ASX Intra-Day Data
The ASX intra-day data captures all transactions which take place
on the ASX via the the Stock Exchange Automated Trading System (SEATS).
This includes all order and trade records. In order to access ASX
intraday data, a request must be submitted via the SIRCA online
Data
Consult Form. The database contains information that ASX considers
confidential and requires ASX approval before access can be granted.
Information on confidential data is available here.
The following information is available in this database:
Order Details
- ENTBID, ENTASK: These records represent new bid and ask orders
entered. Such orders enter the queue and are available for crossing
with incoming ask and bid orders respectively. They cross (or
trade) once they reach the front of the order queue, and another
order entered (or amended) satisfies their price conditions for
trade.
- CURBID, CURASK: These records represent orders which are still
current at the start of a trading day. That is, orders which have
been placed on previous trading days and are still standing at
the start of the following trading days.
CANBID, CANASK: Such records describe the cancellation of standing
bid and ask orders.
- TIKBID, TIKASK: These records represent the cancellations of
standing orders, which are then replaced with new orders which
are one price step closer to the market.
AMDBID, AMDASK: These records represent amendments to bid and
ask orders that have been entered. Effectively, these entries
result in the cancellation of the original order entered, and
its replacement with a new order which must join the end of the
appropriate price queue.
- DELBID, DELASK: Represent orders cancelled by the exchange at
the end of a trading day, or unconfirmed orders at the end of
trading halts.
| Field |
Description |
Notes |
| 1 |
Date |
|
| 2 |
Time (to the nearest hundredth of a second) |
|
| 3 |
Stock code |
|
| 4 |
Order type |
|
| 5 |
Price |
|
| 6 |
Volume |
|
| 7 |
Value |
|
| 8 |
Bid or ask |
|
| 9 |
Disclosed volume |
|
| 10 |
Undisclosed volume |
|
| 11 |
Broker identifier |
|
| 12 |
Order Flags |
1 |
 Notes
- The following is a list of the possible order
flags:
| Flag |
Description |
| AK |
All or Nothing (fill the whole order or cancel it) |
| FK |
Fill and Kill (fill as much as possible and cancel the balance) |
| UV |
Undisclosed order |
| od |
Odd lot order |
Trade Details
There are three types of trade records:
- TRADES: These records include all on market trades which arise
as a result of a matching bid and ask order.
- CANCEL: These records capture trades which have been cancelled
by the exchange.
- OFFTRD: These records trades which have executed off market,
pursuant the ASX trading rules and reported to the market via
SEATS.
The following fields are available for trade records:
| Field |
Description |
Notes |
| 1 |
Date |
|
| 2 |
Time (to the nearest hundredth of a second) |
|
| 3 |
Stock code |
|
| 4 |
Trade type |
|
| 5 |
Price |
|
| 6 |
Volume |
|
| 7 |
Trade Flags |
1 |
| 8 |
Trade Identifier |
|
| 9 |
Buying broker identifier |
|
| 10 |
Selling broker identifier |
|
| 11 |
Bid order identifier |
|
| 12 |
Ask order identifier |
|
Notes
- The following is a list of the possible trade
flags:
| Flag |
Description |
| Bi |
Buyer initiated trade (ie buyer crossed spread) |
| Si |
Seller initiated trade (ie seller crossed spread) |
| Oi |
Opening initiated trade (ie executed using opening algorithm) |
| Xi |
Crossing initiated trade (ie same buyer and seller) |
| CR |
Technical crossing |
| OF |
Off-market trade |
| ON |
On-market trade |
| od |
Odd-lot trade |
A number of parameters apply only to
off-market trades. These are as follows:
| Param |
Off-market trade |
Description |
| B |
Booking purpose |
Can be used for the purposes such as correcting a client identifier. |
| C |
Exercise call (includes warrants) |
A sale where an options holder has the right to purchase shares
at a stated price during a pre-specificed period of time. |
| D |
Directed reporting |
Trades may be instructed to be reported by the ASX. |
| J |
Equity combinations |
Equity combinations refer to buy/write and sell/take strategies.
