Old TickData File Format Overview Forex
Forex Trade and Quote Data File Format Document Version 4.1
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 1 of 7
1.0 Trade Data Sample 07/08/2013,16:00:00.113,1.28711,TDF,,LAX,1.28711 07/08/2013,16:00:00.269,1.28704,FXN,,NYC,1.28704 07/08/2013,16:00:00.269,1.28704,FXN,,,1.28704 07/08/2013,16:00:00.348,1.28706,SAXO,EUR,CPH,1.28706 07/08/2013,16:00:00.414,1.28708,GACI,NAM,NYC,1.28708 07/08/2013,16:00:01.031,1.28707,GACI,,,1.28707 07/08/2013,16:00:01.164,1.287,CCIB,ASI,LBU,1.287 07/08/2013,16:00:01.195,1.2871,GOSP,,SGP,1.2871 07/08/2013,16:00:01.250,1.28712,TDF,NAM,LAX,1.28712
File Layout Trade Data is provided as ASCII text files in .ASC format. Each record contains ten (10) comma-separated fields and is laid out as follows: Field Name Trade Date Trade Time
Type MM/DD/YYYY HH:MM:SS.000
Filtered Price
Number
Contributor Code Region Code City Code Price
Character Character Character Number
Description Date of Trade Time of Trade in milliseconds A suggested replacement trade price if Tick Data’s proprietary tick filtering algorithms suspect the reported trade price is in error. Feed Source – see Appendix A* Region where feed source is located – see Appendix B* City where feed source is located – see Appendix C* The ‘raw’, unfiltered reported trade price.
* The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010.
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 2 of 7
2.0 Quote Data Sample 07/08/2013,16:00:00.113,1.28711,1.2872,TDF,,LAX 07/08/2013,16:00:00.269,1.28704,1.28729,FXN,,NYC 07/08/2013,16:00:00.269,1.28704,1.28729,FXN,, 07/08/2013,16:00:00.348,1.28706,1.28726,SAXO,EUR,CPH 07/08/2013,16:00:00.414,1.28708,1.28725,GACI,NAM,NYC 07/08/2013,16:00:01.031,1.28707,1.28726,GACI,, 07/08/2013,16:00:01.164,1.287,1.2874,CCIB,ASI,LBU 07/08/2013,16:00:01.195,1.2871,1.28723,GOSP,,SGP 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,NAM,LAX 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.278,1.28708,1.28726,GACI,,NYC
File Layout Quote Data is provided as ASCII text files in .ASC format. Each record contains seven (7) comma-separated fields and is laid out as follows: Field Name Quote Date Quote Time Bid Price Ask Price Contributor Code Region Code City Code
Type MM/DD/YYYY HH:MM:SS.000 Number Number Character Character Character
Description Date of Quote Time of Quote in milliseconds Bid price Ask price Feed Source – see Appendix A* Region where feed source is located – see Appendix B* City where feed source is located – see Appendix C*
* The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010.
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 3 of 7
3.0 One-Minute Trade Data Sample 07/21/2013,16:01,1.31348,1.3137,1.3132,1.3133 07/21/2013,16:02,1.3135,1.3138,1.3135,1.3138 07/21/2013,16:03,1.3136,1.3136,1.3135,1.3135 07/21/2013,16:04,1.3135,1.3136,1.31348,1.31348 07/21/2013,16:05,1.31351,1.3136,1.3135,1.3136 07/21/2013,16:06,1.3135,1.3135,1.3135,1.3135 07/21/2013,16:07,1.3135,1.3136,1.3135,1.3136 07/21/2013,16:08,1.3135,1.3136,1.3135,1.3135 07/21/2013,16:09,1.3135,1.3135,1.3135,1.3135 07/21/2013,16:10,1.3135,1.3136,1.31346,1.31346 File Layout Quote Data is provided as ASCII text files in .ASC format, and is generated from the filtered tick Forex data. Each minute record contains seven (7) comma-separated fields and is laid out as follows: Field Name Date
Type MM/DD/YYYY
Time
HH:MM
Open
Number
High
Number
Low
Number
Close
Number
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Description Date of Minute Bar Time of Minute Bar. The minute time stamp reflects the interval from the start of the previous minute at :00 seconds to the end at :59 seconds. For example, the minute bar time stamp 09:26 reflects all trades from 09:25:00 to 09:25:59. Price of first trade within the minute bar. Up to seven decimal places. Highest trade price within the minute bar. Up to seven decimal places. Lowest trade price within the minute bar. Up to seven decimal places. Price of last trade within the minute bar. Up to seven decimal places.
