Data Format

Index

Introduction

Index data has trade data only, and the price columns hold the index value. The files store the actual values. The data time zone depends on the index. For example, the data time zone of SPX is America/Chicago.

Folder Structure

The following table shows the paths of the Index data files:

ResolutionZip FileCSV File
Second and minuteindex / <market> / <resolution> / <ticker> / <date>_trade.zip<date>_<ticker>_<resolution>_trade.csv
Hour and dailyindex / <market> / <resolution> / <ticker>.zip<ticker>.csv

Each zip file contains one CSV file. For example, index / usa / minute / spx / 20210104_trade.zip contains 20210104_spx_minute_trade.csv.

Bar Data

The following table shows the bar data, with an example row from the SPX minute file of January 4, 2021:

Data TypeResolutionsExample
Trade barSecond, minute, hour, and daily30600000,3764.61,3769.99,3764.61,3766.63,59

In this example, the time 30600000 is 8:30 AM in the America/Chicago data time zone, which is the 9:30 AM open in New York.

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