Real Time & Intraday

This section contains examples of retrieving Real time snapshots, and intraday retrieval. Real Time data typically requires exchange agreements and associated entitlement.

The LATEST databases provide last value caches or Market Snapshots, storing the latest prices for each instrument. _LATEST is added as a suffix to all existing real time sources. e.g. US_COMP_LATEST They can only be accessed by those who are entitled to access real time data.

Latest Trade Market Snapshot

The SNAP_TRD table includes latest trade for every symbol. Querying by SYMBOL_NAME returns all symbols. To filter by symbol, please use the SYMBOL field.

Trade Retrieval Across All Symbols in Database

select * from US_COMP_LATEST.SNAP_TRD
where symbol_name = '-'
and TIMESTAMP = NOW()

Latest Quote Market Snapshot

The SNAP_QTE table includes latest quote for every symbol. It is not available for Composite databases which use SNAP_NBBO. Querying by SYMBOL_NAME returns all symbols. To filter by symbol, please use the SYMBOL field.

Quote Retrieval Across All Symbols in Database

select * from CME_GLOBEX_LATEST.SNAP_QTE
where symbol_name = '-'
and TIMESTAMP = NOW()

Latest NBBO Market Snapshot

The SNAP_NBBO table includes latest NBBO quote for every symbol. It is only available for Composite databases such as US_COMP_LASTEST. Other databases provide SNAP_QTE. Querying by SYMBOL_NAME returns all symbols. To filter by symbol, please use the SYMBOL field.

NBBO Retrieval Across All Symbols in Composite Database

select * from US_COMP_LATEST.SNAP_NBBO
where symbol_name = '-'
and TIMESTAMP = NOW()

Latest Market Snapshot

The SNAP table includes the combined latest trade and quote or NBBO for every symbol. Querying by SYMBOL_NAME returns all symbols. To filter by symbol, please use the SYMBOL field. The latest trade time is stored in field LAST_TRADE_TIME, and the latest Quote or NBBO update is stored in field LAST_QUOTE_TIME.

Trade and Quote / NBBO Retrieval Across All Symbols in Database

select * from US_COMP_LATEST.SNAP
where symbol_name = '-'
and TIMESTAMP = NOW()

Returns Recent Trades

Data will only be returned for those who are entitled to access real time data. The US_COMP_REPLAY database replays older data, and is available to all as a sample database. Trades across a recent time period are retrieved by filtering on time range relative to the current time (NOW).

The NOW function returns data upto the current time. The DATEADD function allow the start time to be offset to NOW by a specified amount. (e.g. by 15 minutes). Possible intervals for DATEADD include YEAR, MONTH, DAY, HOUR, MINUTE and SECOND.

Query Real-Time Trade Data across the last 15 Minutes

select *
from US_COMP_REPLAY.TRD
where SYMBOL_NAME='CSCO'
and TIMESTAMP >= DATEADD('MINUTE',-15,NOW())
and TIMESTAMP < NOW()
limit 100

Returns Todays Trades

Data will only be returned for those who are entitled to access real time data. The US_COMP_REPLAY database replays older data, and is available to all. Trades from Today are retrieved by filtering on a time range covering the start of day until the present, using the TODAY and NOW functions.

The TODAY function allows specification of the required Time Zone.

Query Real-Time Trade Data with Todays Trades

select *
from US_COMP_REPLAY.TRD
where SYMBOL_NAME='CSCO'
and TIMESTAMP >= TODAY('America/New_York')
and TIMESTAMP < NOW()
limit 100