1   QuantHouse Historical Data Platform Data Guide documentation

1.1   Indices and tables

The QuantHouse Historical Data service outputs daily GZipped, comma-separated text files.

1.2   File naming

File names follow the convention below: <Date>_<EID>_<DataType>.csv.gz

Where

  • Date is the market extraction date
  • EID is the QuantHouse Entitlement ID
  • DataType is one of L1-Full, L1-Trades, MBL or Referential
    • L1-Full files contain 1.3   L1 Events data, including the whole set of columns
    • L1-Trades files store 1.3   L1 Events data, restricted to trade information
    • MBL files store 1.4   Market By Level events
    • Referential files contain static information regarding each instrument in the L1 or MBL files

Examples:

  • 2017-01-01_1053_L1.csv.gz
  • 2017-01-01_1053_Referential.csv.gz
  • 2017-01-01_1053_TickSizes.csv.gz

1.3   L1 Events

L1 events are hierarchical structures mapped to CSV columns. Substructures are converted as underscore (_) -separated paths. For instance, the MarketTimestamp field in the TradeEvent structure is output as column TradeEvent_MarketTimestamp.

L1 uses two different messages: 1.3.1   TradeEvent and 1.3.2   TCC (for ‘Trade Cancel or Corrections’). The two messages are exclusive: when columns for TradeEvent are set, columns for TCC are empty. Still, the two messages share columns Code and ServerTimestamp. These two columns are always set.

1.3.1   TradeEvent

TradeEvents carry Best Bid, Best Ask and Trade information.

1.3.2   TCC

TCC carry Trade Cancel or Correction information, including the Original trade and the Corrected trade.

1.3.3   Columns

  • Code - the QuantHouse instrument identifier 1.4.5.1   Code

  • ServerTimestamp - event reception timestamp (in microseconds since Epoch)

  • TradeEvent

    • MarketTimestamp - event timestamp, as published by the exchange (in microseconds since Epoch)
    • Flags
      • Open - Signal an open event.
      • Close - Signal a close event.
      • High - Signal that the price is a high price.
      • Low - Signal that the price is a low price.
      • OCHL_IsDaily - Indicates that the signal is a daily event (as opposed to a session event).
      • OffBookTrade - Indicates that the current trade is off-book.
      • ChangeBusinessDay - Signals a business day transition. l1qt_technical_open
      • OpeningNextCalendarDay - Indicates that the technical open signal (ChangeBusinessDay) or the functional open signal (Open|OCHL_IsDaily) refers to the next day; so that, if this signal arrives on 2010-02-03, the CurrentBusinessDay will be set to 2010-02-04.
      • Session - Indicates that the current event refers to a session event.
    • BestBid
    • BestAsk
    • LastPrice
    • LastTradeQuantity
    • Context - a list of OPTIONAL tags, which varies with markets and instruments. See the list of possible tags 1.4.9   Quotation Context Tags
    • Values - a list of OPTIONAL tags, which varies with markets and instruments. See the list of possible tags 1.4.8   Quotation Tags

  • TCC

    • Flags
      • IsCorrection - If set, the content is a correction and the corrected trade field is valid; otherwise the content is a cancel, and corrected trade is undefined.
      • IsFromVenue - If set, this trade cancel/correction is official coming from the exchange; otherwise this comes from an intermediate operator correcting some previous error.
      • IsOffBookTrade - Indicates that this trade cancel/correction is relative to an off-book trade
      • IsCurrentSession - If set, this cancel/correction is relative to a trade that occurred in the current session; otherwise it is relative to an event from a previous session.
    • OriginalTrade
    • CorrectedTrade
    • TradingSessionId
    • CorrectedValues - a list of OPTIONAL tags, which varies with markets and instruments. See the list of possible tags 1.4.8   Quotation Tags

1.4   Market By Level

Market-By-Level (MBL) or Order Book refers to the top best prices in the market, with all the orders at the same price being aggregated.

The MBL book is maintained by a stream of 1.4.1   MBLOverlapRefresh, 1.4.2   MBLDeltaRefresh or 1.4.3   MBLMaxVisibleDepth events.

1.4.1   MBLOverlapRefresh

Note

Active instruments have an MBLOverlapRefresh sent periodically (typically every 15 minutes) to refresh the full book. This provides an initial snapshot to apply updates to.

MBLOverlapRefresh updates a part or the entire Bid and/or Ask sides on a given layer.

1.4.1.1   LayerID

  • 0: outright orders aggregated by price;
  • 1: implied orders aggregated by price;
  • 2: retail orders aggregated by price;
  • 3: odd lot orders aggregated by price;
  • 4: term orders aggregated by price;
  • 5: firm quote orders aggregated by price.

1.4.1.2   Limits

An MBL limit is split as three columns:

The Ask and Bid limit lists can be empty. When not empty, prices are ordered from best to worst in the list.

1.4.1.3   The Change Indicator

The change indicator encodes two separate fields:

  • start_level: the location/depth target of the first order book entry to overwrite;
  • is_full: a boolean value indicating if the order book entries following the update should be cleared, hence reducing the book depth.

At the start_level, copy the provided order book entries, overwriting any existing value (if any). When is_full is true, discard all entries following the last updated line.

To handle the indicator, use the following pseudo-code:

int start_level;
boolean is_full;
if (indicator < 0) {
    is_full=true;
    start_level=-indicator-1;
} else {
    is_full=false;
    start_level=indicator;
}

1.4.2   MBLDeltaRefresh

MBLDeltaRefresh performs a partial update on a given layer. The type of update is indicated by the field named Action. The table below details the supported actions:

  • Code - the QuantHouse instrument identifier 1.4.5.1   Code
  • LayerId: the layer identifier;
  • MarketTimestamp: the exchange official update timestamp;
  • ServerTimestamp: the QuantHouse server reception timestamp;
  • DeltaAction: an enumerated value, as explained below;
  • Level;
  • Price. See 1.4.6.1   Magic Prices;
  • CumulatedUnits;
  • NbOrders. See 1.4.6.2   NbOrders;
  • Continuation flag;
  • OtherValues: List of quotation values update.

Depending on the action, some fields might be meaningless. Here are the different possible actions:

0 - ALLClearFromLevel Deletes ALL entries, starting from Level (included)
1 - BidClearFromLevel Deletes bid entries, starting from Level (included)
2 - AskClearFromLevel Deletes ask entries, starting from Level (included)
3 - BidInsertAtLevel Inserts bid entry (Price, Quantity) at Level and shifts subsequent lines down
4 - AskInsertAtLevel Inserts ask entry (Price, Quantity) at Level and shifts subsequent lines down
5 - BidRemoveLevel Removes bid entry at Level and shifts subsequent lines up
6 - AskRemoveLevel Removes ask entry at Level and shifts subsequent lines up
7 - BidChangeQtyAtLevel Updates the bid quantity at the specified level
8 - AskChangeQtyAtLevel Updates the ask quantity at the specified level
9 - BidRemoveLevelAndAppend Removes the bid entry at the specified level and appends a new bid entry at the end of the order book
10 - AskRemoveLevelAndAppend Removes the ask entry at the specified level and appends a new ask entry at the end of the order book

1.4.3   MBLMaxVisibleDepth

MBLMaxVisibleDepth updates the “visible” depth (how many top prices are visible to subscribers). -1 indicates that the depth is not limited.

  • Two Timestamps: the official Market Timestamp (which can be null) and the server Timestamp;
  • Number of Orders (when provided by the exchange): the new MBL is designed to host order books that detail the price, the cumulated quantity and the number of orders;
  • Other Values: the extended MBL is able to carry “other values” (currently used only on consolidated feeds).

1.4.4   Examples of Order Book Updates

The following sections contain examples of order book updates. The actions OrderBookDeltaAction, AskXXX have the same behavior on the Ask side as the OrderBookDeltaAction BidXXX on the Bid side.

The following convention applies:

  • The () denote a valuable list of the same type
  • The {} denote a structure made by several fields.

The list of examples includes:

1.4.4.1   MBLDeltaRefresh, action=BidChangeQtyAtLevel

1.4.4.1.1   Before
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3100 x 2331 @ 10 ASK 53.3500 x 1936 @ 5
2 BID 53.3000 x 8109 @ 8  ASK 53.3600 x 2978 @ 7
3 BID 53.2900 x 2482 @ 12 ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************
1.4.4.1.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:40:519,
              Market_utc_time=2010-11-08 16:22:40:519}
- Action=BidChangeQtyAtLevel
- Level=0
- Price=<not relevant>
- Qty={cumulated=958, nb_orders=3}
- ContinuationFlag=false
- OtherValues=()
1.4.4.1.3   After
0 BID 53.3200 x 958  @ 3  ASK 53.3400 x 501  @ 3
1 BID 53.3100 x 2331 @ 10 ASK 53.3500 x 1936 @ 5
2 BID 53.3000 x 8109 @ 8  ASK 53.3600 x 2978 @ 7
3 BID 53.2900 x 2482 @ 12 ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************

1.4.4.2   MBLDeltaRefresh, action=BidRemoveLevel

1.4.4.2.1   Before
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3100 x 2331 @ 10 ASK 53.3500 x 1936 @ 6
2 BID 53.3000 x 8109 @ 8  ASK 53.3600 x 2978 @ 7
3 BID 53.2900 x 2482 @ 12 ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************
1.4.4.2.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:40:887,
              Market_utc_time=2010-11-08 16:22:40:887}
- Action=BidRemoveLevel
- Level=1
- Price=<not relevant>
- Qty={cumulated=<not relevant>, nb_orders=<not relevant>}
- ContinuationFlag=false
- OtherValues=()
1.4.4.2.3   After
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3000 x 8109 @ 8  ASK 53.3500 x 1936 @ 6
2 BID 53.2900 x 2482 @ 12 ASK 53.3600 x 2978 @ 7
3 BID ******************* ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************

1.4.4.3   MBLDeltaRefresh, action=BidInsertAtLevel

1.4.4.3.1   Before
0 BID 53.3000 x 8109 @ 8  ASK 53.3500 x 1936 @ 6
1 BID 53.2900 x 2482 @ 12 ASK 53.3600 x 2978 @ 7
2 BID 53.2800 x 3829 @ 8  ASK 53.3700 x 1988 @ 7
3 BID ******************* ASK 53.3800 x 814  @ 6
4 BID ******************* ASK *******************
1.4.4.3.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:41:807,
              Market_utc_time=2010-11-08 16:22:41:807}
- Action=BidInsertAtLevel
- Level=2
- Price=53.285
- Qty={cumulated=1914, nb_orders=4}
- ContinuationFlag=false
- OtherValues=()
1.4.4.3.3   After
0 BID 53.3000 x 8109 @ 8  ASK 53.3500 x 1936 @ 6
1 BID 53.2900 x 2482 @ 12 ASK 53.3600 x 2978 @ 7
2 BID 53.2850 x 1914 @ 4  ASK 53.3700 x 1988 @ 7
3 BID 53.2800 x 3829 @ 8  ASK 53.3800 x 814  @ 6
4 BID ******************* ASK *******************

1.4.4.4   MBLDeltaRefresh, action=BidRemoveLevelAndAppend

1.4.4.4.1   Before
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3100 x 2331 @ 10 ASK 53.3500 x 1936 @ 6
2 BID 53.3000 x 8109 @ 8  ASK 53.3600 x 2978 @ 7
3 BID 53.2900 x 2482 @ 12 ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************
1.4.4.4.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:40:243,
              Market_utc_time=2010-11-08 16:22:40:243}
- Action=BidRemoveLevelAndAppend
- Level=1
- Price=53.28
- Qty={cumulated=2, nb_orders=2}
- ContinuationFlag=false
- OtherValues=()
1.4.4.4.3   After
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3000 x 8109 @ 8  ASK 53.3500 x 1936 @ 6
2 BID 53.2900 x 2482 @ 12 ASK 53.3600 x 2978 @ 7
3 BID 53.2800 x 2    @ 2  ASK 53.3800 x 814  @ 6
4 BID ******************* ASK *******************

1.4.4.5   MBLDeltaRefresh, action=BidClearFromLevel

1.4.4.5.1   Before
0 BID 53.3200 x 958  @ 3 ASK 53.3400 x 250  @ 1
1 BID 53.3100 x 1165 @ 5 ASK 53.3500 x 968  @ 2
2 BID 53.3000 x 4054 @ 4 ASK 53.3600 x 1489 @ 3
3 BID 53.2900 x 1241 @ 6 ASK 53.3700 x 994  @ 3
4 BID ****************** ASK *******************
1.4.4.5.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:41:159,
              Market_utc_time=2010-11-08 16:22:41:159}
- Action=BidClearFromLevel
- Level=2
- Price=<not relevant>
- Qty=<not relevant>
- ContinuationFlag=false
- OtherValues=()
1.4.4.5.3   After
0 BID 53.3200 x 958  @ 3 ASK 53.3400 x 250  @ 1
1 BID 53.3100 x 1165 @ 5 ASK 53.3500 x 968  @ 2
2 BID ****************** ASK 53.3600 x 1489 @ 3
3 BID ****************** ASK 53.3700 x 994  @ 3
4 BID ****************** ASK *******************

1.4.4.6   MBLDeltaRefresh, action=ALLClearFromLevel

1.4.4.6.1   Before
0 BID 53.3200 x 958  @ 3 ASK 53.3400 x 250  @ 1
1 BID 53.3100 x 1165 @ 5 ASK 53.3500 x 968  @ 2
2 BID ****************** ASK 53.3600 x 1489 @ 3
3 BID ****************** ASK *******************
1.4.4.6.2   Received Notification
notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:22:48:158,
              Market_utc_time=2010-11-08 16:22:48:158}
- Action=ALLClearFromLevel
- Level=0
- Price=<not relevant>
- Qty={cumulated=<not relevant>, nb_orders=<not relevant>}
- ContinuationFlag=false
- OtherValues=()
1.4.4.6.3   After
0 BID ******************* ASK *******************

1.4.4.7   Continuation Flag

1.4.4.7.1   Initial Snapshot
0 BID 53.3200 x 1916 @ 6  ASK 53.3400 x 501  @ 3
1 BID 53.3100 x 2331 @ 10 ASK 53.3500 x 1936 @ 5
2 BID 53.3000 x 8109 @ 8  ASK 53.3600 x 2978 @ 7
3 BID 53.2900 x 2482 @ 12 ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************
1.4.4.7.2   First Event

Layer 0 is locked on Price 53.34. The consistency of the cache book is not guaranteed with the current event.

notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2013-12-03 16:49:11:147,
              Market_utc_time=2013-12-03 16:49:11:147}
- Action=BidInsertAtLevel
- Level=0
- Price=53.34
- Qty={cumulated=666, nb_orders=1}
- ContinuationFlag=true
- OtherValues=()

Bid and Ask sides are locked at price 53.34

1.4.4.7.3   Cache Book After First Event (ContinuationFlag=true)
0 BID 53.3400 x 666  @ 1  ASK 53.3400 x 501  @ 3
1 BID 53.3200 x 1916 @ 6  ASK 53.3500 x 1936 @ 5
2 BID 53.3100 x 2331 @ 10 ASK 53.3600 x 2978 @ 7
3 BID 53.3000 x 8109 @ 8  ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************
1.4.4.7.4   Second Event

The book is then unlocked with a Delta that has the Continuation Flag set to False.

notification=MBLDeltaRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2013-12-03 16:49:11:147,
              Market_utc_time=2013-12-03 16:49:11:147}
- Action=AskRemoveLevel
- Level=0
- Price=0
- Qty={cumulated=0, nb_orders=<empty>}
- ContinuationFlag=false
- OtherValues=()
1.4.4.7.5   Cache Book After Second Event, Unlocked Cache Book (ContinuationFlag=false)
0 BID 53.3400 x 666  @ 1  ASK 53.3500 x 1936 @ 5
1 BID 53.3200 x 1916 @ 6  ASK 53.3600 x 2978 @ 7
2 BID 53.3100 x 2331 @ 10 ASK 53.3700 x 1988 @ 7
3 BID 53.3000 x 8109 @ 8  ASK *******************
4 BID ******************* ASK *******************

1.4.4.8   MBLOverlapRefresh

1.4.4.8.1   Field Description
notification=MBLOverlapRefresh
- BidChangeIndicator=...
- AskChangeIndicator=...
- BidLimits=({ Price { QTY NbOrders } })
- AskLimits=({ Price { QTY NbOrders } })

For each side (bid, ask), a list of order book entries is provided along with an indicator. The list of entries can be empty. When not empty, the best prices display first. The indicator specifies:

  • start_level: indicates the depth where the order book entries belong
  • is_full: a boolean value indicating if the order book entries span up to the bottom of the visible book.

