution Price (TAS) | Y |
| 16 | Size | 50 | Number of Contracts traded | |
| 17 | Original Size | 50 | Original number of Contracts traded (TAS) | Y |
| 18 | Capacity | Customer | Capacity of the order | |
| 19 | Liquidity | Added | Trade Liquidity Indicator | |
| 20 | Access Fee | 11.7 | Transaction Fee for the Execution | |
| 21 | Cboe Subscriber Id | CBOE | Firm ID of the Executing Firm | |
| 22 | Contra | Not used by CFE. Will be blank. | ||
| 23 | Contra Capacity | Not used by CFE. Will be blank. | ||
| 24 | Subliquidity | The subliquidity of the execution. A full list of subliquidity values can be found in the Cboe Titanium Cboe Futures Exchange FIX Specification by referencing FIX Tag 9730. | ||
| 25 | Fee Code | XP | Fee Code for the Execution | |
| 26 | Orig Exec Id | 1101010YW | Execution ID of a Block/ECRP Trade that has been Replaced | |
| 27 | Account | 123456 | Account value provided by the customer | |
| 28 | CMTA | 123 | CMTA Number of the Firm Clearing the Trade | |
| 29 | Executing Firm OCC Id | 123 | OCC ID of Executing Firm | Y (For TAS Only) |
| 30 | Contra OCC Id | Not used by CFE. Will be blank. | ||
| 31 | CTI | 2 | CTI Code used for the trade | |
| 32 | Reg Fee | 0.04 | Regulatory Fee for the execution | Y (For TAS Only) |
| 33 | Day Trade Rebate | -0.45 | Day Trade Rebate amount for the execution | Y |
| 34 | Blk Trade | E | Block/ECRP Trade Indicator ("B", "E", or "N") | |
| 35 | Gross Blk Qty | 200 | Block Trade Quantity | |
| 36 | Gross Blk Fee | 200 | Block Trade Fee | |
| 37 | TAS Trade | Y | TAS Trade Indicator ("Y" or "N") | |
| 38 | Trading Date | 5/1/2024 | Business Date of trade | |
| 39 | Operator ID | JSMITH | Identifies the Order Entry Operator ID | |
| 40 | Frequent Trader ID | CFE123 | Frequent Trader ID | |
| 41 | CustOrderHandlingInst | W | Execution source code provided during order entry to describe broker service. | |
| 42 | country_code | GB | The Country of origin for the order or quote formatted using the ISO 3166 two-character code. Populated by TPH via FIX (FIX Tag 142) or BOEv3 CountryCode field. | |
| 43 | Product Type | future | Possible values are "future" or "option" | |
| 44 | Symbol Name | Option: UX1A/K4 C2000 Future: VX/K4 | Options or futures long form symbol name | |
| 45 | Underlying Expiration Date | 5/22/2024 | Expiration date of underlying futures contract for options symbols (blank for futures). | |
| 46 | C/P | Call | Options call or put designation (blank for futures) | |
| 47 | Strike Price | 45 | Options series strike price (blank for futures). |