Page 4 of 7
Appendix A – Contributor Codes The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010. Code
Description
Code
Description
AAAL
Saudi Hollandi Bank
DNBA
DnB NOR
ABCJ
Arab Banking Corp
DSBA
Dah Sing Bank
ADCB
Abu-Dhabi Commercial Bank
ECBF
European Central bank
AIBK
Allied Irish Bank, Dublin
EQX
Eqinox Composit
AKBK
Akbank
ESSE
SE Banken
AKM
Akmos Trade
FXD
FX Dealer Direct
ANZB
ANZ Bank
FXDC
FX Dealer Direct, New York
BARB
Bank of Baroda
FXN
Forex Capital Markets
BARC
Barclays Capital
GACI
Gain Capital
BBME
HSBC Bank Middle East
GEBA
Bank of Guyana
BCAN
Bank of Canada
GFT
Global Forex Trading
BCEB
Banco Central de Bolivia
GIBA
Erste Bank
BDEM
Banco de Mexico
GOSP
GK Goh Financial Services
BKMT
Bank Mellat
GUBA
Bank of Guyana
BMI
BMIL Ltd
GULF
Gulf International Bank
BMIS
Banque MISR
HBMB
HSBC (Malaysia)
BMJI
Bank Markazi Jomhouri Islami Iran
HBZU
Habib Bank
BMUS
Bank of Muscat
HFH
Hong Kong Forex Investment Ltd
BNA
Bank van de Nederlandse Antillen
HSBC
HSBC
BNBG
Bulgarian National Bank
IMFD
International Monetary Fund
BNMA
Bank Negara
LACB
Bank of Latvia
BNPA
BNP Paribas
LFH
Lee Fung Hong, Hong Kong
BPBI
Bulgarian Post Bank
LIAB
Bank of Lithuania
BPIM
Bank of Philipines Islands, Makati City
MANE
Magyar Nemzeti Bank, Budapest
BRAS
Banco do Brasil
MASH
Mashreq Bank
BSAR
Audi Saradar Private Banking Corp
MEC
Mecklai Financial Services
BSFR
Banque Saudi Fransi
MLJ
Makhan Lal Jalan & Co
BSUI
Calyon
NBHK
Norges Bank
CCIB
City Credit Investment
NBHR
Croatian National Bank
CCM
Cougar Capital Management
NBOB
National Bank Bahrain
CMC
Currency Management Corp
NBPL
Narodowy Bank Polski
CNB
Czech National Bank
NDEA
Nordea Bank
COMM
Bank of Communications
NTM
Nittan Capital Bank
DABA
Danske Bank
ODSE
ODL Securities
DCFX
Divisa
OIBB
Oman International Bank
DEBP
Development Bank of Philippines
OKOY
Pohjola Bank
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 5 of 7
Code
PFG
Description OTCD Editorial team - This source takes data from a variety of sources who do not want to be identified, and some FX rates where the two currencies are fixed against each other. OTC Data Services Editorial Team Calculated Averages - These quotes are generated by a program that loops through all banks for a given combination, and looks for banks that have updated recently. The mid-point of each of these rates is taken - with the high and low rate thrown out if there are at least 5 banks, and computes an average. For the spot, it then spreads these rates to get a bid and ask. OTCD Editorial team calculated cross rates - The cross rate calculation is a simple calculation that is performed on a timed basis, using the most recent contributor for the underlying rates to generate the cross rate. For example, to calculate the EUR/ARS rate, the most recent USD/ARS rate and the most recent EUR/USD rate will be taken, and the appropriate calculation will be performed. PFG Forex
RADA
Rada Forex
RIBL
Riyad Bank
RTG
Realtime Forex
OTCD
OTCV
OTCX
Code
Description
RZBA
Raiffeisen Bank
SAMB
Samba Financial Group
SAXO
Saxo Bank
SBIN
State Bank of India
SCBL
Standard Chartered
SGSB
Raiffeisen Bank (Albania)
SHKE
Sun Hung Kai Forex & Bullion
SISL
Central Bank of Iceland
SNB
National Bank of Serbia
STT
Sasithorn Bank
TAIP
Taipei Forex
TDF
3Dfx
TGBA
Turkiye Garanti Banka
TRK
Hi Trak
TUBD
Trinkaus
UBSW
UBS Investment Bank
UNI
Unicredfit Tirac Bank
USF
United Simsen Forex Dealers Ltd, HK
WBAN
San Paolo IMI, Bucharest
WDX
WDX
WELA
WestLB, Frankfurt
ZKBK
Kantonal Bank
Appendix B – Region Codes The listed codes are subject to change. Code ASI EUR GLO NAM
Description Asia-Pacific Europe, Middle East & Africa (EMEA) Global Americas
Appendix C – City Codes The listed codes are subject to change. Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 6 of 7