At the start_level, you should copy the provided order book entries, overwriting any existing value (if any). When is_full is true, you should crop any previous entries that go deeper than the latest entry being updated.

To handle the indicator:

int start_level;
boolean is_full;
if (indicator < 0) {
    is_full=true;
    start_level=-indicator-1;
} else {
    is_full=false;
    start_level=indicator;
}

For more details, see also the following sections.

1.4.4.8.2   Overlap
1.4.4.8.2.1   Before
0 BID 13.3000 x 8122 @ 7  ASK 13.3400 x 51   @ 3
1 BID 13.2900 x 1112 @ 5  ASK 13.3500 x 936  @ 16
2 BID 13.2700 x 1996 @ 20 ASK 13.3600 x 8941 @ 5
3 BID 13.2600 x 718  @ 11 ASK 13.3700 x 985  @ 17
4 BID ******************* ASK ********************
1.4.4.8.2.2   Received Notification

start_level=0 and is_full=false

notification=MBLOvelapRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:52:22:100,
              Market_utc_time=2010-11-08 16:52:22:100}
- BidChangeIndicator=0
- AskChangeIndicator=0
- BidLimits=( { 13.295 { 9885 10 } } { 13.28 { 3273 9 } } )
- AskLimits=()
- OtherValues=()
1.4.4.8.2.3   After
0 BID 13.2950 x 9885 @ 10 ASK 13.3400 x 51   @ 3
1 BID 13.2800 x 3273 @ 9  ASK 13.3500 x 936  @ 16
2 BID 13.2700 x 1996 @ 20 ASK 13.3600 x 8941 @ 5
3 BID 13.2600 x 718  @ 11 ASK 13.3700 x 985  @ 17
4 BID ******************* ASK ********************
1.4.4.8.3   Overlap and Crop
1.4.4.8.3.1   Before
0 BID 13.3000 x 8122 @ 7  ASK 13.3400 x 51   @ 3
1 BID 13.2900 x 1112 @ 5  ASK 13.3500 x 936  @ 16
2 BID 13.2700 x 1996 @ 20 ASK 13.3600 x 8941 @ 5
3 BID 13.2600 x 718  @ 11 ASK 13.3700 x 985  @ 17
4 BID ******************* ASK ********************
1.4.4.8.3.2   Received Notification

start_level=1 and is_full=true

notification=MBLOvelapRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:52:22:100,
              Market_utc_time=2010-11-08 16:52:22:100}
- BidChangeIndicator=-2
- AskChangeIndicator=0
- BidLimits=( { 13.29 { 985 10 } } { 13.28 { 1173 19 } }  )
- AskLimits=()
- OtherValues=()
1.4.4.8.4   After
0 BID 13.3000 x 8122 @ 7  ASK 13.3400 x 51   @ 3
1 BID 13.2900 x 985  @ 10 ASK 13.3500 x 936  @ 16
2 BID 13.2800 x 1173 @ 19 ASK 13.3600 x 8941 @ 5
3 BID ******************* ASK 13.3700 x 985  @ 17
4 BID ******************* ASK ********************
1.4.4.8.5   Before
0 BID 13.3000 x 8122 @ 7  ASK 13.3400 x 51   @ 3
1 BID 13.2900 x 1112 @ 5  ASK 13.3500 x 936  @ 16
2 BID 13.2700 x 1996 @ 20 ASK 13.3600 x 8941 @ 5
3 BID ******************* ASK ********************
1.4.4.8.5.1   Received Notification

start_level=0 and is_full=false

notification=MBLOvelapRefresh
- Code=<numeric instrument code>
- LayerID=0
- Timestamps={Server_utc_time=2010-11-08 16:52:22:100,
              Market_utc_time=2010-11-08 16:52:22:100}
- BidChangeIndicator=0
- AskChangeIndicator=0
- BidLimits=( { 13.31 { 985 10 } } { 13.30 { 1173 19 } } { 13.29 { 9185 2 } }
              { 13.28 { 233 3 } } )
- AskLimits=()
- OtherValues=()
1.4.4.8.6   After
0 BID 13.3100 x 985  @ 10 ASK 13.3400 x 51   @ 3
1 BID 13.3000 x 1173 @ 19 ASK 13.3500 x 936  @ 16
2 BID 13.2900 x 9185 @ 2  ASK 13.3600 x 8941 @ 5
3 BID 13.2800 x 233  @ 3  ASK ********************
4 BID ******************* ASK ********************

1.4.4.9   MBLMaxVisibleDepth

0 BID 53.3100 x 2331 @ 10 ASK 53.3300 x 473  @ 1
1 BID 53.3000 x 8109 @ 8  ASK 53.3400 x 501  @ 3
2 BID 53.2700 x 1626 @ 2  ASK 53.3600 x 3273 @ 9
3 BID 53.2600 x 811  @ 5  ASK 53.3700 x 1988 @ 7
4 BID ******************* ASK *******************

notification=MBLMaxVisibleDepth
- Code=<numeric instrument code>
- LayerID=0
- MaxVisibleDepth=2

0 BID 53.3100 x 2331 @ 10 ASK 53.3300 x 473 @ 1
1 BID 53.3000 x 8109 @ 8  ASK 53.3400 x 501 @ 3
2 BID ******************* ASK ******************

1.4.5   Referential

See 1.4.7   Referential Tags

1.4.5.1   Code

The Internal Code is a numeric value used internally to uniquely identify an instrument.

1.4.5.2   TradingStatus

TradingStatus is a quotation variable with integer value, used to represent the current status of an instrument. Possible values are based on those of the FIX tag SecurityTradingStatus (326):

  • UNKNOWN;
  • OpeningDelay;
  • TradingHalt;
  • Resume;
  • NoOpenNoResume;
  • PriceIndication;
  • TradingRangeIndication;
  • MarketImbalanceBuy;
  • MarketImbalanceSell;
  • MarketOnCloseImbalanceBuy;
  • MarketOnCloseImbalanceSell;
  • NoMarketImbalance;
  • NoMarketOnCloseImbalance;
  • ITSPreOpening;
  • NewPriceIndication;
  • TradeDisseminationTime;
  • ReadyToTrade;
  • NotAvailableForTrading;
  • NotTradedOnThisMarket;
  • UnknownOrInvalid;
  • PreOpen;
  • OpeningRotation;
  • FastMarket;
  • PreCross;
  • Cross.

1.4.5.3   MarketBranchId

MarketBranchId is the identifier of a referential branch. It consists of:

  • market identifier (MIC): numerical identifier;
  • security type: string;
  • CFI code: string.

Every instrument belongs to one branch (and one only).

A MarketBranchId can also host a branch filter; in that case each of these fields can contain patterns:

  • MARKET_ID_unknown (0) is the wildcard value for FOSMarketId;
  • "" (empty string) is the wildcard value for security types;
  • for CFI codes, ending letters can be omitted to indicate a wodlcard value; for example “E” matches “ESXXXX” and “EUXXXX”, but “EX” won’t.

1.4.5.4   MarketCharacteristics

MarketCharacteristics is used to describe a market. It consists of:

  • numerical identifier (bound to a 4-letter acronym constant);
  • name;
  • name of the timezone attached to it;
  • name of the country;
  • maximum number of instruments for this market.

1.4.5.5   VariableIncrementPriceBandTable

VariableIncrementPriceBandTable is used to store variable tick size information. That is the association between a price and its minimal increment.

Exchanges may indeed define the minimal increment that applies by price ranges. For example: prices between 0 and 1 have 0.01 increment, prices between 1 and 10 have 0.1 increment, prices between 10 and 100 have 1 minimal increment, etc. Meaning that 0.52 may exist but 0.521 may not; 3.6 exist but 3.75 does not, etc.

Each instrument may have a different table. The referential value PriceIncrement_dynamic_TableId indicates (if present) what table to currently use for an instrument. Note that this table ID might change over time.

It consists of:

  • Numerical identifier (uint32);
  • Description (string);
  • List of price bands:
    • Boolean indicating whether boundary is included or not;
    • Lower price to apply this increment to;
    • Price increment.

Example of bands:

>  100 : 0.5
>= 10  : 0.05
>= 1   : 0.005
>= 0.5 : 0.001

This table reads like this: price increment is 0.001 for prices between 0.5 (included) and 1 (excluded), price increment is 0.005 for prices between 1 (included) and 10 (excluded), etc. The upper band reads: price increment is 0.5 for prices higher than 100 (excluded).

1.4.6   Quotation

1.4.6.1   Magic Prices

The API defines 4 constants used as “magic” prices:

  • 666666.666: an Unquoted price field. Field has no value;
  • 999999.999: a price At Best. Price references the current best price;
  • 999999.989: a price At Open. Price references the current opening price;
  • 999999.979: a PEG order. According to the Euronext documentation, a pegged order is a limit order to buy or sell a stated amount of a security at a displayed price set to track the current bid or ask of the Euronext Central Order Book. See Euronext documentation for more details.

These constants can be seen in any type of pricing data.

1.4.6.2   NbOrders

The NbOrders API defines 2 constants associated with the “number of orders” part of a quantity:

  • EMPTY: the associated price has been reset. Usually, the last value of the price is left as-is so that users can know what was the price before the reset. It means that a price cannot be interpreted without considering its associated quantity (if relevant).
  • -1: information not provided by the market.

