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I have a .csv file that is essentially a log of trades of futures contracts.

I have the column names but can't figure out what some of them are.

There are the obvious "date", "time", "contract" columns...and then there are 6 columns in a row that are "p_ask1", "q_ask1", "p_bid1", "q_bid1", "last price" and "volume". The ones with the "p_" prefix have much bigger numbers (integers) than the ones with the "q_" prefix.

For example, a few lines would look like this:

      "p_ask1"  "q_ask1"  "p_bid1"  "q_bid1"  "last price"  "volume"
        3173       8        3170        1         3172         4
        68772      6        68762       8         68765       574 

I'm assuming that "p_ask1" and "p_bid1" are just the typical ask and bid prices since they are so close to "last price". However, I have no idea what "q_ask1" and "q_bit1" are.

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While I'm necessarily guessing, given the scant information to go on, those q_ variables are likely the ask size and the bid size. The units of those fields might be hundreds of shares, so that

q_ask1 = 8

indicates 800 shares being offered to sell at the ask price; then again, the values might be expressing something other than multiples of 100. Ideally, whatever source you obtained your .csv files from would have some sort of explicit data dictionary available.

  • Thank you, unfortunately I can't upvote yet. I edited my post to add a "volume" column just after "last price". Would that change your answer? I'm thinking of the ask/bid size you talk about as "what's available" to buy or sell and of "volume" as the size of the actual trade made. Would that make sense? It looks weird though because for the 2nd line the volume is much greater than the available ask/bid (unless you can't in multiples of 100 for those). – GeorgeK Jan 4 '16 at 0:41
  • I would naively expect the Volume to be reporting the total volume of that day's actual trading activity for the security in question; if that's right, and if I'm right that the other two are the bid size and ask size, then the values of those respective fields don't constrain or impact one another, so that the differences in magnitudes aren't troubling. (In any case, for good measure let me add that I personally wouldn't use this or any data without having some sort of authoritative confirmation of how it should be interpreted, and validation of the numbers. Do you know its origin?) – ETD Jan 4 '16 at 1:42

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