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Cboe Europe Equities Trades and Quotes Data

The Cboe Europe Trades and Quotes Files are a historical record of the PITCH feed depth of book quotations and execution information. It is the most granular historical record offered on trade and quote level data on Cboe Europe.
Fields include:

message_type
message_seq_number
time_stamp
order_id
executed_shares
remaining_shares
cancelled_shares
execution_id
execution_flags
trade_flags
side_indicator
quantity
symbol
shares
price
trade_id
trade_time_stamp
execution_venue
currency
cboe_trade_timing_ind
extended_trade_flags
add_flags
participant_id
status
reserved1
statistics_type
price_determination
auction_type
reference_price
indicative_price
indicative_shares
outside_tolerance
includes_primary

 

To see the European equities data text files format (quotes and trades) please refer to the specifications below:

https://datashop.cboe.com/Themes/Livevol/Content/static/EU_taq_file_format_spec.pdf

To see the Multicast PITCH file format please refer to the specifications below:

http://cdn.batstrading.com/resources/participant_resources/BATS_Europe_MC_PITCH_Specification.pdf

 

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