1.4.7   Referential Tags

Tag Name Tag ID Syntax Definition Description Usage Content Origin Scope Sample Data
FOSMarketId 207 uint16 Parent market’s ID (internal numeric form). See FIX tags SecurityExchange     Internal Mandatory on all instruments 12
ExDestination 100 String     Unused      
CFICode 461 String Classification of financial instrument (CFI) Code is used to define and describe financial instruments as a uniform set of codes for all market participants according to ISO 10962.     Normalized Mandatory on all instruments “ESXXXX”
SecurityType 167 String Indicates type of security, FIX tag 167.     Normalized Mandatory on all instruments “FUT”
SecuritySubType 762 String Market specific values, sub-type qualification/identification of the SecurityType. See FIX standard, tag 762     Venue/Specific optional “Equity Linked; Allotment Rights”
Symbol 55 String Ticker symbol. Common, “human understood” representation of the security. See FIX standard, tag 55     Internal optional “VOD”
Description 107 String Can be used to provide an optional textual description for a financial instrument. See FIX standard, tag 107     Venue optional “VODAFONE GROUP PLC ORD USD0.20 20/21”
Product 460 uint32     Unused      
CountryOfIssue 470 String ISO Country code of instrument issue (e.g. the country portion typically used in ISIN). See FIX standard, tag 470     Venue optional “POL”
PriceCurrency 15 String Identifies currency used for price. See FIX standard, tag 15     Venue    
ContractMultiplier 231 float64 Specifies the ratio or multiply factor to convert from “nominal” units (e.g. contracts) to total units (e.g. shares). See FIX standard, tag 231     Venue optional for bonds, derivatives 60
StrikePrice 202 float64 Strike Price for an Option. See FIX standard, tag 202     Venue Mandatory for options 57
StrikeCurrency 947 String Currency in which the StrikePrice is denominated. See FIX standard, tag 947     Venue Mandatory for options “PLN”
OptAttributeVersion 206 uint8 Provided to support versioning of option contracts as a result of corporate actions or events. See FIX standard, tag 206 (contract version only)   Unused Venue    
NbLegs 555 uint8 Number of leg for a strategy or consolidated instrument, See FIX standard, tag 555     Venue Mandatory for indices, strategies or consolidated instrument 2
CouponRate 223 float64            
CouponPaymentDate 224 uint32 Date interest is to be paid. Used in identifying Corporate Bond issues. See FIX standard, tag 224.     Venue    
RoundLot 561 float64 The trading lot size of a security. See FIX standard, tag 561     Venue optional  
MinTradeVol 562 float64 The minimum order quantity that can be submitted for a security. See FIX standard, tag 562     Venue   1
CreditRating 255 String     Unused      
Issuer 106 String Name of security issuer (e.g. International Business Machines, GNMA). See FIX standard, tag 106.     Venue   “VODAFONE GROUP PLC”
IssueDate 225 Timestamp The date on which a bond or stock offering is issued. It may or may not be the same as the effective date (“Dated Date”) . See FIX standard, tag 225.     Venue    
Factor 228 float64 For Derivatives: Contract Value Factor by which price must be adjusted to determine the true nominal value of one futures/options contract. See FIX standard, tag 228     Venue optional for derivatives 20
FinancialStatus 291 String Market specific values, identifies a firm’s or a security’s financial status. See FIX standard, tag 291.     Venue/Specific    
PriceType 423 uint8 Code to represent the price type.     Venue    
Account 1 String     Unused      
DatedDate 873 Timestamp The effective date of a new securities issue determined by its underwriters. Often but not always the same as the Issue Date and the Interest Accrual Date. See FIX standard, tag 873.   Unused      
MarketSegmentDesc 1396 String Market specific values, description or name of Market Segment, see FIX tag 1396.     Venue/Specific   “OMX STO Warrants”
MarketSegmentID 1300 String Market specific values, identifying the group to which a financial instrument belongs.     Venue/Specific   4
StdMaturity 200 String Deprecated - Official maturity, year and month (quarter (week))   Deprecated Internal optional on Derivatives “201502”
MatchAlgorithm 1142 String The types of algorithm used to match orders in a specific security.     Venue   “T”
UnitOfMeasure 996 String The unit of measure of the underlying commodity upon which the contract is based.     Venue optional on Commodities “IPNT”
SecurityGroup 1151 String Market specific values, identifying the group to which a financial instrument belongs.     Venue/Specific    
LotType 1093 uint8 Defines the lot type assigned to the order. Sess FIX tags, tag 1093.     ?   2
MaxTradeVol 1140 float64 The maximum order quantity that can be submitted for a security. See FIX tag 1140.     Venue   9999
MaxFloor 111 float64 The quantity to be displayed . Required for reserve orders. On orders specifies the qty to be displayed, on execution reports the currently displayed quantity. See FIX tag 111.     Venue    
ProductComplex 1227 String Market specific values, identifies an entire suite of products for a given market. See FIX tag 1227.     Venue/Specific    
SecurityStatus 965 uint8 Market specific values, denotes the current state of the Instrument. Note - Does not follow FIX tag 965.     Venue/Specific optional 0
LocalCodeStr 9500 String Market specific values, Unique identifier inside parent market (identified by FOSMarketId and InternalEntitlmentId). See FIX tags SecurityID, SecurityIDSource.     Venue/Specific Mandatory on all instruments “SB10U5Z5”
ForeignFOSMarketId 9501 uint16 Real market the instrument is listed on.     Internal optional instruments of MTF 295 displayable as “XLON”
ForeignMarketId 9502 String Real market the instrument is listed on, set when parent market does not have an ISO MIC     Internal   295 displayable as “XLON”
ISIN 9503 String 12 character alpha-numerical code, structure is defined in ISO 6166. See FIX tags Security[Alt]ID, Security[Alt]IDSource     Venue optional on all cash and futures “US5806451093”
CUSIP 9504 String Nine-character alphanumeric code that identifies a North American financial security.     Venue optional  
CINS 9541 String An extension to the CUSIP numbering system, which is used to uniquely identify securities offered outside of the United States and Canada.     Venue optional  
SEDOL 9505 String Security identifier used in UK and Ireland for clearing purposes.     Venue optional “BH4HKS3”
PriceIncrement_static 9506 float64 Static tick size cannot be defined along with PriceIncrement_dynamic_TableId, value is a price tick value.     Venue   0,01
PriceDisplayPrecision 9507 int16 Sent on some market, number of digits to be considered for a price.     Venue optional 2
ReutersInstrumentCode 9508 String TR RIC name for the current instrument     Venue   “AGFBb.CHI”
UnderlyingFOSMarketId 9509 uint16 Market of underlying instrument, UnderlyingLocalCodeStr will be set also.     Internal optional on Derivatives  
UnderlyingLocalCodeStr 9510 String LocalCodeStr of underlying instrument, UnderlyingFOSMarkerId will be set also.     Internal optional on Derivatives “MIBFTP”
UnderlyingFOSInstrumentCode 9511 uint32 Identifier of underlying (UnderlyingFOSMarketId and UnderlyingLocalCodeStr will not be set if this tag is set)     Internal optional on Derivatives  
MaturityYear 9512 uint16 See FIX tag MaturityMonthYear     Venue optional on Derivatives 2014
MaturityMonth 9513 uint8 See FIX tag MaturityMonthYear     Venue optional on Derivatives 12
MaturityDay 9514 uint8 See FIX tag MaturityDate     Venue optional on Derivatives 12
IsFrontMonth 9582 bool Identifies the Front Month (or Front Contract) on Future instruments The front contract month refers to the contract month with an expiration date closest to the current date. Initially this tag will be populated at Front-End level by a script and it will only cover Commodity Futures on “CME group” exchanges. Default value: “false“.   Internal optional on Futures  
ICB_IndustryCode 9515 uint32 Deprecated - See Industry Classification Benchmark   Deprecated Venue    
ICB_SupersectorCode 9516 uint32 Deprecated - See Industry Classification Benchmark   Deprecated Venue    
ICB_SectorCode 9517 uint32 Deprecated - See Industry Classification Benchmark   Deprecated Venue    
ICB_SubsectorCode 9518 uint32 Deprecated - See Industry Classification Benchmark   Deprecated Venue    
BloombergTicker 9519 String Specific Bloomberg identifier for a financial instrument that reflects common usage. Bloomberg Tickers are not unique to specific exchanges or specific pricing sources and may change in conjunction with Corporate Actions.   Venue optional (may be set on demand) IBMGBX
WertpapierKennNummer 9520 String The Wertpapierkennnummer, (WKN, WPKN, WPK or simply Wert), is a German securities identification code. Six digits or capital letters (excluding I and O), no check digit.     Venue optional  
Telekurs_Valor 9521 String SIX Telekurs security identifier (part of ISIN).     Venue optional  
PriceIncrement_dynamic_TableId 9522 uint32 Dynamic tick size cannot be defined along with PriceIncrement_static, value is an entry in a price band dictionary.     Dictionary    
PrimaryReutersInstrumentCode 9523 String TR RIC name of the corresponding primary listed instrument.     Venue optional “AGFB.BR”
PrimaryBloombergTicker 9524 String Bloomberg Ticker of the Financial Instrument on its primary exchange     Venue/Specific   “AGFB BB Equity”
SecurityTradingId 9525 String Market specific values, a venue identifier needed to issue market orders.     Venue/Specific   “1243092”
AlternativeSecurityTradingId 9576 String Alternative exchange-provided unique instrument identifier. Technical identifier which uniquely identifies an instrument across given trading platform. Usually this is a numerical identifier, which is used for order passing and trade settlement (STP).   Venue/Specific    
UMTF 9526 String Uniform symbogy instrument code     Venue optional on european equities instruments  
NbIndexComponents 9527 uint16 Number of related instruments for indices     Venue optional on indices  
IndexMemberships 9528 String            
InitialListingMarketId 9529 String XETRA specific tag, the “home market” or the market where the first IPO took place.     Venue    
GICS 9530 String The GICS structure consists of 10 sectors, 24 industry groups, 67 industries and 156 sub-industries into which S&P has categorized all major public companies.     Internal    
ICB 9531 String The ICB uses a system of 10 industries, partitioned into 19 supersectors, which are further divided into 41 sectors, which then contain 114 subsectors.     Internal    
SICC_SectorCode 9580 String Industry classification identifier SICC Sector (aka Industry) classification. SICC stands for Securities Identification Code Committee, see http://www.jpx.co.jp/sicc/sicc_en/index_en.html   Venue    
MBLLayersDesc 9532 String Contains the populated MBL layer on this instrument, no set if Layer 0 is the only one populated.     Internal    
OperatingMIC 9533 String ISO/DIS 10383 operating/Exchange level MIC name as published by venue     Normalized mandatory “BCXE”
SegmentMIC 9534 String ISO/DIS 10383 segment level MIC name as published by venue     Normalized mandatory “CHIX”
AuctionOnDemand_MIC 9583 String MIC to trade on Auction on Demand     Venue All Central Order Book MiFID Instruments  
IsCentralOrderBook 9581 bool Indicates whether the instrument represents the Main Order Book (aka CLOB – Central Limit Order Book) for the Security on this particular exchange. The default value (i.e. not populated / disseminated) is TRUE. It is set to FALSE on all instruments which do not represent the Main Order Book, for instance AOD instruments, SI Quotes and/or OTC Trade Report instruments, etc.   Venue optional FALSE
CIQ_ExchangeID 9535 int64     Unused      
CIQ_ExchangeName 9536 String Exchange name     Internal    
CIQ_CompanyID 9537 int64     Unused      
CIQ_CompanyName 9538 String Company name     Internal    
CIQ_SecurityID 9539 int64     Unused Internal    
CIQ_TradingItemID 9540 int64     Unused      
CapitalIQ_ExchangeID 9542 int32 S&P Capital IQ unique identifier for exchange     Internal    
CapitalIQ_CompanyID 9543 int32 S&P Capital IQ unique identifier for public companies     Internal    
CapitalIQ_SecurityID 9544 int32 S&P Capital IQ unique identifier for securities     Internal    
CapitalIQ_TradingItemID 9545 int32 S&P Capital IQ unique identifier for traded securities     Internal    
CouponPaymentDate2 9550 int32            
IssueAttributeInfo 9551 char            
CCP_Eligible 9552 bool Indicates whether, for the security, there is a central counterparty clearing house which acts as the buyer to every seller and the seller to every buyer, thus guaranteeing contractual performance.     Venue    
IndustryCode 9546 String Market specific values, TSE industry code     Venue    
EMCF_Eligible 9547 bool Indicating if transactions on this instrument is eligible to be cleared on EMCF clearing house     Venue    
XCLEAR_Eligible 9548 bool Indicating if transactions on this instrument is eligible to be cleared on Six x-clear AG clearing house     Venue    
LCH_Clearnet_Eligible 9549 bool Indicating if transactions on this instrument is eligible to be cleared on LCH.Clearnet Group clearing house     Venue    
LegFOSInstrumentCode 9600 uint32, 100 Constituents for indices, strategies or consolidated instruments. See FIX tags LegSecurityID, LegSecurityIDSource     Internal optional on Derivatives, Indices or ConsolidatedFeed  
LegRatioQty 9700 float64, 100       Venue optional on Strategies  
LegFIXSide 9800 char, 100       Venue optional on Strategies  
DynamicVariationRange 9553 float64 Maximum percentage variation autorized between the reference price and a price during day. The reference price is the last auction price.     Venue    
StaticVariationRange 9554 float64 Maximum percentage variation autorized between the reference price and a price during day. The reference price is the last trade price.     Venue optional on equities instruments  
ParValue 9555 float64 ??         5000
ShortSellEligibleFlag 9556 bool ORION EQUITIES specific tag, detailing whether the instrument is eligible for short selling or not.     Venue    
OutstandingSharesBillions 9557 int32 The number of available contracts, billion part. Set when necessary.     Venue    
OutstandingShares 9558 int32 The number of available contracts (example: compagny nb shares available in exchange)     Venue   950000
MarginTradingEligibleFlag 9559 bool Provisionned for future usage, shengzen          
ShortSellRule 9560 char Provisionned for future usage, shengzen          
BookType 9561 char Provisionned for future usage, shengzen          
BuyBoardLot 9562 uint32 Provisionned for future usage, shengzen          
SellBoardLot 9563 uint32 Provisionned for future usage, shengzen          
PriceEarningRatio 9564 float64 Price Earning Ratio     Venue optional  
FaceValue 9565 float64 The face value represents the principal of a bond.     Venue    
RateType 9566 char F’:fixed ‘Z’:Zero rate ‘V’:ariable          
PaymentPeriod 9567 uint16 It`s a value measured in days. It should be time between two adjacent coupon payment dates     Venue    
PrimeRate 9568 float64 The best rate of interest at which a bank lends to its customers.          
YieldToMaturity 9569 float64 If True the instrument should be considered “dead”, never set has False.          
RedemptionValue 9570 float64            
BlockSize 9571 float64            
AutomaticExerciseLimit 9572 float64            
IPO_Indicator 9406 bool Indicates if the NASDAQ security is set up for IPO release. This field is intended to help NASDAQ market participant firms comply with FINRA Rule 5131(b).     Venue    
DelayedFeedMin 9407 uint16 Delay of market data when feed is delayed.     Internal Mandatory on instrument used with delayed feed  
CompositeFIGI 9573 String Composite Financial Instrument Global Identifier assigned by Bloomberg. Twelve character alphanumeric identifier provided by Bloomberg. The first 2 characters are upper-case consonants (including “Y”), the third character is the upper-case “G”, characters 4-11 are any upper-case consonant (including “Y”) or integer between 0 and 9, and the last character is a check-digit. The Composite level of assignment is provided in cases where there are multiple trading venues for the instrument within a single country or market. The Composite FIGI enables users to link multiple FIGIs at the trading venue-level within the same country or market in order to obtain an aggregated view for that instrument within that country or market.   Venue   BBG000BP1Q11
BloombergCode 9574 String Compound Bloomberg identifier. Bloomberg Code is a concatenation of several Bloomber Identifiers, i.e.: “Ticker + Exchange Code” or “Ticker + Exchange Code + Security Type”   Venue   SPGI:US
PrimaryBloombergCode 9575 String Compound Bloomberg identifier of the Financial Instrument on its primary exchange     Venue   SPGI:US
ContractVersion 9577 uint8 Version of a Derivative Contract series. The version of a Derivative Contract series changes as a result of Corporate Action events. Normalized double digit number representing the version of the contract series   Venue   00 = standard contract series – default value which is never set, 01 = contract series version 1 – contract terms have been adjusted following CA events, 02 = contract series version 2 - contract terms have been adjusted twice following CA events
OriginalContractMultiplier 9578 float64 Original contract size (amount of underlying asset represented by each contract) of the Future or Option contract, prior to any Corporate Action.     Internal    
OriginalStrikePrice 9579 float64 Original Strike Price of the Option, prior to any Corporate Action.     Internal    
MiFID_Flags 9450 uint16 MiFID II Instrument Flags Normalized tag providing the regulatory status of the Security, determined in accordance with MiFID rules. Possible values: Bit 0: MiFID II Instrument – if set then indicates MiFID II Eligible/Reportable Instrument, Bit 1: Liquidity Indicator (indicates whether the instrument is considered liquid or illiquid as defined by the NCA) – it set then MiFID II Liquid instrument, otherwise MiFID II non-liquid instrument. Can only be set on MiFID II Instruments (Bit 0 set), Bit 2-15: Unused   Venue    
AverageDailyTurnover 9451 float64 Average Daily Turnover (ADT) across all European Trading Venues, calculated in accordance with MiFID rules This tag is a liquidity assessment indicator which is determined by NCAs (National Competent Authorities). It is used under MiFID II as relevant metric to establish threshold for pre- and post-trade transparency waivers (e.g. Large in Scale orders). Provided only for MiFID instruments.   Venue    
AverageValueOfTransactions 9452 float64 Average Value of Transactions (AVT) of the Share across all European Trading Venues, calculated in accordance with MiFID rules This tag is a liquidity assessment indicator which is determined by NCAs (National Competent Authorities). It is used under MiFID II as relevant metric to establish the SMS thresholds for pre- and post-trade transparency waivers. Provided only for MiFID instruments.   Venue    
StandardMarketSize 9453 uint32 Standard Market Size (SMS) is the average order size threshold for System Internalisers (SI), calculated in accordance with MiFID rules. SMS is used to determine whether or not SIs will need to comply with pre-trade transparency requirements (i.e. publicly disclose Bid/Ask quotes). Bid/Ask quotes need to be made public when dealing in sizes up to the SMS, firm Bid/Ask quotes need to be made public for sizes of at least 10% of the SMS. Provided only for MiFID instruments.   Venue    
AverageDailyNumberOfTransactions 9454 float64 Average Daily Number of Transactions (ADNT) for a particular Financial Instrument across all European Trading Venues, calculated in accordance with MiFID rules. This tag is a liquidity assessment indicator which is determined by NCAs (National Competent Authorities). It is used under MiFID II as relevant metric to establish the SMS thresholds for pre- and post-trade transparency waivers. Provided only for MiFID instruments.   Venue    
ReportedFOSInstrumentCode 9455 uint32 link to Instrument code reported by APA. link to Instrument code reported by APA.   Venue All Central Order Book MIFID Instruments  
MiFID_MostRelevantMarket 9456 String The most relevant market in terms of liquidity, determined in accordance with MiFID II rules. The most relevant market in terms of liquidity is the trading venue where the turnover for the previous calendar year for that instrument is the highest. Disseminated Enrichment All XPAR
