Table of Contents


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
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 Nasdaq stocks that are restricted from short-sale borrowing (UPC11830)
67 OpenInterest x Open Interest at the previous sessions close
68 VolOI x Vol OI
69 MMakerStatus
Market Maker Statuses
70 RootSymbolInfo
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

Example

For example of category usage using reflection, see here

For example of a copy/pasteable category framework, check out the CategoryDumper project