These refer to buying and selling securities conditional on
an investor selling or purchasing exchange traded options. The
trade must not be less than 20 contracts. |
| K |
Buy Back |
Debt securities trade conditional upon ownership being restored
to the original owner of the securities. When ownership is restored,
the security is returned with the principal and interest. |
| L |
Loan |
A loan refers to a trade where one broker borrows securities
to be returned at a later date. |
| R |
Loan Return |
This refers to trades where borrowed securities are returned
back to the original owner. |
| T |
Exercise put (includes warrants) |
A sale where an options holder has the right to sell securities
at a stated price during a pre-specified period of time. |
| V |
Book Values Switch |
This refers to two trades done in combination for the purposes
of hedging. The individual trade prices may not reflect the
current trade prices. |
| W |
Market information |
A trade is reported to the market to indicate that it is no
relevant for booking purposes. |
| G |
Prompt Sale |
This parameter is used by CHESS for settlement purposes |
| H |
Prompt rebooking |
This parameter is used by CHESS for settlement purposes |
| E |
Special Crossing |
Single-security transactions with a value in excess of $1,000,000
are referred to as 'specials.' |
| I |
Index replicating special crossing |
The portfolio must include at least 90% of the stocks currrently
in the index and have a value of at least the minimum amount
for a block special crossing, or 90% of the current index. |
| N |
Late (or Overnight trades) |
These trades (that include best execution crossings - Parameter
X) occur overnight. |
| O |
Overseas |
Overseas trades occur during the enquire phase. Overseas trades
involve purchases or sales of securities where the counter-party
is a member of an overseas stock exchange or an overseas resident. |
| P |
Block Special Crossings (debt securities, equities, and warrants) |
Block special crossing in debt and equity securities may only
occur where the consideration is $1,000,000 and above. For equity
securities, must be of a single issuer and of the same class
and paid up value. Alternatively, if equity securities are of
different classes, but they only differ in the amount of dividend
payable, the parameter must be used. Block special crossing
in warrants must have a consideration of $500,000 and above
where the warrants to be bought and sold must be of the one
series. |
| X |
Individual trades |
Individual trades refer to trades that are part of a larger
trade portfolio with a value of $5,000,000 or above that consists
of at least 10 securities each with a value of $200,000 or above |
| Z |
Other Special Sales |
|
| F |
Forward Delivery |
|
| U |
Foreign to foreign transactions |
|
| Q |
Overseas Delivery |
|
Index Details
The ASX Intra-day Data also provides
intra-day index values which are updated every 60 seconds.
Other Data
In addition to order and trade information,
the ASX Intra-day Data allows users to identify other information
about the status of trading in particular stocks and in the market.
Security
Status Indicators
The security status may also be readily
identified with the following codes.
| Code |
Description |
| CB |
Cum Bonus |
| CC |
Cum Capital return |
| CD |
Cum Dividend Stock |
| CE |
Cum Entitlement |
| CF |
Cum Takeover Offer |
| CI |
Cum Interest |
| CL |
Cum Due |
| CM |
Cum Premium Return |
| CP |
Call Paid |
| CR |
Cum Rights |
| CT |
Conditional Trading |
| CZ |
Cum Priority |
| LC |
Lacking Compliance |
| NP |
Notice Pending |
| NR |
Notice Received |
| NS |
Under offer of takeover. No shortselling or specials allowed |
| NX |
New Ex Interest |
| PA |
Protection Available |
| PU |
Protection Unavailable |
| RA |
Receiver Appointed |
| RE |
Reconstructed |
| SE |
Stock Exchange Query |
| XB |
Ex Bonus Issue |
| XC |
Ex Return of Capital |
| XD |
Ex Dividend |
| XE |
Ex Entitlement |
| XF |
Ex Takeover Offer |
| XI |
Ex Interest |
| XM |
Ex Return of Premium |
| XR |
Ex Rights Issues |
| XZ |
Ex Priority |
Missing
Data
Unfortunately intra-day data for a
some days is unavailable. The table below identifies these days.
Where the table indicates Signals data this means that all data
is unavailable. Where the table indicates SEATS data this means
that only trading data is unavailable. Corporate actions and company
announcements will be available for these days.
| Date |
Type of Data |
| 10/01/1992 |
Signals |
| 31/08/1992 |
Signals |
| 18/03/1993 |
Signals |
| 07/07/1993 |
Signals |
| 08/07/1993 |
Signals |
| 09/07/1993 |
Signals |
| 12/07/1993 |
Signals |
| 11/08/1993 |
Signals |
| 12/08/1993 |
Signals |
| 13/08/1993 |
Signals |
| 16/08/1993 |
Signals |
| 30/11/1993 |
Signals |
| 20/12/1993 |
Signals |
| 21/12/1993 |
Signals |
| 22/12/1993 |
Signals |
| 23/12/1993 |
Signals |
| 24/12/1993 |
SEATS |
| 13/01/1994 |
Signals |
| 14/01/1994 |
Signals |
| 17/01/1994 |
Signals |
| 18/01/1994 |
Signals |
| 19/01/1994 |
Signals |
| 20/01/1994 |
Signals |
| 21/07/1997 |
SEATS |
| 04/09/1997 |
SEATS |
| 17/10/1997 |
Signals |
| 08/12/1997 |
Signals |
| 07/05/1998 |
SEATS |
| 03/02/1999 |
SEATS |
|
