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Version: Upcoming

FuturePrintSetHist

Description

Futures Print Set records are created for all future prints (outrights and spreads) and updated at 1 minute and 10 minutes to monitor trade performance.

Start Dates

US start dates
ExchangeStart Date
CBOT2016-01-04
CFE2016-01-04
CME2016-01-04
COMEX2016-01-04
ICE2016-01-04
NYMEX2016-01-04
EU start dates
ExchangeStart Date
EUREX2025-11-20
ICEFEC2026-04-21
ICEFEF2026-04-21
NXAM2025-11-20
NXLS2025-11-21
NXML2025-11-28
NXOS2026-04-20
NXP2025-11-20

Schema Definition

Field NameData TypeDescription
fkey_atstringFuture asset type
fkey_tsstringFuture ticker source
fkey_tkstringFuture ticker
fkey_dtdateFutures expiration date
timestamptimestampTimestamp of last update to record - UTC
prtNumberbigintUnique print set identifier, will increment but not guaranteed to be sequential
ticker_atstringUnderlying asset type
ticker_tsstringUnderlying ticker source
ticker_tkstringUnderlying ticker
tradingSessionstringTrading session ('None','RegularMkt','PreMkt','PostMkt','PostMktETF','NextDay')
tradingDatedateTrading date
prtExchstringExchange where trade/print took place
prtSizeintNumber of contracts in the trade
prtPricedoublePrint price
prtTypeintPrint type code
prtOrdersintNumber of participating orders
prtClusterNumintIncremental print cluster counter
prtClusterSizeintCumulative size of prints in this sequence
prtVolumeintTotal volume as of the print time
prtSidestringSR-inferred print side ('None','Mid','Bid','Ask')
prtTimestampbigintExchange high precision timestamp in Unix epoch (if available)
netTimestampbigintSR Gateway timestamp in Unix epoch
bidPricedoubleNBBO bid at print time
askPricedoubleNBBO ask at print time
bidSizeintNBBO cumulative bid size at print time
askSizeintNBBO cumulative ask size at print time
bidPrice2doubleSecond level NBBO bid price
askPrice2doubleSecond level NBBO ask price
bidSize2intCumulative size on the second level bid price
askSize2intCumulative size on the second level ask price
prtProbabilityfloatSR probability that buying prtSize shares @ prtPrice will have positive pnl 1 minute after time of print
bidPriceM1doubleNBBO bid 1 minute after print time
askPriceM1doubleNBBO ask 1 minute after print time
prtPriceM1doublePrice 1 minute after print time
pnlM1floatDelta neutral pnl 1 minute after print time
pnlM1ErrstringInternal use
bidPriceM10doubleNBBO bid 10 minutes after print time
askPriceM10doubleNBBO ask 10 minutes after print time
prtPriceM10doublePrice 10 minutes after print time
pnlM10floatDelta neutral pnl 10 minutes after print time
pnlM10ErrstringInternal use

Differences to V7

  • fkey_yr, fkey_mn, fkey_dy removed in favor of fkey_dt
  • timestamp_cst removed as it is redundant with timestamp