1 QuantHouse Historical Data Platform Data Guide documentation¶
1.1 Indices and tables¶
- 1.2 File naming
- 1.3 L1 Events
- 1.4 Market By Level
- 1.4.5 Referential
- ticksizetables_guide
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, theCurrentBusinessDay
will be set to 2010-02-04. - Session - Indicates that the current event refers to a session event.
- BestBid
- Price - BID price. See 1.4.6.1 Magic Prices
- Quantity
- NbOrders - number of orders. See 1.4.6.2 NbOrders
- BestAsk
- Price - ASK price. See 1.4.6.1 Magic Prices
- Quantity
- NbOrders - number of orders. See 1.4.6.2 NbOrders
- 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
- Price - corrected trade initial price. See 1.4.6.1 Magic Prices
- Quantity
- ImpactIndicator
- MarketTimestamp
- TradeId
- CorrectedTrade
- Price - corrected trade new price. See 1.4.6.1 Magic Prices
- Quantity
- ImpactIndicator
- MarketTimestamp
- TradeId
- TradingSessionId
- CorrectedValues - a list of OPTIONAL tags, which varies with markets and instruments. See the list of possible tags 1.4.8 Quotation Tags
- Flags
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.
- Code - the QuantHouse instrument identifier 1.4.5.1 Code;
- LayerId: the layer identifier 1.4.1.1 LayerID;
- MarketTimestamp: the exchange official update timestamp;
- ServerTimestamp: the QuantHouse server reception timestamp;
- BidChangeIndicator: see 1.4.1.3 The Change Indicator;
- AskChangeIndicator: see 1.4.1.3 The Change Indicator;
- BidLimits: the modified 1.4.1.2 Limits on the bid side;
- AskLimits: the modified 1.4.1.2 Limits on the ask side;
- List of quotation value updates.
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:
- Price. See 1.4.6.1 Magic Prices;
- Quantity: Number of units (CumulatedUnits);
- NbOrders: Number of orders included in this limit. See 1.4.6.2 NbOrders
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:
- MBLDeltaRefresh, action=BidChangeQtyAtLevel;
- MBLDeltaRefresh, action=BidRemoveLevel;
- MBLDeltaRefresh, action=BidInsertAtLevel;
- MBLDeltaRefresh, action=BidRemoveLevelAndAppend;
- MBLDeltaRefresh, action=BidClearFromLevel;
- MBLDeltaRefresh, action=ALLClearFromLevel;
- Continuation Flag;
- MBLOverlapRefresh;
- MBLMaxVisibleDepth.
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 belongis_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¶
- Code - the QuantHouse instrument identifier 1.4.5.1 Code
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 forFOSMarketId
;""
(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 |