Historic Data File Layout (Securitized Products)
The following is the file layout for the historical reproduction of all transactional data reported to TRACE. The file is produced in pipe-delimited format. Each file shall contain a header row that defines the field under each column, as well as an end-of-file trailer consisting of a date/time stamp and total record count (maximum of 10 numeric characters, right justified and zero filled). The filename identifies the date the trades were reported (YYYY-MM-DD).
The file is produced in two versions: one containing CUSIPs (filename = enhanced-time-and-sales-cusip-YYYY-MM-DD.txt) and one that suppresses CUSIPs (filename = enhanced-time-and-sales-non-cusip-YYYY-MM-DD.txt).
| Field Name | Description | Max Field Length |
|---|---|---|
| Record Count Number | Output values are 1,2,3 etc. in sequence. | NA |
| Reference Number | Seven digit identifier. This is the identifier on the transaction. The reference number Trade Status and Report Date make up a unique identifier. | 7 |
| Trade Status | The type of report. Applicable values are: T = Trade Report X = Trade Cancel C = Cancelled Correction R = New Correction Y = Reversal (a transaction that has been reverse more than 20 days after it was input) | 1 |
| TRACE Symbol | Unique FINRA identifier assigned to each issue. | 14 |
| CUSIP1 | Unique identifier assigned to each bond by Standard & Poor’s CUSIP Service Bureau. Please note – this field will be blank on the non-CUSIP version. | 9 |
| FIGI | The assigned BSYM ID. | 12 |
| Pool Number | The pool number is applicable for MBS securities only. | 6 |
| Company Name/Issuer2 | Identifies the Company/Issuer Name | NA |
| Maturity Date2 | Identifies the bond’s maturity date YYYYMMDD format | 8 |
| Sub-Product | Identifies the type of security reported in the trade. Applicable values are: TBA = To Be Announced Transactions MBS = Mortgage Backed Securities Transactions | 1 |
| When Issued Indicator | Indicates if the bond was traded on a ‘When Issued’ basis. Applicable values are: Y = When Issued N = Regular Way | 1 |
| Remuneration | C = Commission is included in the price M = A Markup or Markdown is included in the price N = No Commission or Markup/Markdown is included in the price Blank = No value assigned on Inter-Dealer Trades | 1 |
| Quantity | The uncapped par value volume reported on the trade. May include a decimal, if entered (for mixed-lot and baby bond trades). | 14 |
| Price | This field represents the reported bond price. Is inclusive of any mark-ups, and/or mark-downs reported by the firm in the trade transaction. | 11 |
| Factor | The Factor value as reported on the transaction. | 12 |
| Factor On File | The factor on Record from the FINRA Reference Data Database. | 12 |
| As Of Indicator | This field indicates if the transaction being reported is an As/Of trade or Reversal from a prior business day. Applicable values are: A = As-of R = Reversal3 Blank = regular trade | 1 |
| Execution Date | This field represents the date that the trade was executed. Date is in YYYYMMDD format. | 8 |
| Execution Time | This field represents the execution time of the trade. Time is in HHMMSS military time format. | 6 |
| Trade Report Date | This field represents the date that the trade was reported to TRACE. Date is in YYYYMMDD format. | 8 |
| Trade Report Time | This field represents the time that the trade was reported to TRACE. Time is in HHMMSS military time format. | 6 |
| Settlement Date | YYYYMMDD format | 8 |
| Trade Modifier 3 | Z = reported late T = reported after market hours U = reported late after-market hours May be blank. | 1 |
| Trade Modifier 4 | W = weighted avg price O = Specified Pool Transaction N = Stipulated Transaction D = Dollar Roll w/o Stipulation L = Stipulated Dollar Roll Blank = Regular Trade | 1 |
| Buy/Sell Indicator | This field is used to identify whether the reported trade is a buy or sell. Applicable values are: B = Buy S = Sell | 1 |
| Buyer Commission | Represents the commission rate charged by the buyer, if applicable. Reported as points per bond. Includes decimal. | 9 |
| Buyer Capacity | Represents the capacity reported by the buyer. Applicable values are: A = Agency P = Principal | 1 |
| Seller Commission | Represents the commission rate charged by the seller, if applicable. Reported as dollar amount. | 9 |
| Seller Capacity | Represents the capacity reported by the seller. Applicable values are: A = Agency P = Principal | 1 |
| Contra Party Indicator | Identifies the type of trade based on the contra party reported. Applicable values are: C = Customer trade D = Inter Dealer trade4 A = Non-Member Affiliate T = ATS B = Depository Institution5 S = Depository Institution ATS5 N = Depository Institution Dealer5 | 1 |
| Locked In Indicator | Y = Locked In trade Will be blank on trades not reported as Locked-In. | 1 |
| ATS Indicator | This field will be populated if the transaction being reported is an ATS execution. An ATS execution can be either where an ATS reports the trade, is a contra party to the trade, or is neither but the trade is executed on an ATS’s platform. Y = ATS Trade | 1 |
| Special Price Indicator | Y = Special Price trade | 1 |
| Dissemination Flag | Indicates whether the trade was disseminated (via BTDS, or ATDS for Agency Bonds) or not. Applicable values are: Y = Trade was disseminated N = Trade was not disseminated | 1 |
| Prior Trade Report Date | YYYYMMDD format Populated on Cancels, Corrections and Reversals. Blank on regular Trade Reports. | 8 |
| Prior Reference Number | 7 digits identifier Populated on Cancels, Corrections and Reversals. Blank on regular Trade Reports. | 7 |
| Reference Data Identifier (RDID) | Only populated for subproduct code MBS. Will represent the RDID that the security was disseminated under at the time of the transaction report. Note, this will not be populated for transactions prior to July 22nd, 2013. | 25 |
| First Trade Control Date | YYYYMMDD format Populated on Cancels, Corrections and Reversals. | 8 |
| First Trade Control Number | 7 digits identifier Populated on Cancels, Corrections and Reversals. | 7 |
Example of end-of-file trailer:
201212282116120000040815
The trailer indicates the file was generated on December 28, 2012 at 9:16:12 p.m. ET and contains 40,815 records.
Notes
1 Only available in the CUSIP Version of the dataset
2 Only available in the “Non-CUSIP” Version of the dataset
3 A Reversal is a cancellation of a trade report that was originally submitted into TRACE greater than 20 business days. Reversals are identified in the dataset by the As Of Indicator value “R.” To apply reversals to their original trade report, reference all the basic trade details (TRACE Bond Symbol/CUSIP, Quantity, Price, Execution Date, Execution Time, Buy/Sell Indicator, Contra Party Indicator) provided in the reversal and look for matching details on earlier non-reversal transactions. Please note, the original trade may have been reported on an As Of basis therefore the original Trade Report Date may not necessarily reflect the original and reversal Execution Date.
4 The Enhanced Historic Time and Sales dataset includes disseminated and non-disseminated transactions, indicated by the Dissemination Flag. Inter-Dealer Buys (Contra Party Indicator = D, Buy/Sell Indicator = B) and Inter-Dealer Sells (Contra Party Indicator = D, Buy/Sell Indicator = S) reflect two sides of the same trade, reported from each member firm’s perspective. Only the Inter-Dealer Sell trade report is included in real-time dissemination. As long as the Inter-Dealer Sell trade meets the eligibility criteria for dissemination, the Dissemination Flag in the dataset shall reflect the value “Y.”
5 Values available starting on 09/01/2022.