Code
Description
Code
Description
Code
Description
AKL
Auckland
LDN
London
YOW
Ottawa
AMM
Amman
LPB
La Paz
ZAG
Zagreb
BAH
Bahrain
MAA
Chennai
ZUR
Zurich
BBK
Bangkok
MCT
Muscat
BEG
Belgrade
MEL
Melbourne
BEI
Beirut
MEX
Mexico City
BEL
Belgrade
MIA
Miami
BKK
Bangkok
MIC
Michigan
BOM
Mumbai
MOW
Moscow
BRT
Bratislava
NYC
New York
BRU
Brussels
OSL
Oslo
BSB
Brasilia
PAR
Paris
BUD
Budapest
PEK
Beijing
BUH
Bucharest
PNG
Papua New Guinea
CAI
Cairo
PRG
Prague
CCA
Kolkata
REK
Reykjavik
CHI
Chicago
RIX
Riga
CPH
Copenhagen
RYD
Riyadh
CUR
Curacao
SGN
Ho Chi Minh City
DOH
Doha
SGP
Singapore
DUB
Dublin
SHA
Shanghai
DUS
Dusseldorf
SJV
Sarajevo
DXB
Dubai
SOF
Sofia
EDI
Edinburgh
SOL
Seoul
EVN
Yerevan
STK
Stockholm
FFT
Frankfurt
STR
Stuttgart
GEO
George Town
SUV
Suva, Fiji
GVA
Geneva
SYD
Sydney
HAV
Havana
TEH
Tehran
HEL
Helsinki
TIR
Tirana
HKG
Hong Kong
TLL
Tallinn
IST
Istanbul
TOR
Toronto
JKT
Jakarta
TPE
Taipei
JNB
Johannesburg
TYO
Tokyo
JRS
Jerusalem
UTR
Utrecht
KHI
Karachi
VIE
Vienna
KUL
Kuala Lumpur
VNO
Vilnius
KWI
Kuwait
WAS
Washington
LAX
Los Angeles
WAW
Warsaw
LBU
Labuan
WLG
Wellington
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 7 of 7
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 1 of 7
1.0 Trade Data Sample 07/08/2013,16:00:00.113,1.28711,TDF,,LAX,1.28711 07/08/2013,16:00:00.269,1.28704,FXN,,NYC,1.28704 07/08/2013,16:00:00.269,1.28704,FXN,,,1.28704 07/08/2013,16:00:00.348,1.28706,SAXO,EUR,CPH,1.28706 07/08/2013,16:00:00.414,1.28708,GACI,NAM,NYC,1.28708 07/08/2013,16:00:01.031,1.28707,GACI,,,1.28707 07/08/2013,16:00:01.164,1.287,CCIB,ASI,LBU,1.287 07/08/2013,16:00:01.195,1.2871,GOSP,,SGP,1.2871 07/08/2013,16:00:01.250,1.28712,TDF,NAM,LAX,1.28712
File Layout Trade Data is provided as ASCII text files in .ASC format. Each record contains ten (10) comma-separated fields and is laid out as follows: Field Name Trade Date Trade Time
Type MM/DD/YYYY HH:MM:SS.000
Filtered Price
Number
Contributor Code Region Code City Code Price
Character Character Character Number
Description Date of Trade Time of Trade in milliseconds A suggested replacement trade price if Tick Data’s proprietary tick filtering algorithms suspect the reported trade price is in error. Feed Source – see Appendix A* Region where feed source is located – see Appendix B* City where feed source is located – see Appendix C* The ‘raw’, unfiltered reported trade price.
* The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010.
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 2 of 7
2.0 Quote Data Sample 07/08/2013,16:00:00.113,1.28711,1.2872,TDF,,LAX 07/08/2013,16:00:00.269,1.28704,1.28729,FXN,,NYC 07/08/2013,16:00:00.269,1.28704,1.28729,FXN,, 07/08/2013,16:00:00.348,1.28706,1.28726,SAXO,EUR,CPH 07/08/2013,16:00:00.414,1.28708,1.28725,GACI,NAM,NYC 07/08/2013,16:00:01.031,1.28707,1.28726,GACI,, 07/08/2013,16:00:01.164,1.287,1.2874,CCIB,ASI,LBU 07/08/2013,16:00:01.195,1.2871,1.28723,GOSP,,SGP 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,NAM,LAX 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.250,1.28712,1.2872,TDF,, 07/08/2013,16:00:01.278,1.28708,1.28726,GACI,,NYC
File Layout Quote Data is provided as ASCII text files in .ASC format. Each record contains seven (7) comma-separated fields and is laid out as follows: Field Name Quote Date Quote Time Bid Price Ask Price Contributor Code Region Code City Code
Type MM/DD/YYYY HH:MM:SS.000 Number Number Character Character Character
Description Date of Quote Time of Quote in milliseconds Bid price Ask price Feed Source – see Appendix A* Region where feed source is located – see Appendix B* City where feed source is located – see Appendix C*
* The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010.
