Sample Script: Raw Trades
The “Raw Trades” sample script looks for every trade message the exchange sent out in a session and produces a complete record of every trade message and the order in which they were sent out. A trade can be made up of multiple trade messages due to activity such as trading through a price level or triggering a stop order. This script allows users to see exactly how the Exchange handled all trade matches. If you would like to get a summary of each trade of a session, run the “All Trades” script.
Every new trade message will get a new row in the output table. The first row of the table will be the first trade message sent out and the last row will be the last trade message sent out for the session. Note: If the field ‘isSnapshot’ is ‘true’ for a row, that trade message can be ignored as it is just an extra message sent out by the exchange when it was rebuilding the books at the start of the session. This occurred before trading started and is not an actual trade:
FIELDS IN EACH ROW:
1. Symbol: Futures contract these trades are from
2. Date: Session date these trades are from (formatted in YYYYMMDD)
3. Time: Time (Tag 60) the Trade Occurred. Clicking on this time load this trade in the Event Viewer
4. Price: Trade price of the trade message
5. Quantity: Total volume of the trade message
6. Matches: Total number of aggressive and matched orders in the trade message
7. Aggressor: The side of the Aggressive order. If it says none or empty that means it is an implied trade
8. isImplied: True/False if this is an implied trade or not
9. isSnampshot: True/False that shows trade messages that were sent during the rebuilding of the book
This output allows for columns to be sorted highest to lowest or the reverse. It can also launch visualization of any of the results by simply clicking on the time or, if available, OrderID. This output allows users to get the most out of the results returned from a script.