MDR data is all quote updates and trade data captured by Cboe's internal data retrieval systems.
MDR data is offered in the following Cboe exclusive indices: ^VIX, ^SPX and ^OEX. The amount of history available of the data varies by symbol; ^SPX from January 1990, ^OEX-January 1990 and ^VIX-March 2006. The MDR data will be delivered by SFTP.
- RECORD_TYPE_CODE
- TRADE_DATE
- TRADE_TIME 1
- SEQ_NBR / TRADE_TIME_THOU 2
- MARKET_CONDITION_CODE 3
- CLASS_SYMBOL
- EXPIRATION_DATE
- PUT_CALL_CODE
- EXERCISE_PRICE
- BID_PRICE / TRADE_PRICE
- BID_SIZE / TRADE_SIZE
- ASK_PRICE
- ASK_SIZE
- UNDERLYING_INSTRUMENT_PRICE 4
- UNDERLYING_INSTRUMENT_SYMBOL
1 - Before 10/1/19 this column had time in CST, afterwords - milliseconds are added, in EST time zone. Example format with milliseconds: 93401984 = 09:34:01:984 AM US Eastern
2 - Before 10/1/19 this column had internal sequence number and milliseconds, afterwords - it's OPRA generated sequence number.
3 - Before 10/1/19 this column had condition name, afterwords - condition ID.
4 - Prior to 7/15/2021 there are instances of data points with more than two (2) decimals.