VenueTradingUnderWaiversPercentage 9457 float64 Percentage of trading under the waivers in a Financial Instrument carried out on the trading venue. Indicates the percentage of trading, on a given trading venue, that took place under the RP (Reference Price) and/or NT (Negotiated Trade) waivers, compared to the total volume of trading in that financial instrument on all trading venues across the EU over the previous 12 months. When the VenueTradingUnderWaiversPercentage exceeds the 4% limit, the CA for that venue shall suspend the use of those waivers on that venue in that financial instrument for a period of six months. Disseminated Enrichment All 0.987
TotalTradingUnderWaiversPercentage 9458 float64 Percentage of trading under the waivers in a Financial Instrument carried out on all trading venues across the EU. Indicates the percentage of overall EU trading that took place under the RP (Reference Price) and NT (Negotiated Trade) waivers, compared to the total volume of trading in that financial instrument on all trading venues across the EU over the previous 12 months. When the TotalTradingUnderWaiversPercentage value exceeds the 8% limit, all CA shall suspend the use of those waivers across the EU for a period of six month. Disseminated Enrichment All 3.59
InwardTradingUnderWaiversPercentage 9467 float64 Percentage of trading under the waivers in a Financial Instrument computed by the trading venue and potentially different from ESMA computation Indicates the percentage of trading, on a given trading venue, that took place under the RP (Reference Price) and/or NT (Negotiated Trade) waivers, compared to the total volume of trading in that financial instrument on all trading venues across the EU over the previous 12 months. When the VenueTradingUnderWaiversPercentage exceeds the 4% limit, the CA for that venue shall suspend the use of those waivers on that venue in that financial instrument for a period of six months. Disseminated Enrichment All 0.987
DVC_SuspensionEndDate 9459 String String (this is not a Timestamp in order to be able to reset it with a blank string, when needed) Estimated date (in ISO 8601 format, i.e. YYYY-MM-DD) when the suspension of trading under the RP and NT waivers will be lifted. Disseminated Venue All 2018-07-02
DVC_Status 9460 uint8 Normalized tag indicating the status of the Financial Instrument regarding Double Volume Caps. The tag DVC_Status provides information about suspensions of the use of the Reference Price and Negotiated Transactions waivers for a particular Financial Instrument. The suspension is triggered either by the National Competent Authority or by the Trading Venue and can be at venue or at EU level. Possible values: ‘0’: no suspension in place, ‘1’: suspended by the trading venue, ‘2’: suspended by the NCA – Venue level (4%), ‘3’: suspended by the NCA – EU level (8%), ‘4’: suspended by the NCA – Venue or EU level, ‘5’: suspended by the NCA or the Venue – Venue or EU level, ‘255’: not applicable (default value) Disseminated Venue All 2
PreTradeLIS 9461 float64 Pre-Trade LiS (Large in Scale) threshold. Defines the pre-trade LiS threshold, applicable to the financial instrument, in line with MiFID II regulatory requirements. The LiS value is expressed in the instrument’s trading currency. Disseminated Enrichment All 25000
PostTradeLIS 9462 float64 Post-Trade LiS (Large in Scale) threshold. Defines the post-trade LiS threshold, applicable to the financial instrument, in line with MiFID II regulatory requirements. The LiS value is expressed in the instrument’s trading currency. Disseminated Enrichment All 1500000
PreTradeSSTI 9463 float64 Pre-Trade SSTI (Size Specific To the Instrument) threshold. Defines the pre-trade SSTI threshold, applicable to the financial instrument, in line with MiFID II regulatory requirements. Disseminated Enrichment All 20000
PostTradeSSTI 9464 float64 Post-Trade SSTI (Size Specific To the Instrument) threshold. Defines the post-trade SSTI threshold, applicable to the financial instrument, in line with MiFID II regulatory requirements. Disseminated Enrichment All 1000000
MaxVolumeOTR 9465 float64 Maximum volume-based OTR (Order to Trade Ratio), calculated by the trading venue. Maximum ratio of unexecuted orders to transactions, calculated by the trading venue, in volume terms: “(total volume of orders/total volume of transactions) – 1”. Disseminated Venue All 50000
MaxNumberOTR 9466 float64 Maximum number-based OTR (Order to Trade Ratio), calculated by the trading venue. Maximum ratio of unexecuted orders to transactions, calculated by the trading venue, in number terms: “(total number of orders/total number of transactions) – 1”. Disseminated Venue All 500
InternalCreationDate 9400 Timestamp Timestamp of last creation (server time in UTC), beware it’s a not a listing timestamp in any case.     Internal   “2014-04-26 10:56:13:860”
InternalModificationDate 9401 Timestamp Timestamp of last modification (server time in UTC)     Internal   “2015-04-22 21:42:30:757”
InternalHideFromLookup 9402 bool When set to true, signal that instrument is not alive     Internal   true
InternalSourceId 9403 uint16 Internal identifier of the source of market data     Internal Mandatory on all instruments 57
InternalAggregationId 9404 uint16 Internal Identifier of a source aggregated in a server     Internal Mandatory on all instruments 1
InternalEntitlementId 9405 int32 An entitlement id identify a whole raw data feed product or a subset of a raw data feed product.     Internal Mandatory on all instruments 1047 displayable as “JSE” or “JSE Equities”
DeliveryStartDate 9408 Timestamp Used for commodities to define the start of delivery date. It represents the early redemption date.     Venue optional on commodities instruments  
DeliveryEndDate 9409 Timestamp Used for commodities to define the end of delivery date.     Venue optional on commodities instruments  
InternalMagic 9410 String, 10 Internal details about instrument’s characteristics     Venue optional on all instruments  
LastTradingDate 9421 Timestamp Used to populate the last trading date of an instrument (different from the maturity date)     Venue    
UnderlyingSymbol 9422 String The Underlying Symbol as a standalone tag would allow access to the contract’s Underlying (or Root) Symbol without the need to parse the ticker symbol using a complex and exchange-specific logic.     Venue    
UnderlyingISIN 9423 String The Underlying ISIN as a standalone tag would allow access to the contract’s Underlying (or Root) ISIN.     Venue    
FIGI 9424 String Financial Instrument Global Identifier assigned by Bloomberg Twelve character alphanumeric identifier provided by Bloomberg. The first 2 characters are upper-case consonants (including “Y”), the third character is the upper-case “G”, characters 4-11 are any upper-case consonant (including “Y”) or integer between 0 and 9, and the last character is a check-digit. A FIGI is assigned to instruments of all asset classes. It is unique to an individual instrument and once issued will not change for an instrument. For equity instruments a FIGI is issued per instrument per trading venue.   Venue   BBG000BP1Q11
FISN 9442 String ISO 18774 Financial Instrument Short Name. ISO 18774:2015 standard defining an international system for building short names for any kind of financial instruments.   Venue/Internal/Alternative All instruments “UBS/NA CHF0.1” for UBS / CH0024899483
PartitionID 9443 uint32 Technical unique identifier of a partition across all partitions of an exchange. Technical unique identifier of a partition across all partitions of an exchange. This is useful for passing orders.   Venue    
SettlementPeriod 9425 uint8 Period of time between the transaction date and the settlement date. The settlement period denotes how many business days after the transaction date the settlement or the transfer of money and security ownership takes place. The length of the settlement period may differ depending on the market and/or the security type.          
ExchangeSymbol 9426 String Exchange-provided ticker Symbol.     Venue    
PriceDisplayFormat 9427 uint8 Specifies the fractional format for a given instrument. Example: 16 / 32 / 128.     Venue    
ContractMultiplierUnit 9428 String Unit of measure of the underlying asset upon which the contract is based. The unit of measure for the contract size: Currency, Index Points, Tons,Grams, Pounds, Gallons, Bushel, Megawatts,... This tag is required to interpret the value populated in tag ContractMultiplier. The initial list of possible values will be defined upon the completion of the feed by feed analysis.   Venue    
ExpiryMonthCode 9429 char The delivery / expiry month code of the Futures / Option contract.     Venue    
FirstTradingDate 9430 Timestamp The first day under an exchange’s rules on which a particular Futures or Options contract may start trading.     Venue    
SettlementDate 9431 Timestamp The date on which the final settlement price for the Futures or Option contract will be determined, according to the exchange’s regulation rules. Settlement date for delivery or payment. The Settlement Date may be different from the expiration date of the Futures or Option contract itself.   Venue    
SettlementCurrency 9432 String ISO Currency Code of settlement denomination. The currency used for the settlement price, if different from the trade price currency (disseminated via the tag “PriceCurrency”). This tag is required to interpret the values populated in tags DailySettlementPrice and PreviousDailySettlementPrice.   Venue    
InternalFeedQualifier 9433 uint32 Tag listing the available market depths on an instrument.     Internal    
HasClosingAuctionSession 11712 bool Indicates whether Closing Auction Session (CAS) is applicable to the security     Venue    
HasVolatilityControlMechanism 11713 bool Indicates whether Volatility Control Mechanism (VCM) is applicable to the security     Venue    
ShortSellUptickRule 9434 bool The uptick rule is a trading restriction that states that short selling a stock is only allowed on an uptick Every short sale transaction should be entered at a price that is higher than the trading reference price (which most often is the previous trade price). On HKEX the trading reference price is the current best bid price. Also known as “Plus Tick Rule”.   Venue    
Parity 9435 float64 Number of Rights / Warrants needed to obtain exposure to one unit of the underlying asset For Warrants it represents the number of warrants that must be exercised to either buy or sell the underlying security. For Subscription Rights it represents the number of rights required to purchase a single share of the underlying security. Also known as “Conversion Ratio” or “Entitlement Ratio”   Venue    
DeactivationBarrierPrice 9436 float64 Price level at which an Out Barrier Option (aka Knock-Out Option) becomes inactive An out barrier option ceases to exist when the underlying security reaches certain price level. Also known as “Knock Out Barrier Price”, “Knock Out Price”   Venue    
ActivationBarrierPrice 9437 float64 Price level at which an In Barrier Option (aka Knock-In Option) becomes active An in barrier option is a latent option contract that begins to function as a normal option only once a certain price level is reached. Also known as “Knock In Barrier Price”, “Knock In Price”   Venue    
OrderEntryPriceDecimals 9438 uint8 For Order Entry: Number of decimals related to prices while formatting a price When OrderEntryPriceDecimals is 2, when entering a Price of 14500, functional value of the price is 145.   Venue optional 2
OrderEntryQuantityDecimals 9439 uint8 For Order Entry: Number of decimals related to quantities while formatting a quantity When OrderEntryQuantityDecimals is 3, when entering a Quantity of 52000, functional value of the quantity is 52   Venue optional 3
OrderEntryAmountDecimals 9440 uint8 For Order Entry: Number of decimals related to amounts while formatting an amount When OrderEntryAmountDecimals is 4, when entering an Amount 45599, functional value of the amount is 4.5599   Venue optional 4
OrderEntryRatioDecimals 9441 uint8 For Order Entry: Number of decimals related to ratio/multiplier while formatting a ratio     Venue optional 7
IndexComponentFOSInstrumentCode 20000 uint32, 5000 Instrument code of an indice component     Internal    
IndexComponentWeight 40000 float64, 5000 Weight of the component referenced by TAG_IndexComponentFOSInstrumentCode     Venue    
REF_USER 60000 String, 1000 Referential tags available for publication purpose     Custom optional on all published/enriched instruments  
MARKET_LSE_NormalMarketSize 11000 float64 LSE specific tag, containing the size of the transactions.     Venue    
MARKET_LSE_SectorCode 11001 String LSE specific tag, containing a division of the market within a Market Segment.     Venue    
MARKET_LSE_SegmentCode 11002 String LSE specific tag, containing the trading area.     Venue    
MARKET_EURONEXT_InstrumentGroupCode 11050 String EURONEXT specific tag, containing the instrument group it belongs to.     Venue    
MARKET_EURONEXT_TypeOfUnitOfExpressionForInstrumentPrice 11051 String EURONEXT specific tag, detailing the unit in which the security is quoted.     Venue    
MARKET_EURONEXT_NominalMarketValueOfTheSecurity 11052 float64 EURONEXT specific tag, detailing the amount of the instruments’ nominal value.     Venue    
MARKET_EURONEXT_QuantityNotation 11053 String EURONEXT specific tag, detailing the nature of the amount expression used for negotiating the instrument on the market.     Venue    
MARKET_EURONEXT_IndicatorOfUnderlyingSecurityOnLending 11054 String EURONEXT specific tag, indicating if the instrument if eligible to SRD or Loan/Lending market eligible.     Venue    
MARKET_EURONEXT_EligibleToPEA 11055 bool EURONEXT specific tag, indicating if the instrument can be hosted in a PEA.     Venue    
MARKET_EURONEXT_TypeOfMarketAdmission 11056 char EURONEXT specific tag, containing the capitalization compartiment code of an instrument.     Venue    
MARKET_EURONEXT_PartitionID 11057 int32 Identifies uniquely an Optiq partition across all the Exchange partitions.     Venue    
MARKET_EURONEXT_AvailableMarketMechanisms 11058 String Euronext Market Mechanism(s) available for that instrument. See Feed Documentation. Can be a single value such as 1,2,4,5,6,50,7,8,254 or a chain of values such as ‘1,5,6,50’ Disseminated Venue Euronext specific tag 1,5,6,10
MARKET_XETRA_SegmentCode 11100 String XETRA specific tag, uniquely identifying a particular trading area as defined by XETRA.     Venue    
MARKET_XETRA_ISIX 11101 uint32 XETRA specific tag, uniquely identifying an instrument across the system.     Venue    
MARKET_XETRA_OptimalGatewayLocation 11102 String XETRA specific tag, identifying the optimal performance gateway location for trading the instrument.     Venue    
MARKET_XETRA_CCP_Eligible 11103 bool Deprecated - XETRA specific tag, Indicates whether, for the security, there is a central counterparty which acts as the buyer to every seller and the seller to every buyer, thus guaranteeing contractual performance. Should be migrated to CCP_Eligible.   Deprecated      
MARKET_XETRA_VolumeDiscoveryMinimumExecutedQuantity 11104 float64 XETRA specific tag, Volume Discovery Minimum Executed Quantity: the minimum number of shares that has to be executed with any match at the midpoint     Venue    
MARKET_XETRA_OrderTypes 11105 uint32 XETRA specific tag, indicates for a given instrument the collection of possible order types eligibility (for example: IceBerg, peg order, etc)     Venue    
MARKET_CHIX_LegacyInstrumentCode 11150 String     Unused      
MARKET_OMX_SubSegmentName 11200 String     Unused      
MARKET_OMX_SegmentName 11201 String     Unused      
BPIPE_BSID 11250 String BPIPE specific tag, it contains the Bloomberg uniquely identifier for the instrument          
BPIPE_EntitlementId 11251 String BPIPE specific tag, It contains the ID of the permissionable entity to which users of the B-Pipe can subscribe.     Venue    
BPIPE_SessionType 11252 char BPIPE specific tag,     Venue    
MARKET_TURQUOISE_Ticker 11300 String TURQUOISE specific tag, uniquely identifying the companies that are publicly traded on the market.     Venue    
MARKET_SWX_IssuerCountry 11350 String SWX specific tag, uniquely identifying the incorporation country of the instrument’s ssuer.     Venue    
MARKET_SWX_InstrumentPartitionCode 11351 uint8 SWX specific tag, indicates the order book matcher partition of the instrument’s order book 1 = Equities / 2 = Non-Equities   Venue   1 (= Equities)
MARKET_SWX_TradingSessionID 11353 String SWX specific tag, containing a unique identifier of a Trading Session applied to a Traded Instrument Order Book     Venue    
MARKET_SWX_ListingStateCode 11354 String SWX specific tag, containing an instrument status which implies the rule book governing its trading.     Venue    
MARKET_SWX_ListingStateDesc 11355 String SWX specific tag, containing an instrument state description.     Venue    
MARKET_MICEX_Remarks 11400 String            
MARKET_MICEX_FaceValue 11401 float64       Venue    
MARKET_MICEX_FaceValueCurrency 11402 String            
MARKET_MICEX_QuoteBasis 11403 String            
MARKET_CME_DisplayPricePrimaryDenominator 11500 uint16 CME specific tag, containing the price denominator.     Venue    
MARKET_CME_DisplayPriceSecondaryDenominator 11501 uint16 CME specific tag, containing the price numerator.     Venue    
MARKET_CME_DisplayPriceNbOfDecimal 11502 uint16 CME specific tag, containing the number of decimals the price displays.     Venue    
COMSTOCK_IdCode 11550 int32            
COMSTOCK_MarketIdCode 11551 int32            
MARKET_ICE_ContractSymbol 11600 String ICE specific tag, containg a contract identifier composed of contract type, maturity date, mic.     Venue   “CER FMK0015!”
MARKET_ICE_OffExchangeIncrementQty 11601 float64 ICE specific tag, increment quantity for instruments enabled for off exchange trades (different than that on normal trades).     Venue   30
MARKET_ICE_OffExchangeIncrementPrice 11602 float64 ICE specific tag, increment Price for instruments enabled for off exchange trades (different than that on normal trads).     Venue   0.0005
MARKET_ICE_SerialUnderlyingLocalCodeStr 11603 String ICE specific tag, the underlying futures instrument ID for a serial option. This value will be set to -1 when not applicable.     Venue    
MARKET_ICE_IsBlockOnly 11604 bool Indicates if instrument is only tradable via ICE Block Trade. This also means the screen trading is not allowed for the market. Y or N          
MARKET_ICE_FlexAllowed 11605 bool Indicates if flexible expiries can be created for the instrument. Y or N          
MARKET_RTS_Signs 11650 uint32            
MARKET_EUREX_ULTRA_PLUS_ProductComplexType 11670 uint8 EUREX specific tag, indicating the instrument type.     Venue   1
MARKET_EUREX_ULTRA_PLUS_DisseminatedByNTA 11671 bool EUREX specific tag, indicating whether the instrument values are disseminated by NTA.     Venue   True
MARKET_LIFFE_XDP_StrikePriceDenominator 11700 uint32 Deprecated - LIFFE specific tag, containing the strike price denominator code.   Deprecated Venue    
MARKET_LIFFE_XDP_StrikePriceDecimalLocator 11701 uint16 Deprecated - LIFFE specific tag, containing the strike price decimal position.   Deprecated Venue    
MARKET_LIFFE_XDP_InstrumentDenominator 11702 uint32 Deprecated - LIFFE specific tag, containing the instrument denominator.   Deprecated Venue    
MARKET_HK_ExchangeRate 11710 float64 ORION specific tag, rate expressed in HKD for 1 foreign currency unit. As an example, if 1 Euro is valued 10.22 HKD, the Currency Rate will be 102200 (4 decimals implied).     Venue    
MARKET_HK_HasStampDutyFlag 11711 bool default value ‘false’ (tag not created). Specific Tag to provide if a security is subject to a stamp duty or not     Venue    
MARKET_JSDA_IssueNameKana 11720 String            
MARKET_MFDS_FundType 11730 char MFDS specific tag, fund type     Venue    
MARKET_MFDS_FundCode 11731 char MFDS specific tag, fund code     Venue    
MARKET_TOCOM_MinVisibleVolume 11740 uint32 TOCOM specific tag, containing the minimum visible volume that must be specified in hidden orders.     Venue    
MARKET_TOCOM_AdditionalHiddenVolumeAllowed 11741 bool TOCOM specific tag, True: additional, false; Normal     Venue    
MARKET_OMX_NORDIC_NoteCodes 11750 int32 OMX_NORDIC specific tag, this field is a decimal encoded bit field where multiple Note Codes can be set concurrently by being binary OR:ed together. A value of zero means no Note Code set.     Venue    

