This section of the overview will describe the data contained in
NxCore Messages. It will simply serve as an outline of the data included in
NxCore tape files. The overview will begin with the coreHeader
Data contained in coreHeader's option header for ALL option messages:
All symbol strings for all messages are located in the string symbol field.
In this picture the root option symbol can be found in the string symbol field.
As you can see from the image the option header has all the
information regarding the option. It has the date code, the underlying, series
chain, a special settle (if it is one), the underlying's exchange, contract
units, decimal strike price, call or put, expiration cycle, and the exact
expiration date. It should be noted that as of Feburary 12th, 2010 the strike
code no longer exists. Detailed information regarding the option
header can be found
As previously mentioned NxCore tape files have seven different message
types. Each one corresponds to a number and this number is assigned to
MessageType. This is detailed in the pictures below. The
status message is 0 and is not detailed in this overview.
The first message type is ExgQuote, exchange quotes.
Sent for every exchange quote (regular quote) and BBO (Exchange-determined
Best Bid/Offer). Each quote update includes the bid and ask prices, sizes and
condition codes, plus price/size changes. Also for symbols trading on multiple
exchanges, each ExgQuote also contains fields with the current values of the
best bid/best ask prices, sizes and condition codes. This message type is by
far the most active of all messages your callback will receive (depending of
course on the exchanges you request). A typical trading day will have 700+
million option quotes! Detailed information regarding each field can be found
The second message type is MMQuote, market maker quotes.
Sent for every Market Maker Quote ("level 2") from either Nasdaq
SuperMontage, Intermarket quotes on Nasdaq issues (e.g. Cincinnati -- ISLD,
pacific -- ARCA), or Nasdaq Intermarket quotes on listed (NYSE/AMEX)
securities. A typical trading day will have 40+ million or so of these
messages. MMQuotes contain Market Maker identifiers and quote types in addition
to bid and ask prices, sizes, condition codes and price/size changes. For depth
messages, the market makers will be D1/D2/D3/D4/D5/D6/D7/D8/D9/D10 to signify
the 5 or 10 levels of depth. Detailed information regarding each field can be
The third message type is Trade, trades.
NxTrade messages are the most heavily processed and analyzed within the
Nanex Financial Servers. Many members in NxTrade are the result of this
processing and are therefore unique to NxCore. Other members are updated from
exchanges but rarely found in other financial feeds.
>Trade messages are sent for last sale reports and corrections to last sale
reports. Less than 10% of the Nanex Financial Feed contains Trade messages,
mostly due to the heavy volume of quotes. When processing a tape, you can set a
filter to exclude ExgQuote and MMQuotes, which will dramatically speed up the
processing of trades. The relationship between the last sale and the most
recent quote has been added to the Trade message members to make it easier to
exclude quotes in certain analysis situations.
>There is an abundance of information included with each trade message you
won't find, or rarely find in other feeds, such as original Exchange Sequence
numbers, trade condition processing flags (is the trade eligible to update
last, high, low, open?), NxCore QuoteMatch (matches each trade to the recent
regional and BBO quotes), NxCore Realtime Trade Filter analysis results, and
NxCore Significant High/Low data on each trade message. A typical trading day
will have 10+ million of these message types. Detailed information regarding
each field can be found
The fourth message type is Category, categories.
Sent for all other data types, such as fundamental information, 52
week/contract/YTD high/low data, additional trade correction information,
exchange code translations trade/quote condition code translation, trading
halts, trading imbalances, open trade indications, etc. A typical trading day
will have 1-2 million or so of these message types, with the bulk of them
occurring at the start of each tape summarizing the previous trading session. A
list of all the categories and the information stored in them can be found
The fifth message type is SymbolChange. symbol changes.
Sent when an issue changes symbols or trading venues (switches exchanges).
The most frequent user of this message type are Nasdaq equities changing
between Pink Sheets, Bulletin Board, Over-The-Counter, or when the
adding/removing the fifth letter 'E' because of a change in delinquency filing
status. Also, when option symbols change, each option contract in the series
generates one of these messages.
The sixth message type is SymbolSpin, symbol spins.
NxCoreSymbolSpin Messages are automatically sent once for each Symbol in
the System near the beginning of each NxCore Tape. Symbol Spin messages
provides a convenient and efficient method for iterating Symbol Sets without
having to create and maintain a container to hold them. The system symbol spin
is useful for preallocating storage before market open to minimize allocations
and reallocations during active trading.
The data contained in NxCore tape files goes above and beyond what normal
feeds provide. This is evident from this short overview. All the messages
contain the data required to complete analysis or to trade.
If NxCore's data is a good fit for your real time applications or if you
are interested in our historical tape
files, please contact Jerry Chandler at