Dataset Name: ice_xnys_order_imbalance_1334_a
Group: market_data
Vendor: ICE
Symbol Set: US Equities
Asset Class: Equity
Data Update Time(s): 3:00 AM EST
Data Update Frequency: intraday
ICE NYSE: ORDER IMBALANCE - Auctions Rows
Data Contained in this Dataset
| Column | Type | Description |
|---|---|---|
| _seq | uint | Internal sequence number used to keep data rows in order |
| timestamp | string | Timestamp of the Data - America/New York Time. |
| muts | uint64 | Microseconds Unix Timestamp. An integer representation of a timestamp with microsecond precision that can be compared directly to other timestamps. (underlying field is nc_publish_date_actual) |
| symbol | string | Trading Symbol or Ticker |
| D | string | Datatype filtered by CloudQuant to make sub data sets. This is the last letter of the name of the dataset. H - Header, Q - Quotes, T - Trades, etc. |
| SYMBOL.TICKER | string | Ticker symbol associated with this message. |
| ISIN | string | International Securities Identification Number. An international code which identifies a securities issue |
| SEDOL | string | Stock Exchange Daily Official List (SEDOL) code. |
| CUSIP | string | Committee on Uniform Security Identification Procedures (CUSIP) number. |
| TAS.SEQ | string | Per symbol time and sales record sequence number. |
| EXCH.MESSAGE.TIMESTAMP | int64 | Exchange sent timestamp in milliseconds HH:MM:SS:mmm. |
| AUCTION.PRICE | int64 | Auction Price |
| AUCTION.VOL | int64 | Auction Volume |
| TS.AUCTION.PRICE | int64 | Auction price timestamp. |
| AUCTION.TYPE | int64 | Auction Type |
| PQ.AUCTION.PRICE | int64 | Indentifies whether the values in auction price & auction size are firm or indicitive. 0 - Indicitive (local terms include "projected", "tentative", and "theoretical"), 1 - Firm (local terms include "final", "equilibrium", and "uncrossing price") |
| ACTIVITY.DATETIME | double | Last activity datetime. |
| CLEARING.PRICE | double | Clearing Price |
| CLOSING.CLEARING.PRICE | double | Closing Clearing Price |
| ORDER.IMBALANCE.VOL_ALT | int64 | |
| IMBALANCE.SIDE_ALT | int64 | |
| SIGNIFICANT.IMBALANCE.IND | int64 |