1.4.8   Quotation Tags

Tag Name Tag ID Syntax Definition Description Usage Content Origin Scope Dissemination
TradSesOpenTime 342 Timestamp Time of the opening of the trading session     Venue    
MidPrice 631 float64 The average of the current bid and the current ask prices (not valuated if one side is missing). See FIX tag 631     Internal Mandatory on all alive instruments if configured Sent as a tag in L1 events when modified.
SettlPriceType 731 uint8 Deprecated - (Type of settlement price. See FIX tag 731.) use TAG_SettlementPriceType   Deprecated Venue    
PriceDelta 811 float64 Tag containing the first-order greek delta, measuring the rate of change of the theoretical option value with respect to changes in the underlying asset’s price. This value is normally between -1.0 and 1.0.   Unused Venue optional on derivative instruments Sent as a tag in L1 events when modified.
LowLimitPrice 1148 float64 The inferior suspension threshold.     Venue optional on cash instruments Sent as a tag in L1 events when modified.
HighLimitPrice 1149 float64 The superior suspension threshold.     Venue optional on cash instruments Sent as a tag in L1 events when modified.
TradingStatus 9100 Enum Identifies the trading status of an instrument. See FIX tag 326 « SecurityTradingStatus »     Normalized Mandatory on all alive instruments Sent as a tag in L1 events when modified.
OrderEntryStatus 9102 uint8 BitField indicating the order entry capabilities in the current market state Bit 0: Order Entry Disabled. Bit 1: Order Modify Disables. Bit 2: Order Cancel Disabled   Normalized    
TradingSessionId 9101 int8 The current session ID (> 0 for sessions included in core session, < 0 for extended hours).     Internal Mandatory on all instruments with multi-session (APAC or US) Sent as a tag in L1 events when modified.
LastPrice 9106 float64 The last price (includes off-book trades, on-book trades, last prices indication, ...).     Venue Mandatory on alls instrument with prices (including indices) or traded Need to be computed on api side
LastTradeQty 9107 float64 The last on-book traded quantity.     Venue Mandatory on all traded instruments Need to be computed on api side
LastTradeTimestamp 9108 Timestamp The timestamp of the last on-book trade. (market timestamp in UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
LastTradePrice 9109 float64 The price of the last on-book trade.     Venue Mandatory on all traded instruments Need to be computed on api side
LastOffBookTradePrice 9110 float64 The price of the last off-book trade.     Internal Mandatory on all traded instruments being off-book traded Need to be computed on api side
LastOffBookTradeQty 9111 float64 The last off-book traded quantity.     Internal Mandatory on all traded instruments being off-book traded Need to be computed on api side
LastOffBookTradeTimestamp 9112 Timestamp The timestamp of the last off-book trade. (market timestamp in UTC)     Internal Mandatory on all traded instruments being off-book traded Need to be computed on api side
RegSHOAction 9113 Enum SEC Rule 201 of Regulation SHO. Restriction on the prices at which securities may be sold short after a circuit breaker has been triggered (10% decrease of the last closing price)     Venue optional on cash instruments Sent as a tag in L1 events when modified.
VarClose 9140 float64 The difference between the current price and the PreviousDailyClosingPrice (or PreviousSettlementPrice).     Internal Mandatory on all traded instruments if configured Sent as a tag in L1 events if configured on server side.
VarClosePct 9141 float64 The difference between the current price and the PreviousDailyClosingPrice (or PreviousSettlementPrice) expressed in percentage.     Internal Mandatory on all traded instruments if configured Sent as a tag in L1 events if configured on server side.
SessionOpeningPrice 9121 float64 The price of the SessionOpen signal if valid and not related to an off-book trade.     Internal Mandatory on all instruments with multi-session Need to be computed on api side
SessionHighPrice 9124 float64 The price of the last SessionHigh signal not related to an off-book trade.     Internal Mandatory on all instruments with multi-session Need to be computed on api side
SessionLowPrice 9125 float64 The price of the last SessionLow signal not related to an off-book trade.     Internal Mandatory on all instruments with multi-session Need to be computed on api side
SessionVWAPPrice 9126 float64 Deprecated, see InternalDailyVWAP when configured   Deprecated Internal N/A N/A
SessionTotalVolumeTraded 9120 float64 The sum of quantity of all on-book trades, having no TAG_ActualTradingSessionId, since the SessionOpen signal.     Internal Mandatory on all instruments with multi-session Need to be computed on api side
SessionTotalAssetTraded 9127 float64 The sum of price * quantity of all on-book trades, having no TAG_ActualTradingSessionId, since the SessionOpen signal. Warning: To get the TAG_SessionTotalAssetTraded in currency, you have to also apply the Factor.     Internal Mandatory on all instruments with multi-session Need to be computed on api side
PreviousSessionClosingPrice 9122 float64 Previous session closing price (closing price of the last closed session , may be from the current business day or from another day)     Internal   Need to be computed on api side
PreviousSessionSettlementPrice 9123 float64 Deprecated   Deprecated Internal    
SessionTotalOffBookAssetTraded 9114 float64       Internal   Need to be computed on api side
SessionTotalOffBookVolumeTraded 9115 float64       Internal   Need to be computed on api side
PriorSessionsTotalAssetTraded 9116 float64 Deprecated - rather use daily historical data to get session’s OHLC   Deprecated Internal N/A N/A
PriorSessionsTotalVolumeTraded 9117 float64 Deprecated - Rather use daily historical data to get session’s OHLC   Deprecated Internal N/A N/A
PriorSessionsTotalOffBookAssetTraded 9118 float64 Deprecated - Rather use daily historical data to get session’s OHLC   Deprecated Internal N/A N/A
PriorSessionsTotalOffBookVolumeTraded 9119 float64 Deprecated - Rather use daily historical data to get session’s OHLC   Deprecated Internal N/A N/A
SessionClosingPrice 9128 float64 The price of the SessionClose signal if valid and not related to an off-book trade.     Venue/internal Mandatory on all instruments with multi-session Need to be computed on api side
DailyOpeningPrice 9131 float64 The price at which a security first trades upon the opening of an exchange on a given trading day.     Venue/internal Mandatory on all traded instruments Need to be computed on api side
DailyClosingPrice 9132 float64 The final price at which a security is traded on a given trading day     Venue/internal Mandatory on all traded instruments Need to be computed on api side
DailySettlementPrice 9133 float64 The settlement price, price used for determining profit or loss for the day, as well as margin requirements.     Venue Mandatory on all futures instruments Sent as a tag in L1 events when modified.
DailyHighPrice 9134 float64 The daily high price.     Internal Mandatory on all traded instruments (indices excluded) Need to be computed on api side
DailyLowPrice 9135 float64 The daily low price.     Internal Mandatory on all traded instruments (indices excluded) Need to be computed on api side
DailyTotalVolumeTraded 9130 float64 Represents the total number of shares/contracts traded during the trading day.     Mixed Mandatory on all traded instruments (indices excluded). Official cumulated volume as reported by the Venue or sum of trade quantities ‘Volume’ eligible or if no ‘Volume’ eligibility exists sum of on-book trade quantities. Need to be computed on api side
DailyTotalAssetTraded 9136 float64 Represents the total value of traded shares/contracts during the trading day. In order to determine the nominal value (expressed in PriceCurrency), the DailyTotalAssetTraded should be adjusted with the Factor (whenever available): “DailyTotalAssetTraded * Factor”     Internal Mandatory on all traded instruments. Official value as reported by the Venue or sum of (LastPrice * LastTradeQty) of trades eligible to volume (on-book trades if no ‘Volume’ eligibity exists) since the ChangeBusinessDay signal. Warning: To get the TAG_DailyTotalAssetTraded in PriceCurrency, you have to apply the Factor. Need to be computed on api side
PreviousDailyTotalVolumeTraded 9137 float64 The previous value of the DailyTotalVolumeTraded. Set at ChangeBusinessDay signal time.     Mixed   Need to be computed on api side
PreviousDailyTotalAssetTraded 9138 float64 The previous value of the DailyTotalAssetTraded. Set at ChangeBusinessDay signal time.     Internal   Need to be computed on api side
PreviousDailyClosingPrice 9142 float64 The previous value of the DailyClosingPrice. Set at ChangeBusinessDay signal time.     Venue/internal   Need to be computed on api side
PreviousBusinessDay 9143 Timestamp The previous value of the CurrentBusinessDay. Set at ChangeBusinessDay signal time.     Internal   Need to be computed on api side
CurrentBusinessDay 9144 Timestamp The current business day, set at technical open signal time.     Internal   Need to be computed on api side
PreviousDailySettlementPrice 9145 float64 Previous settlement price     Venue Mandatory on all futures instruments Need to be computed on api side
DailyTotalOffBookVolumeTraded 9148 float64 Daily Off-Book Volume represents the total number of reported Shares / Contracts during the trading day.     Internal Mandatory on instruments with reported trades Need to be computed on api side
DailyTotalOffBookAssetTraded 9149 float64 Represents the total value of traded shares / contracts during the trading day.     Internal Mandatory on instruments with reported trades Need to be computed on api side
AverageDailyTotalVolumeTraded 9154 float64     Unused   Unused  
InternalDailyClosingPriceType 9155 char The type of the current DailyClosingPrice (OfficialClose, OfficialIndicative, LastPrice, ...).     Normalized Optional on all traded instruments Sent as a tag in L1 events along with close price.
PreviousInternalDailyClosingPriceType 9156 char The previous value of the InternalDailyClosingPriceType. Set at ChangeBusinessDay signal time.     Normalized Optional on all traded instruments Need to be computed on api side
OpenInterest 9150 float64 The total number of options and/or futures contracts that are not closed or delivered on a particular day.     Venue Mandatory on all derivatives instruments Sent as a tag in L1 events when modified.
LastAuctionPrice 9146 float64 Last auction price as sent by the matching engine     Venue Mandatory on all instrument with auctions Sent as a tag in L1 events when modified.
LastAuctionVolume 9147 float64 Last auction volume as sent by the matching engine     Venue Mandatory on all instrument with auctions Sent as a tag in L1 events when modified.
LastAuctionVolumeTraded 9183 float64 The aggregated volume of the last auction phase     Venue/Internal All Sent as a tag in L1 events when modified.
LastAuctionImbalanceSide 9151 char The market side of the order imbalance.     Venue Optional on all cash instruments Sent as a tag in L1 events when modified.
QH_LastAuctionImbalanceSide 9157 char Computed market side of the order imbalance.     Internal Optional on all cash instruments Sent as a tag in L1 events when modified.
LastAuctionImbalanceVolume 9152 float64 The number of shares not paired at the Current Reference Price.     Venue Optional on all cash instruments Sent as a tag in L1 events when modified.
QH_LastAuctionImbalanceVolume 9158 float64 Computed number of shares not paired at the Current Reference Price     Internal Optional on all cash instruments Sent as a tag in L1 events when modified.
AuctionOnDemand_Price 9184 float64 Indicative price for the matching of the Auction On Demand     Venue   Sent as a tag in L1 events when modified.
AuctionOnDemand_Volume 9185 float64 Indicative volume for the matching of the Auction On Demand     Venue   Sent as a tag in L1 events when modified.
PriceVega 9153 float64            
AveragePriceDaytoDayChange 9160 float64 JSDA specific tag, average price day-to-day change     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
AveragePriceSimpleYield 9161 float64 JSDA specific tag, average price simple yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
AveragePriceCompoundYield 9162 float64 JSDA specific tag, average price compound yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
HighestPriceDaytoDayChange 9163 float64 JSDA specific tag, highest price day-to-day change     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
HighestPriceSimpleYield 9164 float64 JSDA specific tag, highest price simple yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
HighestPriceCompoundYield 9165 float64 JSDA specific tag, highest price compound yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
LowestPriceDaytoDayChange 9166 float64 JSDA specific tag, lowest price day-to-day change     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
LowestPriceSimpleYield 9167 float64 JSDA specific tag, lowest price simple yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
LowestPriceCompoundYield 9168 float64 JSDA specific tag, lowest price compound yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
MedianPrice 9169 float64 JSDA specific tag, median price     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
MedianPriceDaytoDayChange 9170 float64 JSDA specific tag, median price day-to-day change     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
MedianPriceSimpleYield 9171 float64 JSDA specific tag, median price simple yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
MedianPriceCompoundYield 9172 float64 JSDA specific tag, median price compound yield     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
NumberOfReportingCompanies 9173 int32 JSDA specific tag, number of reporting companies     Venue Optional on jsda instruments Sent as a tag in L1 events when modified.
DailyHighBidPrice 9174 float64 The highest value of the best bid price since the last ChangeBusinessDay signal.     Internal Mandatory on all active instruments if configured Sent as a tag in L1 events when modified.
DailyLowBidPrice 9175 float64 The lowest value of the best bid price since the last ChangeBusinessDay signal.     Internal Mandatory on all active instruments if configured Sent as a tag in L1 events when modified.
DailyHighAskPrice 9176 float64 The highest value of the best ask price since the last ChangeBusinessDay signal.     Internal Mandatory on all active instruments if configured Sent as a tag in L1 events when modified.
DailyLowAskPrice 9177 float64 The lowest value of the best ask price since the last ChangeBusinessDay signal.     Internal Mandatory on all active instruments if configured Sent as a tag in L1 events when modified.
DailyHighMidPrice 9178 float64 Highest value of the TAG_MidPrice since the last ChangeBusinessDay.     Internal Mandatory on all active instruments if configured Sent as a tag in L1 events when modified.
DailyLowMidPrice 9179 float64 Lowest value of the TAG_MidPrice since the last ChangeBusinessDay.     Internal    
DailyNumberOfBlockTrades 9180 uint32 The number of trades that exceeded a defined quantity since the last ChangeBusinessDay signal.     Internal    
DailyTotalBlockVolumeTraded 9181 float64 The cumulated volume of block trades sinc the last ChangeBusinessDay signal.     Internal    
MarketTradingStatusCode 9182 uint32 Market specific values, indexed in a dictionary, containing an id describing a pair of status code and status description     Venue/Specific Optional Sent as a tag in L1 events when modified.
InternalDailyOpenTimestamp 9300 Timestamp The timestamp of the last DailyOpen signal. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalDailyCloseTimestamp 9301 Timestamp The timestamp of the last DailyClose signal. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalDailyHighTimestamp 9302 Timestamp The timestamp of the last DailyHigh signal. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalDailyLowTimestamp 9303 Timestamp The timestamp of the last DailyLow signal. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalPriceActivityTimestamp 9304 Timestamp The timestamp of the last LastPrice/Ask/Bid. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalLastAuctionTimestamp 9305 Timestamp The timestamp of the last LastAuctionPrice. (server timestamp UTC)     Internal Mandatory on all instrument with auctions Need to be computed on api side
InternalDailyBusinessDayTimestamp 9310 Timestamp The timestamp of the last CurrentBusinessDay signal. (server timestamp UTC)     Internal Mandatory on all traded instruments Need to be computed on api side
