Tradeweb data format

Table of Contents

1. Summary

Tradeweb publishes pricing for fixed income and other OTC markets. It does not publish a public symbology or field dictionary. We therefore identify a Tradeweb quote by a standard market identifier and say plainly what is still open.

2. Detail

2.1. The id scheme

Tradeweb has no public id grammar. FIX, the protocol it uses for connectivity, names an id with a SecurityIDSource and a SecurityID. For a bond we use the scheme isin, and the external id is the ISIN. Another standard source, such as cusip, gets its own scheme code. We do not invent a Tradeweb notation.

2.2. The fields

Tradeweb gives indicative and benchmark prices, and an end of day dataset called Marks. The public pages do not list field names.

Not yet decided: the field names and the pricing basis (bid, ask, mid, yield or price). The mapping inventory task settles them with the contract in hand.

2.3. On the wire

An adapter of this provider sends the tick fields below. See The adapter subjects for the subject.

Tick field Example
id scheme isin
external id (an ISIN)
field (a Tradeweb field name)
value (decimal text) (decimal text)

The ingress subject token for the id is (the ISIN). The service never decodes the token. It reads the id from the payload.

2.4. The mapping

A Tradeweb vendor instrument maps to the oresmd item for the bond or for the rate it quotes. Several providers can quote one bond, so the mapping is many to one.

2.5. What the simulator does

The simulated Tradeweb source publishes ticks with isin, the ISIN and a field. It does not speak FIX.

2.6. External references

  • Tradeweb data through LSEG — the Tradeweb datasets that LSEG distributes, with their frequencies and delivery.
  • Tradeweb Marks through LSEG — the end of day dataset.
  • The Tradeweb FIX specification and its market data field dictionary are not public. Tradeweb gives them to clients.

3. See also

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