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 3 of 7
3.0 One-Minute Trade Data Sample 07/21/2013,16:01,1.31348,1.3137,1.3132,1.3133 07/21/2013,16:02,1.3135,1.3138,1.3135,1.3138 07/21/2013,16:03,1.3136,1.3136,1.3135,1.3135 07/21/2013,16:04,1.3135,1.3136,1.31348,1.31348 07/21/2013,16:05,1.31351,1.3136,1.3135,1.3136 07/21/2013,16:06,1.3135,1.3135,1.3135,1.3135 07/21/2013,16:07,1.3135,1.3136,1.3135,1.3136 07/21/2013,16:08,1.3135,1.3136,1.3135,1.3135 07/21/2013,16:09,1.3135,1.3135,1.3135,1.3135 07/21/2013,16:10,1.3135,1.3136,1.31346,1.31346 File Layout Quote Data is provided as ASCII text files in .ASC format, and is generated from the filtered tick Forex data. Each minute record contains seven (7) comma-separated fields and is laid out as follows: Field Name Date
Type MM/DD/YYYY
Time
HH:MM
Open
Number
High
Number
Low
Number
Close
Number
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Description Date of Minute Bar Time of Minute Bar. The minute time stamp reflects the interval from the start of the previous minute at :00 seconds to the end at :59 seconds. For example, the minute bar time stamp 09:26 reflects all trades from 09:25:00 to 09:25:59. Price of first trade within the minute bar. Up to seven decimal places. Highest trade price within the minute bar. Up to seven decimal places. Lowest trade price within the minute bar. Up to seven decimal places. Price of last trade within the minute bar. Up to seven decimal places.
Page 4 of 7
Appendix A – Contributor Codes The listed codes are subject to change. Contributor Codes begin in the data on 8.11.2010. Code
Description
Code
Description
AAAL
Saudi Hollandi Bank
DNBA
DnB NOR
ABCJ
Arab Banking Corp
DSBA
Dah Sing Bank
ADCB
Abu-Dhabi Commercial Bank
ECBF
European Central bank
AIBK
Allied Irish Bank, Dublin
EQX
Eqinox Composit
AKBK
Akbank
ESSE
SE Banken
AKM
Akmos Trade
FXD
FX Dealer Direct
ANZB
ANZ Bank
FXDC
FX Dealer Direct, New York
BARB
Bank of Baroda
FXN
Forex Capital Markets
BARC
Barclays Capital
GACI
Gain Capital
BBME
HSBC Bank Middle East
GEBA
Bank of Guyana
BCAN
Bank of Canada
GFT
Global Forex Trading
BCEB
Banco Central de Bolivia
GIBA
Erste Bank
BDEM
Banco de Mexico
GOSP
GK Goh Financial Services
BKMT
Bank Mellat
GUBA
Bank of Guyana
BMI
BMIL Ltd
GULF
Gulf International Bank
BMIS
Banque MISR
HBMB
HSBC (Malaysia)
BMJI
Bank Markazi Jomhouri Islami Iran
HBZU
Habib Bank
BMUS
Bank of Muscat
HFH
Hong Kong Forex Investment Ltd
BNA
Bank van de Nederlandse Antillen
HSBC
HSBC
BNBG
Bulgarian National Bank
IMFD
International Monetary Fund
BNMA
Bank Negara
LACB
Bank of Latvia
BNPA
BNP Paribas
LFH
Lee Fung Hong, Hong Kong
BPBI
Bulgarian Post Bank
LIAB
Bank of Lithuania
BPIM
Bank of Philipines Islands, Makati City
MANE
Magyar Nemzeti Bank, Budapest
BRAS
Banco do Brasil
MASH
Mashreq Bank
BSAR
Audi Saradar Private Banking Corp
MEC
Mecklai Financial Services
BSFR
Banque Saudi Fransi
MLJ
Makhan Lal Jalan & Co
BSUI
Calyon
NBHK
Norges Bank
CCIB
City Credit Investment
NBHR
Croatian National Bank
CCM
Cougar Capital Management
NBOB
National Bank Bahrain
CMC
Currency Management Corp
NBPL
Narodowy Bank Polski
CNB
Czech National Bank
NDEA
Nordea Bank
COMM
Bank of Communications
NTM
Nittan Capital Bank
DABA
Danske Bank
ODSE