InternalCrossIndicator 9306 bool Signal that instrument has crossed or locked spread.     Internal Optional on all instruments when configured Need to be computed on api side
InternalBestBidNbOrders 9307 int32 Internal usage, do not use     Internal N/A N/A
InternalBestAskNbOrders 9308 int32 Internal usage, do not use     Internal N/A N/A
PriceActivityMarketTimestamp 9309 Timestamp The timestamp of the last LastPrice/Ask/Bid. (market timestamp UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
52WeekHighPrice 9200 float64 The highest price that an instrument has traded at during the previous year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
52WeekHighPriceTimestamp 9201 Timestamp The date of the highest price during the previous year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
52WeekLowPrice 9202 float64 The lowest price that an instrument has traded at during the previous year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
52WeekLowPriceTimestamp 9203 Timestamp The date of the lowest price during the previous year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
YearToDateHighPrice 9204 float64 The highest price that an instrument has traded since the January 1st of the current year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
YearToDateHighPriceTimestamp 9205 Timestamp The date of the highest price since the January 1st of the current year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
YearToDateLowPrice 9206 float64 The lowest price that an instrument has traded at since the January 1st of the current year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
YearToDateLowPriceTimestamp 9207 Timestamp The date of the lowest price since the January 1st of the current year.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
DailyNumberOfTrades 9208 uint32 Number of transaction (on or off-book) on an instrument, eligible to Volume if defined.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
PreviousDailyHighPrice 9209 float64 The previous value of the DailyHighPrice. Set at ChangeBusinessDay signal time.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
PreviousDailyLowPrice 9210 float64 The previous value of the DailyLowPrice. Set at ChangeBusinessDay signal time.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
PreviousValidBidPrice 9211 float64 The bid price before its last reset, this tag is reset whenever the bid price becomes valid     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
PreviousValidBidTimestamp 9212 Timestamp The market timestamp of the last valid bid price, this tag is never reset.     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
PreviousValidAskPrice 9213 float64 The ask price before its last reset, this tag is reset whenever the ask price becomes valid     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
PreviousValidAskTimestamp 9214 Timestamp The market timestamp of the last valid ask price, this tag is never reset.     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
DailyClosingBidPrice 9215 float64 The last valid bid price at close time.     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
DailyClosingAskPrice 9216 float64 The last valid ask price at close time.     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
ReportingType 9220 String MFDS specific values, indicating the dissemination type and frequency for the MFQS instrument.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
NetAssetValuePrice 9221 float64 MFDS specific values, indicating the net asset value for a MFQS instrument.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
TotalNetAssets 9222 float64 MFDS specific values, indicating the total net assets, in actual dollars for the MFQS instrument.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
WrapPrice 9223 float64 MFDS specific values, containing the price that an investor would pay to purchase units if the MFQS instrument is held in an account that is managed by a financial representative for a fee.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
EstimatedLongTimeReturn 9224 float64 MFDS specific values, containing the estimated return (yield) over the life of the portfolio of a UIT or other MFQS instrument.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
DailyDividend 9225 float64 MFDS specific values, indicating the dividend factor for a MFQS instrument that declares a daily dividend.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
DailyDividendIndicator 9226 char MFDS specific values, indicating if the Daily Dividend Adjustment Factor was fattened to reflect weekend, holiday or other non-reported period.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
Footnotes 9227 String MFDS specific values, containing up to ten different footnote codes.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
AccruedInterest 9228 float64 MFDS specific values, containing the interest accrued for a MFQS instrument since the last interest payment was made to investors.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
EntryTimestamp 9229 Timestamp MFDS specific values, containing the date of valuation of NetAssetValuePrice     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
AvgMaturityDays 9230 uint16 MFDS specific values, indicating the average time to maturity (stated in days) of the securities held by the fund.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
AvgLifeDays 9231 uint16 MFDS specific values, containing the weighted average life (in days) of a money market fund as calculated in accordance with the SEC Money Market Reform Act.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
YieldSevenDayGross 9232 float64 MFDS specific values, indicating the gross 7 day yield for a money market fund. This yield is based on average net income earned by the securities in the fund’s portfolio during the past 7 days.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
YieldSevenDaySubsidized 9233 float64 MFDS specific values, containing the subsidized yield (also known as simple yield) reflects the yield calculation with expense limitation currently in effect.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
YieldSevenDayAnnualized 9234 float64 MFDS specific values, indicating the effective yield for a money market fund. In calculating the effective annualized yield, most money markets assume that any income earned is reinvested.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
YieldThirtyDay 9235 float64 MFDS specific values, indicating the 30 day yield value based on the SEC calculation methodology with expense limitation currently in effect.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
YieldThirtyDayTimestamp 9236 Timestamp            
CorporateActionType 9237 char            
ShortTermGain 9238 float64 MFDS specific values, indicating the portion of the total capital gain for the MFQS instrument that is taxed to the shareholder at the short-term capital gains rate.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
LongTermGain 9239 float64            
UnallocatedDistribution 9240 float64            
ReturnOnCapital 9241 float64            
ExDistributionTimestamp 9242 Timestamp       Venue Optional on all active instruments Sent as a tag in L1 events when modified.
RecordTimestamp 9243 Timestamp       Venue Optional on all active instruments Sent as a tag in L1 events when modified.
PaymentTimestamp 9244 Timestamp       Venue Optional on all active instruments Sent as a tag in L1 events when modified.
ReinvestTimestamp 9245 Timestamp       Venue Optional on all active instruments Sent as a tag in L1 events when modified.
DistributionType 9246 char MFDS specific values, indicating the type of cash distribution being reported in the following cash distribution fields.     Venue Optional on all MFDS active instruments Sent as a tag in L1 events when modified.
TotalCashDistribution 9247 float64 MFDS specific values, containing the total cash dividend or total interest distribution being reported for the MFQS instrument. Firms may report the breakdown of cash dividends / interest distribution in the fields that follow.     Venue Optional on all MFDS active instruments Sent as a tag in L1 events when modified.
NonQualifiedCashDistribution 9248 float64            
QualifiedCashDistribution 9249 float64            
TaxFreeCashDistribution 9250 float64            
OrdinaryForeignTaxCredit 9252 float64            
QualifiedForeignTaxCredit 9253 float64            
LastYield 9254 float64 MFDS specific values, indicating the current yield (annual rate of return on investment) for a MFQS instrument.     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
LimitUpLimitDownIndicator 9255 char Limit up-limit down (LULD) indicator, indicates the affect the Quote has on the Limit Up-Limit Down Price Band range.     Venue Mandatory on all US consolidated instruments Sent as a tag in L1 events when modified.
MinimumNumberOfReportingCompaniesFlag 9256 bool JSDA specific tag, minimum number of reporting companies flag     Venue Optional on all active instruments Sent as a tag in L1 events when modified.
StockDividend 9257 float64 Dividend to be issued for a security (when cash ? Or estimated ?)     Venue    
CancelledOrModifiedTradePrice 9258 float64     Unused      
CancelledOrModifiedTradeQuantity 9259 float64     Unused      
RetailPriceImprovement 9364 char US feeds specific tag, Retail Price Interest Indicator (RPII) identifies a retail interest indication of the Bid, Ask or both the Bid and Ask for NASDAQ-listed securities.     Venue Optional on all US traded instruments Sent as a tag in L1 events when modified.
DailyClosingBidTimestamp 9366 Timestamp The timestamp of the DailyClosingBidPrice. (server timestamp)     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
DailyClosingAskTimestamp 9367 Timestamp The timestamp of the DailyClosingAskPrice. (server timestamp)     Internal Optional on all traded instruments when configured Sent as a tag in L1 events when modified.
AdjustedDailyClosingPrice 9368 float64       Internal    
PreviousAdjustedDailyClosingPrice 9369 float64       Internal    
TradingReferencePrice 9370 float64 Reference price for the current trading price range usually representing the mid price between the HighLimitPrice and LowLimitPrice. The value may be the settlement price or closing price of the prior trading day.     Venue Optional on all instruments Sent as a tag in L1 events when modified.
ExchangeLastComputedPrice 9371 float64 TSE Indices, last computed value of index.     Venue Optional on TSE indices instruments Sent as a tag in L1 events when modified.
ExchangeIndicativeBuyPrice 9267 float64 Computed and Indicative price provided by exchange for Buy Side of an instrument for Mifid II pre-trade transparency Non matchable price   Venue   Sent as a tag in L1 events when modified.
ExchangeIndicativeSellPrice 9268 float64 Computed and Indicative price provided by exchange for Sell Side of an instrument for Mifid II pre-trade transparency Non matchable price   Venue   Sent as a tag in L1 events when modified.
ExchangeIndicativeBuyVolume 9270 float64 Volume linked to ExchangeIndicativeBuyPrice provided by exchange for Buy Side of an instrument for Mifid II pre-trade transparency Volume of non matchable buy price Disseminated Venue All Sent as a tag in L1 events when modified
ExchangeIndicativeSellVolume 9271 float64 Volume linked to ExchangeIndicativeSellPrice provided by exchange for Sell Side of an instrument for Mifid II pre-trade transparency Volume of non matchable sell price Disseminated Venue All Sent as a tag in L1 events when modified
UnadjustedDailyClosingPrice 9373 float64 The final unadjusted price at which a security is traded on a given trading day     Internal    
PreviousUnadjustedDailyClosingPrice 9374 float64 The previous value of the UnadjustedDailyClosingPrice. Set at ChangeBusinessDay signal time.     Internal    
EstimatedCashPerUnitCreation 9377 float64 NYSE GIF specific tag, This field represents the Estimated amount of Cash needed to create a fund unit.     Venue Optional on NYSE GIF indices instruments Sent as a tag in L1 events when modified.
TotalCashPerUnitCreation 9378 float64 NYSE GIF specific tag, This field represents the Total amount of Cash needed to create a fund unit.     Venue Optional on NYSE GIF indices instruments Sent as a tag in L1 events when modified.
ImpliedVolatility 9379 float64 The estimated volatility of a security’s price.     Venue    
SettlementPriceDate 9380 Timestamp Timestamp of last settlement     Venue Mandatory on all futures instruments Sent as a tag in L1 events when modified.
PreviousSettlementPriceDate 9381 Timestamp Previous timestamp for settlement, last business day.     Venue Mandatory on all futures instruments Need to be computed on api side
OpenInterestDate 9382 Timestamp Timestamp of the last open interest modification     Venue optional on all derivatives instruments Sent as a tag in L1 events when modified.
SettlementPriceType 9383 char Settlement price type as reported by venue     Normalized Mandatory on all futures instruments Sent as a tag in L1 events when modified.
PreviousSettlementPriceType 9384 char Previous settlement price type     Normalized Mandatory on all futures instruments Need to be computed on api side
LastEligibleTradePrice 9385 float64 The last price that is eligible to the Last.     Venue Mandatory on all traded instruments with Last eligibility Need to be computed on api side
LastEligibleTradeQty 9386 float64 The last quantity that is eligible to the Last.     Venue Mandatory on all traded instruments with Last eligibility Need to be computed on api side
LastEligibleTradeTimestamp 9387 Timestamp The timestamp of the last trade eligible to the Last. (market timestamp in UTC)     Venue Mandatory on all traded instruments with Last eligibility Need to be computed on api side
DailyOpeningPriceTimestamp 9388 Timestamp The timestamp of the last DailyOpeningPrice modification (market timestamp in UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
DailyClosingPriceTimestamp 9389 Timestamp The timestamp of the last DailyClosingPrice modification (market timestamp in UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
DailyHighPriceTimestamp 9390 Timestamp The timestamp of the last DailyHighPrice modification (market timestamp in UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
DailyLowPriceTimestamp 9391 Timestamp The timestamp of the last DailyLowPrice modification (market timestamp in UTC)     Venue Mandatory on all traded instruments Need to be computed on api side
PreviousDailyClosingPriceTimestamp 9392 Timestamp The previous DailyClosingPrice timestamp, last business day.     Venue Mandatory on all traded instruments Need to be computed on api side
InternalDailyVWAP 9393 float64 Volume Weighted Average Price     Internal Mandatory on all traded instruments if configured Sent as a tag in L1 events if configured on server side.
MARKET_TradingStatus 9394 uint32 Generic Tag to provide the raw Market Trading Status information at the instrument level     Dictionary Optional Sent as a tag in L1 events when modified.
MARKET_HaltReason 9395 uint32 Halt reason for the instrument. Its value reference a market specific halt reason code and name.     Dictionary Optional Sent as a tag in L1 events when modified.
StaticTradingReferencePrice 9396 float64 During the opening auction, the static reference price is the last traded price (usually the previous day closing price, adjusted if necessary to account for coupon payment) or the last indicative price disseminated.     Venue Optional on all traded instruments with aution Sent as a tag in L1 events when modified.
MARKET_GroupTradingStatus 9260 uint32 Generic Tag to provide the raw Market TradingStatus information at the group, segment or market level     Dictionary Optional  
MarketCondition 9269 uint8 Normalized tag defining the market condition declared by a trading venue, according to MiFID II / RTS 8 requirement. Stressed Market Conditions refer to significant short-term changes in the number of messages, trading volume or price (volatility). Under Stressed market conditions the quoting obligations for liquidity providers are relaxed and under Exceptional market conditions there are no quoting obligations. Possible values are: ‘0’: normal market (default value), ‘1’: stressed market, ‘2’: exceptional market Disseminated Venue All Sent as a tag in L1 events when modified
PreviousOpenInterest 9262 float64 Previous trading day’s Open Interest. Persisting previous day’s Open Interest allows us to catch data corrections published by the exchange after the start of a new session.     Optional Need to be computed on api side
