Identifying NxCore Category
NxCore Categories can be identified by a numeric ID or by name. Category IDs are more or less assigned sequentially, the number itself has no particular meaning, though a few related categories are grouped together. Not all Categories are documented. Undocumented categories are subject to change. Documented categories will have the same ID and Name in all NxCore Tapes (unless the major version number changes). Most Categories are sent just once per day, usually at the beginning of the NxCore Tape file. A few Categories may update more than once (Active) depending on trading conditions.
Category IDs are found in the structure member:
pNxCoreMessage->coreData.Category.pnxStringCategory->Atom
Category names are found in the structure member:
pNxCoreMessage->coreData.Category.pnxStringCategory->String
Also, note that pnxStringCategory is an NxString which means the memory address remains constant for the duration of an NxCore Tape, and the UserData1 and UserData2 fields are user assignable.
Documented NxCore Categories
| ID | Name | Active | General Information Contained |
|---|---|---|---|
| 1 | OptionContract | Expiration date, strike price and other information for each option contract. | |
| 2 | OptionSeries | x | Option series underlying, expiration cycle, settlement, chain, exchanges traded on, etc. |
| 4 | EquitySymbolInfo | x | Company name, SIC Code, Currency, and CUSIP |
| 6 | BondSymbolInfo | Name, CUSIP, Maturity Date, Call Date, Coupon Rate. | |
| 7 | IndexSymbolInfo | x | Index Name. |
| 8 | FundSymbolInfo | x | Fund Name, CUSIP, Fund Code, Footnotes. |
| 9 | EquityFundamental | x | Year end close, Beta, Shares outstanding, Short Interest, % held by institutions, etc. |
| 10 | DTNEquityFundamental | x | Volatility, Average Volume, Market Cap, P.E. ratio, Yield. |
| 11 | MutualFundFundamental | x | Year end close, dividends, capital gain and distribution information, etc. |
| 12 | MoneyMarketFundamental | Average Maturity, 7-day yield, Annualized yield, Total Assets. | |
| 13 | 52WeekHiLo | x | Highest and lowest prices and respective dates over last 52 weeks not including current session. |
| 14 | YTDHiLo | Highest and lowest prices and respective dates since start of year not including current session. | |
| 15 | ContractHiLo | Highest and lowest prices and respective dates over contract's lifetime not including current session. | |
| 16 | OHLC | x | Prev Close (adj for ex-div), open, high, low, last, volume, last trade time and exchange traded on. |
| 17 | NxRefreshOverride | Only sent if exchange open/high/low/last is significantly different than trading record summary. | |
| 18 | NxUncorrectedOHLCV | Sent if symbol had corrections. Uncorrected Open, High, Low, Last, plus Vol and Tick Vol of Cancelled and Inserted trades. | |
| 20 | TradeReportSummary | x | Summary of open, high, low, last, vol and ticks for symbol's time and sales including corrections. |
| 21 | FormTReportSummary | Same as TradeReportSummary, but for trades with condition FormT (before and after hours trades). | |
| 22 | OpeningTradeReports | Price, time, size and exchange of opening trade reports. | |
| 23 | MCClosingTradeReports | Price, sequence, and time for each market center that sends a trade report with official closing price condition. | |
| 24 | TradeCorrection | x | Exchange correction message data such as correction type, original/new sequence, time, price, size and condition. |
| 25 | BarCorrection | Sent if an exchange correction changes a 15 second, 1 minute, and/or 5 minute open/high/low/close/volume bar. | |
| 26 | NxFirstTrade | Price, size, time and exchange of first trade reports that occur at the prevailing bid or ask price. | |
| 27 | NxLastTrade | Price, size, time and exchange of last trade reports that occur at the prevailing bid or ask price. | |
| 28 | NxFirstQuote | Price, exchange and time of first Bid and Ask for trading session. | |
| 29 | NxLastQuote | Price, exchange and time of last Bid and Ask for trading session. | |
| 30 | SymbolHistory | x | Up to last 5 changes (Add, Modify, Delete) to a symbol's ticker or listed exchange. |
| 33 | ActivityRank | Rank of a symbol's activity for each of last 5 days relative to all other symbols with same Listed Exchange. | |
| 34 | FinancialStatus | Contains status and effective date -- status like Suspended, Deficient, etc | |
| 35 | LimitUpLimitDown | x | Contains limit up and limit down prices. |
| 40 | OptionMultipleStrikeCodes | Lists Option series with two or more Option Strike Codes defining the same strike price (Strike Code Collision). | |
| 41 | OptionMultipleStrikePrices | Lists Option series where the same Option Strike Code defines two or more different strike prices (Strike Code Confusion). | |
| 42 | TradingSessionHours | Opening and closing time of each trading session. Note that you have to check the sessionId field to see which session the times belong to. | |
| 50 | CTA_ClosingReport | x | CTA (Consolidated Tape Association) Closing Report -- used often for official daily OHLCV |
| 51 | OTCBB_ClosingReport | OTCBB Closing Report | |
| 52 | OTC_ClosingReport | x | OTC Closing Report |
| 54 | Nasdaq_ClosingReport | x | Nasdaq Closing Report |
| 56 | CCDF_ClosingReport | x | CCDF (Consolidate Canadian Data Feed) Closing Report |
| 57 | OPRA_EndOfDaySummary | 1 | OPRA End of Day Summary |
| 58 | CMESessionStatistics | 1 | CME Session Statistics |
| 59 | ICE_EndOfDaySummary | 1 | ICE End Of Day Summary |
| 60 | Split | x | Up to last 4 stock splits, each split contains split date, old share count, new share count, and source of split information. |
| 61 | ExDividend | x | Up to last 4 ex-dividend dates, each contains ex-date, amount, attributes, record date, payment date, etcam |
| 62 | DividendYield | Indicated Dividend Rate, plus Quarterly, annual, and fiscal year amount as of the included ex-date. | |
| 63 | Halt | x | Exchange halt and open delay type and reason codes. |
| 64 | PriceIndication | Open/Resume price indications for stocks halted or delayed at open containing high/low price range. | |
| 65 | OrderImbalance | x | Order Imbalance type (buy/sell side, closing/other), with buy and sell volume sizes. |
| 66 | ShortSaleRestricted | x | Category sent for stocks that are restricted from short-sale borrowing |
| 67 | OpenInterest | x | Open Interest at the previous sessions close |
| 68 | VolOI | x | Vol OI |
| 69 | MMakerStatus | Market Maker Statuses | |
| 70 | RootSymbolInfo | 1 | Root Symbol Information |
| 71 | FundPricing | x | Net asset value and change from previous session plus current yield, and offer, market, or wrap price where applicable. |
| 80 | FuturesContract | x | Futures Contract Information |
| 81 | OpenRange | Open Range | |
| 82 | CloseRange | Close Range | |
| 83 | OtherRange | Other Range | |
| 84 | Settlement | x | Settlement Information |
| 85 | FixingPrice | x | A volume-weighted average price for the nearby futures contract |
| 86 | FutureOptContract | x | Futures Option Contract Information |
| 87 | CMESecurityInformation | 1 | CME Security Information |
| 88 | SpreadSecurityInformation | 1 | Future Spread Information |
Example
For example of category usage using reflection, see here
For example of a copy/pasteable category framework, check out the CategoryDumper project