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Dati acquistati e disponibili: “Rebuild Order Book” del London Stock Exchange per l’anno 2002 (22 G) “Best Bid/Best Ask” e “Trades” della Borsa di Milano per l’anno 2002 (4.7 G) Dati in possesso di alcuni gruppi (da condividere) :
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Dati acquistati e disponibili: • “Rebuild Order Book” del London Stock Exchange per l’anno 2002 (22 G) • “Best Bid/Best Ask” e “Trades” della Borsa di Milano per l’anno 2002 (4.7 G) • Dati in possesso di alcuni gruppi (da condividere) : • “Trades and Quotes” del New York Stock Exchange per gli anni 1995/2001 • (originariamenta acquistati da INFM ), 2000/2002 (originariamenta acquistati da • Dip. Statistica “G. Parenti”, Firenze ) • Dati disponibili in futuro: • “Trades and Quotes” del New York Stock Exchange per l’anno 2003 • “Open Book” del New York Stock Exchange per gennaio/febbraio/marzo 2002 • “Intraday Historical Data” di Euronext (Parigi, Amsterdam, Brussels) per • l’anno 2002 (consegna Luglio 2004) • “Order Book” della Borsa di Francoforte per l’anno 2002 Dati di alta frequenza
Order Book LSE The ROB has 3 type of files:t_OrderDetail.csv, t_OrderHistory.csv, t_TradeReports.csv. Each file is produced in a comma separated format. The above tables describe the number of fields and the format of each field.
Esempio di Order Details This file contains details of new orders entering the trading system. It contains details of orders that both enter the Order Book and that do not enter the Order Book (i.e. orders that completely execute on entry).
Esempio di Order History This file contains a history of changes to each order and the method by which it is removed. For each order there are one or more rows shown with an order action type for each record. The order action type indicates if the order was partially or fully executed against, deleted, expired etc...
Esempio di Trade Reports The trade report file contains details of every automatic and manual trade that has taken place, except for trades that have not been published.
Pre-processing dati del London Stock Exchange OD OH TD 3 files contenenti tutti gli stocks size~ -15% Temp File Temp File Temp File Temp File 1 file per stock contenente tutti gli “eventi” Preprocessing: calcolo di best bid e best offer, ricerca dei matching orders... size~ +30% Flat File Flat File Flat File Flat File 1 file per stock contenente tutti gli “eventi” in formato “Santa Fe-like”
Esempio di Flat File 1. OrderType 1 = Limit Order 2 = At best with no price execute-and-eliminate with a price 3 = Fill-or-kill, price optional 4 = Fixed exposure (acts like an expiration) 5 = Market order for the auction (like 2) 2. History type 1 = New order 2 = Partial trade 3 = Full match 4 = Deletion 5 = Expiration 3. Order Code 4. Buy /sell code 1 = Buy 2 = Sell 5. Trade size The number of shares that trades hands. Not applicable in the case of incoming orders. 6. Limit price 7. Timestamp An integer indicating number of seconds since 1970 (GMT). When the event occurred. 8. - 13. Broken out time of #7(integers for year, month, day, hour, minute, second) • 14. Participant code • An integer that changes monthly that indicates the agent involved in • the event. • 15. Tick size as a number (e.g. .5 for halves, .25 for quarters) • 16. Trade price, if there was a trade • 17. Remaining size • 18.History type code • Indicates how a given order will be resolved. • 19. Timestamp at which ending event occurs (an integer encoded as #7). • 20. Whether or not a counterparty order was a limit order. [Boolean] • 21.The limit price of a counter party limit order, if any. For incoming order (field #2 = 1), this indicates the deepest price that the order matched against. • 22. The order index of the counterparty order, encoded like field #3. • 23. The counter party code -- the agent traded against. Encoded like • field #14. • 24.Best bid price on previous second • 25.Best offer price on previous second
1. OrderType 1 = Limit Order 2 = At best with no price execute-and-eliminate with a price 3 = Fill-or-kill, price optional 4 = Fixed exposure (acts like an expiration) 5 = Market order for the auction (like 2) 2. History type 1 = New order 2 = Partial trade 3 = Full match 4 = Deletion 5 = Expiration 3. Order Code 4. Buy /sell code 1 = Buy 2 = Sell 5. Trade size The number of shares that trades hands. Not applicable in the case of incoming orders. 6. Limit price 7. Timestamp An integer indicating number of seconds since 1970 (GMT). When the event occurred. 8. - 13. Broken out time of #7 (integers for year, month, day, hour, minute, second) 14. Participant code An integer that changes monthly that indicates the agent involved in the event. 15. Tick size as a number (e.g. .5 for halves, .25 for quarters) 16. Trade price, if there was a trade 17. Remaining size 18.History type code Indicates how a given order will be resolved. 19. Timestamp at which ending event occurs (an integer encoded as #7). 20. Whether or not a counterparty order was a limit order. [Boolean] 21. For trades (field #2 = 2 or 3), the limit price of a counter party limit order, if any. For incoming order (field #2 = 1), this indicates the deepest price that the order matched against. 22. The order index of the counterparty order, encoded like field #3. 23. The counter party code -- the agent traded against. Encoded like field #14. 24. Best bid price on previous second 25. Best offer price on previous second