ODL Securities
DCFX
Divisa
OIBB
Oman International Bank
DEBP
Development Bank of Philippines
OKOY
Pohjola Bank
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 5 of 7
Code
PFG
Description OTCD Editorial team - This source takes data from a variety of sources who do not want to be identified, and some FX rates where the two currencies are fixed against each other. OTC Data Services Editorial Team Calculated Averages - These quotes are generated by a program that loops through all banks for a given combination, and looks for banks that have updated recently. The mid-point of each of these rates is taken - with the high and low rate thrown out if there are at least 5 banks, and computes an average. For the spot, it then spreads these rates to get a bid and ask. OTCD Editorial team calculated cross rates - The cross rate calculation is a simple calculation that is performed on a timed basis, using the most recent contributor for the underlying rates to generate the cross rate. For example, to calculate the EUR/ARS rate, the most recent USD/ARS rate and the most recent EUR/USD rate will be taken, and the appropriate calculation will be performed. PFG Forex
RADA
Rada Forex
RIBL
Riyad Bank
RTG
Realtime Forex
OTCD
OTCV
OTCX
Code
Description
RZBA
Raiffeisen Bank
SAMB
Samba Financial Group
SAXO
Saxo Bank
SBIN
State Bank of India
SCBL
Standard Chartered
SGSB
Raiffeisen Bank (Albania)
SHKE
Sun Hung Kai Forex & Bullion
SISL
Central Bank of Iceland
SNB
National Bank of Serbia
STT
Sasithorn Bank
TAIP
Taipei Forex
TDF
3Dfx
TGBA
Turkiye Garanti Banka
TRK
Hi Trak
TUBD
Trinkaus
UBSW
UBS Investment Bank
UNI
Unicredfit Tirac Bank
USF
United Simsen Forex Dealers Ltd, HK
WBAN
San Paolo IMI, Bucharest
WDX
WDX
WELA
WestLB, Frankfurt
ZKBK
Kantonal Bank
Appendix B – Region Codes The listed codes are subject to change. Code ASI EUR GLO NAM
Description Asia-Pacific Europe, Middle East & Africa (EMEA) Global Americas
Appendix C – City Codes The listed codes are subject to change. Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 6 of 7
Code
Description
Code
Description
Code
Description
AKL
Auckland
LDN
London
YOW
Ottawa
AMM
Amman
LPB
La Paz
ZAG
Zagreb
BAH
Bahrain
MAA
Chennai
ZUR
Zurich
BBK
Bangkok
MCT
Muscat
BEG
Belgrade
MEL
Melbourne
BEI
Beirut
MEX
Mexico City
BEL
Belgrade
MIA
Miami
BKK
Bangkok
MIC
Michigan
BOM
Mumbai
MOW
Moscow
BRT
Bratislava
NYC
New York
BRU
Brussels
OSL
Oslo
BSB
Brasilia
PAR
Paris
BUD
Budapest
PEK
Beijing
BUH
Bucharest
PNG
Papua New Guinea
CAI
Cairo
PRG
Prague
CCA
Kolkata
REK
Reykjavik
CHI
Chicago
RIX
Riga
CPH
Copenhagen
RYD
Riyadh
CUR
Curacao
SGN
Ho Chi Minh City
DOH
Doha
SGP
Singapore
DUB
Dublin
SHA
Shanghai
DUS
Dusseldorf
SJV
Sarajevo
DXB
Dubai
SOF
Sofia
EDI
Edinburgh
SOL
Seoul
EVN
Yerevan
STK
Stockholm
FFT
Frankfurt
STR
Stuttgart
GEO
George Town
SUV
Suva, Fiji
GVA
Geneva
SYD
Sydney
HAV
Havana
TEH
Tehran
HEL
Helsinki
TIR
Tirana
HKG
Hong Kong
TLL
Tallinn
IST
Istanbul
TOR
Toronto
JKT
Jakarta
TPE
Taipei
JNB
Johannesburg
TYO
Tokyo
JRS
Jerusalem
UTR
Utrecht
KHI
Karachi
VIE
Vienna
KUL
Kuala Lumpur
VNO
Vilnius
KWI
Kuwait
WAS
Washington
LAX
Los Angeles
WAW
Warsaw
LBU
Labuan
WLG
Wellington
Forex Trade and Quote Dataset, v4.1 Copyright 2014 by Tick Data, Inc.
Page 7 of 7