PreviousOpenInterestDate 9263 Timestamp The date PreviousOpenInterest is effective for.       Optional Need to be computed on api side
SessionNumberOfTrades 9264 uint32 Number of on-book transactions on an instrument.     Internal Optional on all instruments when configured Sent as a tag in L1 events when modified.
HasContinuationFlag 9265 bool This tag will be set in MBL only and will denote an MBL layer in continuation. (When the initial snapshot is taken in the middle of several delta events with a true ContinuationFlag).     Internal Optional  
NationalConsolidatedVolume 9266 float64 Consolidated Volume across all venues ie: Full Nasdaq market coverage: NLS Plus reflects all transactions from the Nasdaq U.S. equity market systems: Nasdaq, FINRA/Nasdaq TRF, BX and PSX.   Venue Optional Sent as a tag in L1 events when provided by exchange
Consolidation_LastEvent 9397 uint8 Last enable/disable event that happened on one of the leg     Internal Optional Sent as a tag in L1 events when modified.
Consolidation_LastEventTimestamp 9398 Timestamp Timestamp associated with the last enable/disable event     Internal Optional Sent as a tag in L1 events when modified.
Consolidation_LastEventLeg 9399 uint32 Leg on which the last enable/disable event occured     Internal Optional Sent as a tag in L1 events when modified.
LegConsolidationStatus 10000 uint8, 100 Enable/disable status of a leg     Internal Optional Sent as a tag in L1 events when modified.
QUOT_USER 59000 float64, 1000 Quotation tags reserved for publication purpose     Custom    
MARKET_SWX_BookCondition 14452 int32 SWX specific tag, containing the raw trading status code     Venue Mandatory on all SWX traded instruments Sent as a tag in L1 events when modified.
MARKET_SWX_SecurityTradingStatus 14453 int32 SWX specific tag, containing the suspension indicator     Venue Mandatory on all SWX traded instruments Sent as a tag in L1 events when modified.
MARKET_SWX_TradingSessionSubID 14454 String SWX specific tag, containing the trading schedule transition code.     Venue Mandatory on all SWX traded instruments Sent as a tag in L1 events when modified.
MARKET_BOVESPA_SecurityTradingStatus 14470 String            
MARKET_XETRA_ULTRA_PLUS_InstrumentStatus 14480 float64 XETRA ULTRA PLUS specific tag, containing the raw trading status code     Venue Mandatory on all XETRA Ultra Plus traded instruments Sent as a tag in L1 events if configured on server side.
MARKET_ICE_BlockVolume 14500 float64 ICE specific tag, containing the daily total traded volume for ICE block trades     Venue Optional in ICE instruments Sent as a tag in L1 events when modified.
MARKET_ICE_EFSVolume 14501 float64 ICE specific tag, containing the daily total traded volume on ICE Exchange for Physical (EFP)     Venue Optional in ICE instruments Sent as a tag in L1 events when modified.
MARKET_ICE_EFPVolume 14502 float64 ICE specific tag, containing the daily total traded volume on ICE Exchange for Swap (EFS)     Venue Optional in ICE instruments Sent as a tag in L1 events when modified.
MARKET_ICE_IntervalPriceLimitsOnHold 14503 bool ICE specific tag, value to mark the start of an Interval Price Limit Hold (IPL) Start and End period. If the value is set to true, this means the start of an IPL Hold Start; if the value is reset, this means the end of an IPL Hold period.     Venue Optional in ICE instruments Sent as a tag in L1 events when modified.
MARKET_EURONEXT_HaltReason 14550 String Deprecated - EURONEXT specific tag, containing the halt reason code for an instrument.   Deprecated Venue Mandatory on all EURONEXT traded instruments Sent as a tag in L1 events when modified.
MARKET_EURONEXT_ClassState 14551 String EURONEXT specific tag, containing the state of the instrument group it belongs to.     Venue Mandatory on all EURONEXT traded instruments Sent as a tag in L1 events when modified.
MARKET_EURONEXT_OrderEntryRejection 14552 char EURONEXT specific tag, indicates whether order entry is allowed or forbidden. Valid values are:’N’ : Order entry allowed, ‘Y’ : Order entry forbidden     Venue    
MARKET_EURONEXT_InstrumentState 14553 char EURONEXT specific tag, indicates the state of the instrument. Valid values are: ‘0’ - Not applicable , ‘A’ - Auction , ‘H’ - Halted , Null (or space) - Inherited (following the state of the class the instrument belongs to)     Venue    
MARKET_EURONEXT_PhaseQualifier 14554 int32 Indicates the trading mode. Valid values are: ‘0’ - Call BBO Only, ‘1’ - Trading At Last, ‘2’ - Random uncrossing, ‘3’ - Suspended, ‘4’ - Wholesale allowed     Venue    
MARKET_EURONEXT_OrderPriority 14555 int64 Rank giving the priority of the order. The order with the lowest value of Order Priority has the highest priority.   Venue   1489509600305933000
MARKET_EURONEXT_TradingPeriod 14556 uint8 Provides the current trading period Possible values are: ‘1’ = Opening (Cash and Derivatives), ‘2’ = Standard (Cash and Derivatives), ‘3’ = Closing (Cash and Derivatives)   Venue   1 (Opening (Cash and Derivatives))
MARKET_OMX_SAXESS_OrderbookState 14590 String     Unused      
MARKET_OMX_SAXESS_OrderbookStopCode 14591 String     Unused      
MARKET_OMX_SAXESS_InstrumentStopCode 14592 String     Unused      
MARKET_OMX_SAXESS_SubmarketStopCode 14593 String     Unused      
MARKET_OMX_NORDIC_MarketSegmentState 14594 String OMX NORDIC specific tag, containing the state of the instrument segment.     Venue Mandatory on all OMX NORIC traded instruments Sent as a tag in L1 events when modified.
MARKET_OMX_NORDIC_OrderBookTradingState 14595 String Deprecated - OMX NORDIC specific tag, containing the suspension indicator.   Deprecated Venue Mandatory on all OMX NORIC traded instruments Sent as a tag in L1 events when modified.
MARKET_OMX_NORDIC_OrderBookHaltReason 14596 String Deprecated - OMX NORDIC specific tag, containing the reason of supsension.   Deprecated Venue Mandatory on all OMX NORIC traded instruments Sent as a tag in L1 events when modified.
MARKET_OMX_NORDIC_NoteCodes1 14597 int32 OMX NORDIC specific tag, this tag contains a concatenation of the 4 market bitfields (4 bitfields with values from 0 to 128 for each bitfield). Bitfields 1 to 4. This tag carries various trading status related informations.     Venue Optional in OMX NORDIC instruments Sent as a tag in L1 events when modified.
MARKET_OMX_NORDIC_NoteCodes2 14598 int32 OMX NORDIC specific tag, this tag contains a concatenation of the 4 market bitfields (4 bitfields with values from 0 to 128 for each bitfield). Bitfields 5 to 8. This tag carries various trading status related informations.     Venue Optional in OMX NORDIC instruments Sent as a tag in L1 events when modified.
MARKET_LSE_PeriodName 14600 String Deprecated   Deprecated      
MARKET_LSE_PeriodStatus 14601 String Deprecated   Deprecated      
MARKET_LSE_SuspendedIndicator 14602 String Deprecated - LSE specific tag, containing the suspension indicator.   Deprecated Venue Mandatory on all LSE traded instruments Sent as a tag in L1 events when modified.
MARKET_LSE_HaltReason 14603 String Deprecated   Deprecated      
MARKET_LSE_OffBookReportingTradingStatus 14604 String Deprecated - LSE specific tag, containing a trade condition.   Deprecated Venue    
MARKET_LIFFE_MarketMode 14650 String Deprecated - LIFFE specific tag, containing the instrument trading status   Deprecated Venue Mandatory on all LIFFE instruments Sent as a tag in L1 events when modified.
MARKET_LIFFE_MarketStatuses 14651 uint32 LIFFE specific tag, containing the instrument trading status     Venue    
MARKET_ADH_OrderbookStateCode 14700 String            
MARKET_TURQUOISE_HaltReason 14720 String TURQUOISE specific tag, containing the suspension reason code.     Venue Mandatory on all TURQUOISE halted instruments  
MARKET_TURQUOISE_DarkBookTradingStatus 14721 Enum TURQUOISE specific tag, containing the dark book trading status.     Venue Mandatory on all TURQUOISE traded instruments Sent as a tag in L1 events when modified.
MARKET_TURQUOISE_OffBookReportingTradingStatus 14722 Enum TURQUOISE specific tag, containing the off-book trading status.     Venue Mandatory on all TURQUOISE traded instruments Sent as a tag in L1 events when modified.
MARKET_CME_PreliminarySettlementPrice 14740 float64 Deprecated   Deprecated Venue    
MARKET_LSE_MIT_TradingStatusDetails 14750 String Deprecated - LSE specific tag, containing the raw trading status code   Deprecated Venue Mandatory on all LSE traded instruments Sent as a tag in L1 events when modified.
MARKET_LSE_MIT_HaltReason 14752 String Deprecated - LSE specific tag, containing the reason of an instrument being trading halted.   Deprecated Venue    
MARKET_LSE_MIT_TotalAuctionVolume 14756 float64 LSE specific tag, containing the total auction voulme for a business day.     Venue Mandatory on all LSE traded instruments Sent as a tag in L1 events when modified.
MARKET_OSE_TradingStateName 14755 String OSE specific tag, containing the trading status     Venue Mandatory on all OSE traded instruments Sent as a tag in L1 events when modified.
MARKET_NASDAQ_TradingActionReason 14770 String NASDAQ total view specific tag, indicating a trading halt reason     Venue Mandatory on all NASDAQ halted instruments Sent as a tag in L1 events when modified.
MARKET_NASDAQ_FarPrice 14771 float64 NASDAQ total view specific tag, a hypothetical auction-clearing price for cross orders only     Venue Optional on all NASDAQ traded instruments Sent as a tag in L1 events when modified.
MARKET_NASDAQ_NearPrice 14772 float64 NASDAQ total view specific tag, a hypothetical auction-clearing price for cross orders as well as continuous orders.     Venue Optional on all NASDAQ traded instruments Sent as a tag in L1 events when modified.
MARKET_NYSE_TradeCond 14790 String NYSE specific tag, containing the trade conditions     Venue Mantory on all NYSE traded instruments Sent as a tag in L1 events when modified.
MARKET_NYSE_SecurityStatus 14791 char NYSE specific tag, containing the trading status when not normal     Venue Optional on NYSE halted instruments Sent as a tag in L1 events when modified.
MARKET_NYSE_HaltCondition 14792 char NYSE specific tag, containing the trading halt reason code     Venue Optional on NYSE halted instruments Sent as a tag in L1 events when modified.
MARKET_OMNET_OMX_TradingStateName 14800 String OMNET specific tag, containing the trading status     Venue Mantory on all OMNET traded instruments Sent as a tag in L1 events when modified.
MARKET_BATS_AuctionType 14850 char BATS US BZX specific tag, containing auction type     Venue Mantory on all BATS instruments Sent as a tag in L1 events when modified.
MARKET_BPOD_SubscriptionErrorCode 14870 uint8 BPOD specific tag, containing an error code in case of subscription failure     Venue Optional on all BPOD instruments Sent as a tag in L1 events when modified.
MARKET_CEF_LastTradeTradingPhase 14900 char CEF specific tag, market dependant values, containing the trading phase, its carried with every trade.     Venue Mandatory on all CEF traded instruments Sent as a tag in L1 events when modified.
MARKET_BME_DynamicVariationRange 14920 float64 BME specific tag, maximum vairation in percentile of the dymanic reference price.     Venue Mandatory on all BME traded instruments Sent as a tag in L1 events when modified.
MARKET_BME_StaticVariationRange 14921 float64 BME specific tag, maximum variation in percentile of the static reference price.     Venue Mandatory on all BME traded instruments Sent as a tag in L1 events when modified.
MARKET_BME_HaltReason 14922 uint8 BME specific tag, reason for halting     Venue Optional Sent as a tag in L1 events when modified
MARKET_MILAN_MIT_TradingStatusDetails 14950 char AFFARI specific tag, containing the trading status code     Venue Mandatory on all AFFARI traded instruments Sent as a tag in L1 events when modified.
MARKET_PINKSHEET_QuoteFlags 14960 uint16     Unused      
MARKET_PINKSHEET_QuoteCondition 14961 char replaced by context tag MARKET_ULTRAFEED_QuoteCondition   Unused      
MARKET_JSE_MIT_TradingStatusDetails 14970 char JSE specific tag, containing the trading status code     Venue Mandatory on all JSE traded instruments Sent as a tag in L1 events when modified.
MARKET_BPIPE_PreviousBidPrice 14980 float64 BPOD specific tag, containing the previous Best Bid price     Venue BPOD Sent as a tag in L1 events when modified.
MARKET_BPIPE_PreviousAskPrice 14981 float64 BPOD specific tag, containing the previous Best Ask price     Venue BPOD Sent as a tag in L1 events when modified.
MARKET_MFDS_Flags 14990 uint16       Venue    
MARKET_MFDS_CapitalDistributionFlags 14991 uint16       Venue    
MARKET_MFDS_DividendInterestFlags 14992 uint16            
MARKET_HK_TradingState 15010 String Deprecated - ORION specific tag, containing the trading status code   Deprecated Venue    
MARKET_HK_ShortSellSharesTraded 15011 float64 ORION specific tag, containing the number of short-sell shares traded for a security, updated twice a day.     Venue    
MARKET_HK_ShortSellTurnover 15012 float64 ORION specific tag, containing the current short-sell turnover for a security, updated twice a day.     Venue    
MARKET_HK_CoolingOffStartTime 15013 Timestamp Time when the cooling off period starts     Venue    
MARKET_HK_CoolingOffEndTime 15014 Timestamp Time when the cooling off period ends     Venue    
MARKET_HK_DailyQuotaBalance 15015 float64 Daily Quota Balance for the China Stock Connect     Venue    
MARKET_HK_BuyTurnover 15016 float64 Total turnover of Buy trades from the Northbound or Southbound trading     Venue    
MARKET_HK_SellTurnover 15017 float64 Total turnover of Sell trades from the Northbound or Southbound trading     Venue    
MARKET_HK_BuySellTurnover 15018 float64 Sum of the values of BuyTurnover and SellTurnover     Venue    
MARKET_HK_NominalPrice 15019 float64 Reference price used to define the limitations and characteristics of the trading. The Nominal message may be generated when an order is added, deleted or modified in a book or when trade or trade cancel is performed (https://www.hkex.com.hk/eng/market/sec_tradinfo/tradeprice.htm)   Venue    
MARKET_QUANTUM_StockState 15020 String Deprecated - TMX specific tag, containing the security status   Deprecated Venue    
MARKET_QUANTUM_GroupStatus 15021 char Deprecated - TMX specific tag, containing the security group status   Deprecated Venue    
MARKET_JSDA_PrefixSequenceNumber 15030 String JSDA specific tag, containing a prefix sequence number     Venue jsda Sent as a tag in L1 events when modified.
MARKET_JSDA_DataType 15031 String JSDA specific tag, containing the data type (usually “70”)     Venue jsda Sent as a tag in L1 events when modified.
MARKET_NGM_KnockOutBuyback 15040 char NGM specific tag, containing specific trading status code     Venue ngm Sent as a tag in L1 events when modified.
MARKET_NGM_FinancialStatus 15041 String NGM specific tag, containing specific trading status code     Venue ngm Sent as a tag in L1 events when modified.
MARKET_TSE_BidMarketOrderVolume 15060 float64 TSE specific tag, containing the market order volume AT_OPEN on buy side, during auction phase.     Venue Optional on all TSE traded instruments Sent as a tag in L1 events when modified.
MARKET_TSE_AskMarketOrderVolume 15061 float64 TSE specific tag, containing the market order volume AT_OPEN on sell side, during auction phase.     Venue Optional on all TSE traded instruments Sent as a tag in L1 events when modified.
MARKET_TSE_BidSpecialQuotePrice 15062 float64 TSE specific tag, containing special quote information is publicly disseminated through the TSE market information system, thus notifying market participants of the order imbalance as soon as possible.     Venue Optional on all TSE traded instruments Sent as a tag in L1 events when modified.
MARKET_TSE_AskSpecialQuotePrice 15063 float64 TSE specific tag, containing special quote information is publicly disseminated through the TSE market information system, thus notifying market participants of the order imbalance as soon as possible.     Venue Optional on all TSE traded instruments Sent as a tag in L1 events when modified.
MARKET_MICEX_SecurityTradingStatus 15070 uint16 MICEX specific tag, containing the trading status code     Venue Mandatory on all MICEX traded instruments Sent as a tag in L1 events when modified.
MARKET_ULTRAFEED_CorporateActionReportType 15080 uint8 ULTRAFEED specific tag, containing the corporate action type     Venue Optional on all ULTRAFEED traded instruments Sent as a tag in L1 events when modified.
MARKET_KOR_LiquidityProviderHoldedQuantity 15090 float64 Korean specific tag, containing volume of accound held by the liquidity provider Useful reference for investors   Venue Korean Equities instruments Sent as a tag in L1 events when modified

