NYSE Liffe NextHistory Fixed Income Derivatives Intraday
Tick data includes all trades and best bid/offer prices, but does not include historical depth of market information.
NextHistory data is available up until 31 December 2010. For data beyond this date, clients should refer to the 'TAQ Europe' historical data product.
For further queries please send an e-mail to NYSE Euronext Data Solutions’ Sales & Account Management..
Product Guid:
00000000-0000-0000-0000-000000000000
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Direct Access Fee
€300 / mo.
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Enterprise Usage
€300 / mo.
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Table depicting the pricing options available. Price List (PDF)
Market Covered
NYSE Liffe
Instruments Covered
Derivatives
NYSE Liffe NextHistory Fixed Income Derivatives Intraday
| Field | Description |
| Constant | 5 |
| Date and time when file was generated | 20070830 223000 |
| Date | 20070830 |
| Constant | 99999 |
| Number of records | 3226471 |
| Time of event | In format HH:mm:ss |
| Contract type | F (futures), C (call), P (put) |
| Contract code | Contract code is for example VOD. Exchange Code of instrument is encoded in file name (first character). |
| Delivery Month (yyyymmdd) | In format yyyymmdd, where dd can be equal to default value 00, as days are not always available in the source data |
| Exercise price | Exercise price of the instrument. Can include additional zeros on the left side of the number. Futures instruments should have 0 or empty value in this column. |
| TradeType | The trading types are: A= Ask, B= Bid, 1=Implied Bid, 2=Implied Ask; T= Trade, V= Volatility, S= Strategy, K= BlockTrade and J= Basis Trade. |
| Price | Bid-, Ask- or Trade price |
| Volume | Bid-, Ask- or Traded Volume |
NYSE Liffe NextHistory Fixed Income Derivatives EOD
| Field | Description |
| Date | Follows the format d-MMM-yyyy, where MMM is in upper case. If the day of the month is less than 10, there is a space appended at the beginning of the record. |
| Contract code | Contract code is for example VOD. The Exchange Code of the instrument is encoded in the file name (first character). |
| Delivery date | In format MMMyy, where MMM is in upper case |
| Contact type | C (Call), P (Put), F (Futures) |
| Exercise price | Exercise price of the instrument. Can include additional zeros on the left side of the number. Futures instruments should have 0 or empty value in this column. |
| Volume | Number of traded instruments for the day |
| Estimated/Yesterdays Volume | Some files don’t include this value |
| Open interest | Number of open positions at the end of the trading day |
| Open | Open price for the security |
| Open first | Some files don’t include this value |
| Open last | Some files don’t include this value |
| High | Highest price achieved during the trading day. |
| Low | Lowest price of the trade during the trading day. |
| Close | Price of the instrument at close of the trading day. |
| Filler | Empty |
| Filler | Empty |
| Filler | Empty |
| Closing offer | Offer price at close |
| Closing bid | Bid price at close |