List of columns per Dataset

Each dataset has a list of field detailled below. When importing the dataset in your favorite langage, you may load this dataset into a table or dataframe and fields may be called columns.

Flag is very important if you want to do backtesting

• Field qty is negative if the updated level is on the bid side of the book, positive if the updated level is on the ask side.

• Flag p stands for Partial, it indicates that the price update refer to the initial snapshot of the book.

• flag u stands for Update, meaning that the price level of the book is updated to the quantity found in the qty field.

• flag d stands for Delete, meaning that the price level of the book is deleted (does not exist anymore). The qty field will be either 1 or -1, to indicate which side of the book must be deleted.

• The trade price (execution price) provided by exchanges correspond to the price closest to best bid (resp. best offer), in case when trade matches several book levels.
• The quantity is positive when the trade matches with orders at the ask side of the book, negative otherwise.
• The flag indicates the execution type, and is exchange dependent, see exchange documentation.