1.4.9   Quotation Context Tags

Tag Name Tag ID Syntax Definition Description Usage Content Origin Scope Channel
Text 58 String     Unused      
TradeCondition 277 String Space-delimited list of conditions describing a trade. See FIX tag 277     Venue/Specific Mandatory L1
Buyer 288 String Buying party in a trade. See FIX tag 288     Venue Optional L1, MBO
Seller 289 String Selling party in a trade. See FIX tag 289     Venue Optional L1, MBO
Scope 546 char     Unused      
TradeID 1003 String The unique ID assigned to the trade entity once it is received or matched by the exchange or central counterparty. See FIX tag 1003     Venue Mandatory L1
OriginFOSMarketIdOf_LastPrice 9350 uint16 Indicates the original market of a LastPrice or Trade information     Internal Optional L1
OriginOf_LastPrice 9351 String       Internal    
OriginFOSMarketIdOf_BestBid 9352 uint16 Indicates the origin market where a Best Bid is coming from in a consolidated feed context.     Venue Optional L1
OriginOf_BestBid 9353 String            
OriginFOSMarketIdOf_BestAsk 9354 uint16 Indicates the origin market where a Best Ask is coming from in a consolidated feed context.     Venue Optional L1
OriginOf_BestAsk 9355 String            
OriginOf_Quote 9906 String Origin of a Quote into a SI Quotes MBL multi layer or into an AOD MBL (Segment MIC)     Venue All APA or Auction On Demand instruments  
AggressorSide 9356 char The party in the trade that initiates the deal.     Venue Optional L1
OrderModificationReason 9357 Enum Decorate MBL events to signal that some limit(s) were matched         MBL
TradeConditionsDictionaryKey 9358 uint32 The table key of the trade conditions dictionary.     Internal Optional L1
NbOfBuyOrdersTraded 9359 int32 Number of orders matched on buy-side when trade occurs.     Venue EUREX only L1
NbOfSellOrdersTraded 9360 int32 Number of orders matched on sell-side when trade occurs.     Venue EUREX only L1
PegOrderLimitPrice 9361 float64 Disseminated in MBO, containing the peg order price     Venue EURONEXT only MBO
HiddenLiquidityFlag 9362 bool Signal trades matched on dark book     Venue OSLO_MIT only L1
TargetMBLLayerId 9363 uint32 Disseminated in MBO, containing the layer impacted by an order from the market sheet (flowing in MBO)     Internal multi-layer feeds with market sheet MBO
RawSequenceNumber 9365 uint32            
MMTFlagsV2 9901 String Generic trade condition as it comes from the exchange MMT v2, 9 chars long.     Venue   L1
MMTFlagsV3 9904 String Generic trade condition as it comes from the exchange MMT v3, 15 chars long.     Venue   L1
MiFID_TradePrice 9907 String Price for trade Mifid II on CLOB instrument (second trade message)     Venue All CLOB instruments having 2 trades messages mechanism (poor/fast vs rich/slow trade messages).  
MiFID_TradeQty 9908 String Quantity for trade Mifid II on CLOB instrument (second trade message)     Venue All CLOB instruments having 2 trades messages mechanism (poor/fast vs rich/slow trade messages).  
LastTradePriceCurrency 9913 String Currency of the current trade. Disseminate only if the currency is different from PriceCurrency (tag id:15)   Disseminated only if the currency is different of the instrument currency Venue All instruments  
TradeImpactIndicator 9902 uint32 The eligibility rules of the trade. (Bitfield with supported eligibility and current eligibility)     Internal   L1
TradingVenue 9903 uint16 Trade condition, containing the market identification code from which a trade is reported.     Venue Optional L1
TradeExecutionVenue 9909 String Most of the Time this is the MIC of the Execution Venue     Venue    
TradePublicationVenue 9910 String Most of the Time this is the MIC of the Publication Venue     Venue    
TradeExecutionTimestamp 9905 Timestamp Date and time when the transaction was executed.     Venue This tag is to be implemented whenever provided by the trading venue within Trade messages (for both, Regular and MIFID II (aka Enriched) Trades)  
ActualTradingSessionId 9375 int8 Hold the relevant TradingSessionId for a trade, overriding the actual session id.     Internal Optional on instruments with multi-session L1
CancelledOrModifiedTradingSessionId 9376 int8     Unused      
MARKET_TradeType 9261 uint32 Generic Tag to provide the raw Market Trade Type or Trade Indicator or Trade Flag information     Dictionary Optional L1
AuctionOnDemand_TradingStatus 9911 Enum Specific Trading Status for AOD     Venue All AOD instruments managed in a dedicated MBL layer should have a dedicated TS.  
AuctionOnDemand_Start 9912 bool Set to True when the AOD starts / to False when the AOD is ended     Venue Declare the start/stop of an Auction on Demand  
COMSTOCK_TOKENS_FIRST 30000 String Basis tag number for IDC feeds     N/A IDC tags  
COMSTOCK_ENUM_SRC_ID 30003 String            
COMSTOCK_QUOTE_COND_1 32000 String            
COMSTOCK_f79 32500 String            
COMSTOCK_FUND_INDEX_MEMBERSHIP 33137 String            
COMSTOCK_TOKENS_LAST 39999 String Basis tag number for IDC feeds     N/A IDC tags  
MARKET_LSE_TradeTypeIndicator 15000 String Deprecated   Deprecated      
MARKET_LSE_UncrossingVolume 15001 float64 Deprecated   Deprecated      
MARKET_LSE_BargainConditionIndicator 15002 String Deprecated   Deprecated      
MARKET_LSE_TradeTimeIndicator 15003 String Deprecated   Deprecated      
MARKET_LSE_ConvertedPriceIndicator 15004 String Deprecated   Deprecated      
MARKET_EURONEXT_CrossOrderIndicator 15050 String EURONEXT specific tag, indicating the origin of a trade (Cross Order or other )     Venue EURONEXT L1
MARKET_EURONEXT_TheoreticalOpeningVolume 15051 float64     Unused      
MARKET_EURONEXT_OrderPriorityTimestamp 15052 Timestamp EURONEXT specific tag, disseminated in MBO, priority timestamp of the order.     Venue EURONEXT MBO
MARKET_EURONEXT_TradeOffExchangeFlag 15053 String EURONEXT specific tag, trades relates to a block or a negotiated deal following MiFID rules     Venue EURONEXT L1
MARKET_EURONEXT_TradingVenue 15054 String Deprecated - EURONEXT specific tag, identifies the Euronext market on which a security is traded by its Market Identification Code. Will be replaced by TradingVenue tag.   Deprecated Venue EURONEXT L1
MARKET_EURONEXT_OpeningTradeIndicator 15055 String EURONEXT specific tag, disseminated when a trade took place during the opening auction     Venue EURONEXT L1
MARKET_EURONEXT_TradeTypeOfOperation 15056 String EURONEXT specific tag, type of operation for TCS.     Venue EURONEXT L1
MARKET_EURONEXT_MarketMechanism 15057 uint32 EURONEXT specific tag, defines the Exchange Market Mechanism applied on each platform. Refer to Euronext Feed Description for specific code description (Example: 1=Cash and Derivative Central Order Book)   Venue EURONEXT L1
MARKET_CME_TradeTypeIndicator 15100 String     Unused      
MARKET_CME_MatchEventIndicator 15101 String     Unused      
MARKET_CME_MsgSeqNum 15102 uint32 CME specific tag, contains the multicast packet sequence number of the upstream cme feed.     Venue CME, all events L1
MARKET_LIFFE_TradeTypeIndicator 15200 String     Unused      
MARKET_LIFFE_XDP_TradeTypeIndicator 15201 String LIFFE specific tag, contains the type of trade (except on conventional trades)     Venue LIFFE trade condition L1
BPIPE_TradeAction 15250 String            
BPIPE_TradeCondition 15251 String            
BPIPE_TradeTypeIndicator 15252 String BPIPE specific tag, containing the trade type.     Venue    
BPIPE_QuoteConditionBid 15253 String BPIPE specific tag, containing the Bloomberg mnemonic for special conditions on the quote.     Venue    
BPIPE_QuoteConditionAsk 15254 String BPIPE specific tag, containing the Bloomberg mnemonic for special conditions on the quote.     Venue    
BPIPE_QuoteCondition 15255 String            
MARKET_TURQUOISE_TradeTypeIndicator 15300 String Deprecated - TURQUOISE specific tag, containing the trade type.   Deprecated Venue   L1
MARKET_TURQUOISE_LastAuctionQty 15301 float64     Unused      
MARKET_TURQUOISE_EndOfAuctionTime 15302 Timestamp     Unused      
MARKET_CEF_IndexTypeIndicator 15150 String CEF specific tag, containing the type of the index price.     Venue CEF indices L1
MARKET_CEF_LastAuctionQty 15151 float64 Deprecated - CEF specific tag, containing the last auction quantity.   Deprecated Venue CEF indices L1
MARKET_CEF_TradeTypeIndicator 15400 String CEF specific tag, containing the trade type.     Venue/Specific CEF indices L1
MARKET_SWX_TradeTypeIndicator 15450 String SWX specific tag, disseminated in case of special price for off-book trades.     Venue SWX L1
MARKET_SWX_LastAuctionQty 15451 float64     Unused      
MARKET_SWX_TradeOffExchangeFlag 15452 String SWX specific tag, disseminated on Off-Book trades     Venue SWX L1
MARKET_SWX_TradingPhase 15453 String SWX specific tag, containing the auction phase number on On-Book trades     Venue SWX on trades if configured L1
MARKET_ICE_BlockTradeType 15501 String ICE specific tag, containing a type for block trades.     Venue   L1
MARKET_ICE_SystemPricedLegType 15502 String ICE specific tag, indicating the type of a system priced leg (outright spread matching)     Venue ICE if configured L1
MARKET_ICE_SequenceWithinMillis 15503 int32 Can be used in conjunction with TransactDateTime field for sequence of deals within same milliseconds time          
MARKET_ICE_IsImplied 15504 bool Indicate the deal resulted from implied order if set to 1. It does not affect how market stats are calculated          
MARKET_BOVESPA_OrderPriorityTimestamp 15550 Timestamp     Unused      
MARKET_BOVESPA_OriginOfTrade 15551 String     Unused      
MARKET_BME_IndexTypeIndicator 15600 String            
MARKET_BME_TradeTypeIndicator 15602 String BME specific tag, containing the trade type.     Venue BME L1
MARKET_NASDAQ_UTP_SaleCondition 15650 String NASDAQ UTP specific tag, indicating the type of trade.     Venue NASDAQ UTP L1
MARKET_NASDAQ_UTP_QuoteCondition 15651 char NASDAQ UTP specific tag, detailing the quote’s applicable condition.     Venue NASDAQ UTP L1
MARKET_NASDAQ_UTP_SubMarketCenterId 15652 char NASDAQ UTP specific tag, indicating the source of a trade.     Venue NASDAQ UTP L1
MARKET_CTA_SaleCondition 15700 String CTA specific tag, indicating the type of trade.     Venue CTA L1
MARKET_CTA_QuoteCondition 15701 char CTA specific tag, detailing the quote’s applicable condition.     Venue CTA L1
MARKET_BURGUNDY_SubTypeOfTrade 15750 String     Unused      
MARKET_EUREX_ULTRA_PLUS_TradeType 15800 String EUREX specific tag, containing the trade type.     Venue EUREX L1
MARKET_EUREX_ULTRA_PLUS_TradeIndicator 15801 String EUREX specific tag, containing the trade eligibility     Venue EUREX L1
MARKET_EUREX_ULTRA_PLUS_StrategyTradeIndicator 15802 String            
MARKET_NASDAQ_OMX_EU_TradeType 15850 String            
MARKET_XETRA_ULTRA_PLUS_TradeType 15900 String XETRA ULTRA PLUS specific tag, contains a trade condition (Last Traded Price is not sent across, default value)     Venue XETRA UltraPlus L1
MARKET_XETRA_ULTRA_PLUS_TradeTypeIndicator 15901 char XETRA ULTRA PLUS specific tag, contains the condition that lead to a matching       XETRA UltraPlus L1
MARKET_LSE_MIT_OffBookReportingTradeTypeIndicator 15950 String LSE specific tag, type of a privately negociated trade.     Venue LSE L1
MARKET_LSE_MIT_AuctionTypeIndicator 15951 String LSE specific tag, auction type carried with auction trade     Venue LSE L1
MARKET_LSE_MIT_FirmQuote 15952 bool Deprecated   Deprecated      
MARKET_LSE_MIT_CrossType 15953 char Deprecated - AFFARI specific tag, the type of the Cross/BTF Order. Will only be populated in case of Cross/BTF order executions   Deprecated Venue MILAN L1
MARKET_BVMF_TradeTypeIndicator 16000 String            
MARKET_BVMF_MsgSeqNum 16001 uint32            
MARKET_OSAKA_TradeCondition 16050 String OSE_OMX specific tag, containing the trade type.     Venue OSE_OMX L1
MARKET_OSAKA_TradeSource 16051 String OSE_OMX specific tag, the source of a trade.     Venue OSE_OMX L1
MARKET_OSAKA_JNetTradingType 16052 String OSE_OMX specific tag, type of trade when coming from Jnet.     Venue OSE_OMX L1
MARKET_OMX_NORDIC_OrderReferenceNumber 16100 uint32 OMX_NORDIC specific tag, containing a matched order id.     Venue When configured, OMX_NORDIC L1
MARKET_OMX_NORDIC_TradeType 16101 char OMX_NORDIC specific tag, containing the origin of a trade.     Venue When configured, OMX_NORDIC L1
MARKET_OMX_NORDIC_NumberOfTrades 16102 uint32 OMX_NORDIC specific tag, containing the generated day-unique Match Number of this execution.     Venue OMX_NORDIC L1
MARKET_OMX_NORDIC_CrossType 16103 char OMX_NORDIC specific tag, containing the cross session code for which the message is being generated.     Venue OMX_NORDIC L1
MARKET_OMX_NORDIC_ReportedTradeType 16104 char Deprecated - OMX_NORDIC specific tag, indicating where a non-displayed order has been executed.   Deprecated Venue OMX_NORDIC L1
MARKET_BATS_ExecutionType 16150 String            
MARKET_BATS_TradeReportFlags 16151 uint16 BATS Europe specific tag, indicating the trade timing indicator     Venue BATS Europe reported trades L1
MARKET_TMX_CrossType 16170 char Deprecated - TMX specific tag, detailing the type of crosses originating from a Participating Organization between managed accounts that have the same manager.   Deprecated Venue TMX L1
MARKET_TMX_StockState 16171 String replaced by QuotationVariable_MARKET_QUANTUM_StockState   Unused      
MARKET_TMX_SettlementTerms 16172 char TMX specific tag, containing settlement terms code associated to a reported trade     Venue TMX L1
MARKET_TMX_GroupStatus 16173 String replaced by QuotationVariable_MARKET_QUANTUM_GroupStatus   Unused      
MARKET_ADH_TradeType 16200 String ADH specific tag, containing the trade type.     Venue   L1
MARKET_DIRECTEDGE_HiddenLiquidityFlag 16220 bool DIRECTEDGE specific tag, marking reported trade.     Venue DIRECTEDGE L1
MARKET_HOTSPOT_MinQty 16250 float64            
MARKET_HOTSPOT_LotSize 16251 float64            
MARKET_RTS_TradeStatusSellSide 16270 uint32            
MARKET_RTS_TradeStatusBuySide 16271 uint32            
MARKET_CHIX_ExecutionType 16300 String            
MARKET_JSE_MIT_AuctionTypeIndicator 16320 char JSE specific tag, detailing the aution type.     Venue JSE L1
MARKET_MILAN_MIT_AuctionTypeIndicator 16350 char MILAN specific tag, detailing the aution type.     Venue MILAN L1
MARKET_BPOD_PreviousBidPrice 16370 float64     Unused      
MARKET_BPOD_PreviousAskPrice 16371 float64     Unused      
MARKET_OPRA_QuodCondition 16380 char            
MARKET_OPRA_TradeCondition 16381 char            
MARKET_CMA_QuoteType 16280 uint16 CMA Specific tag, indicator for a quote.     Venue CMA L1
MARKET_CMA_QuoteStatus 16281 uint16 CMA Specific tag, containing the type of a quote (observed or converted     Venue CMA L1
MARKET_MONTREAL_TradeCondition 16290 char            
MARKET_TSE_BidQuoteCondition 16390 char TSE specific tag, containing a quote type code     Venue TSE L1
MARKET_TSE_AskQuoteCondition 16391 char TSE specific tag, containing a quote type code     Venue TSE L1
MARKET_TSE_TostnetPriceCode 16392 uint8 TSE specific tag, containg a trade condition for Tostnet trades     Venue TSE L1
MARKET_TSE_TostnetTransactionFlag 16393 char TSE specific tag, containing a trade type for Tostnet trades     Venue TSE L1
MARKET_TOCOM_TradeCondition 16400 uint16 TOCOM specific tag, containing a trade condition     Venue TOCOM L1
MARKET_TOCOM_TradeSource 16401 uint16 TOCOM specific tag, containing the deal source     Venue TOCOM L1
MARKET_ULTRAFEED_QuoteCondition 16410 uint8 OTCM specific tag, containing a trade condition     Venue OTCM L1
MARKET_OMX_TradeCondition 16420 uint8 OM_OMX specific tag, containing a trade condition     Venue OM_OMX L1
MARKET_OMX_TradeSource 16421 uint16 OM_OMX specific tag, containing the deal source     Venue OM_OMX L1
MARKET_SET_MatchType 16422 String SET specific tag, containing the deal source     Venue SET L1