GLIMPSE Market Data Specification
for Equities
Version 1.4
Updated 17 February 2023

Table of Contents
Introduction ..................................................................................................................................................... 3
Overview ......................................................................................................................................................... 3
Data Types ....................................................................................................................................................... 3
Service Usage .................................................................................................................................................. 3
Outbound Sequenced Messages ...................................................................................................................... 3
Timestamp – Seconds Message .................................................................................................................. 3
System Event Message ............................................................................................................................... 3
Price Tick Size Message ............................................................................................................................. 4
Orderbook Directory Message ................................................................................................................... 4
Trading State Message ............................................................................................................................... 5
Short Selling Price Restriction State Message ........................................................................................... 5
Order Added Message ................................................................................................................................ 6
Order Added Message – No Attributes ................................................................................................. 6
Order Added with Attributes ................................................................................................................. 6
End of Snapshot Message .......................................................................................................................... 7
Revision History .............................................................................................................................................. 8

GLIMPSE Market Data Specification for Equities

1.

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Introduction

This document explains access to the equities market data services of Japannext PTS via the GLIMPSEprotocol. It describes the service's configuration and specifies the application messages. For further
information and inquiries regarding market data services or for questions concerning connectivity pleasecontact Japannext PTS Technical Support via email to: ito@japannext.co.jp.

2.

Overview

The message protocol of GLIMPSE provides the current state of the Japannext PTS execution system. It
utilizes the same messages as the Japannext PTS ITCH protocol.
The point-to-point transport layer for GLIMPSE messages is SoupBinTCP.

3.

Data Types

Integer fields are unsigned big-endian (network byte order) binary encoded numbers.
Alpha fields are left-justified and padded on the right with spaces.
Price fields are 4 byte Integer fields. When converted to fixed point number format they have 9 whole
number digits and 1 decimal place. The maximum representable value is 214,748,364.6 (7FFFFFFE hex).
Quantity fields are 4 byte Integer fields with a maximum representable value of 2,147,483,647 (7FFFFFFFhex).

4.

Service Usage

A client establishes a connection to the GLIMPSE host with a requested sequence number of 1 in the login
request packet. The service will respond with a snapshot, sending out messages containing the current stateof the Japannext PTS execution system. The final message in the snapshot provides the next sequencenumber of the real-time ITCH market data feed at the time the snapshot was taken.

5.

Outbound Sequenced Messages

Outbound messages are generated by the GLIMPSE host and received by the client's application.

5.1 Timestamp – Seconds Message
The timestamp is separated into two parts to improve bandwidth efficiency: the 'seconds' part comes as astandalone Timestamp – Seconds Message and reflects the number of seconds elapsed since midnight of the daythat the trading session started. The 'nanoseconds' part comes as a field within individual messages as thenumber of nanoseconds since the most recent Timestamp – Seconds Message.
A Timestamp – Seconds Message will be sent for every second in which there is at least one other message typesent.
NameOffset

LengthType

Comments

Message Type01Alpha

Value is T = Timestamp – Seconds Message.

Timestamp –Seconds

14Integer

Number of seconds since midnight of the day that the trading session started.

5.2 System Event Message
System Event Messages signal data feed, system and market events.

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The snapshot includes only the Start of Messages and End of Messages system events that occurred up to thetime the snapshot was taken.
NameOffset

LengthType

Comments

Message Type01AlphaValue is S = System Event Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Group54Alpha

Orderbook group identifier.
Blank if system wide event.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

System Event

91AlphaRefer to the System Events table below.

Table 1: System Events
EventDescription

O

Start of Messages – Always the first message sent in any trading day excepting
Timestamp – Seconds Messages.

CEnd of Messages – Always the last message sent in any trading day.

5.3 Price Tick Size Message
Price Tick Size Messages define a set of price tick size tables.
Price Tick Size Messages are sent before the Orderbook Directory Messages.
NameOffsetLength

Type

CommentsMessage Type

01AlphaValue is L = Price Tick Size Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Price Tick Size
Table Id

54Integer

Price tick size table identifier.

Price Tick Size

94Integer

Price tick size.

Price Start

134Integer

Start of price range for this price tick size.

5.4 Orderbook Directory Message
Orderbook Directory Messages provide information about orderbooks available in the Japannext PTS execution

system.
Note that reference prices are provided via Order Added Messages.
NameOffset

LengthType

CommentsMessage Type

01

Alpha

Value is R = Orderbook Directory Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Orderbook Code912AlphaInternational Securities Identification Number (ISIN).

4GLIMPSE Market Data Specification for Equities
Name

OffsetLengthGroup214Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Round Lot Size

254Integer

Number of shares that represent a round lot.

Price Tick Size
Table Id

294Integer

Price tick size table identifier.

Price Decimals

33

4Integer

Number of decimal places in price fields.
Value is 1.

Upper Price Limit 37

4Integer

Maximum tradable price.

Lower PriceLimit

4

Integer

Minimum tradable price.

41

Type

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Comments

5.5 Trading State Message
A Trading State Message indicates the current trading status of an orderbook.
Trading State Messages are sent for all orderbooks which are eligible for trading at the time the snapshot wastaken. If there is no Trading State Message for a particular orderbook, clients should assume that the orderbook

was suspended at the time the snapshot was taken.
NameOffset

LengthType

Comments

Message Type

01

Alpha

Value is H = Trading State Message.

Timestamp –Nanoseconds

14

IntegerNumber of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Group94Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Trading State

131Alpha

Current trading status.
Values:T = Trading
V = Suspended

5.6 Short Selling Price Restriction State Message
A Short Selling Price Restriction State Message indicates the current short selling price restriction status of anorderbook.
Short Selling Price Restriction State Messages are sent for all orderbooks which have short selling price restriction ineffect at the time the snapshot was taken. If there is no Short Selling Price Restriction State Message for a particularorderbook, clients should assume that the orderbook had no short selling price restriction at the time thesnapshot was taken.
NameMessage TypeOffset

Length01TypeAlpha

Comments
Value is Y = Short Selling Price Restriction State Message.

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GLIMPSE Market Data Specification for Equities
Name

Type

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OffsetLengthComments

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54AlphaQuick code.

Group94Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Short SellingState131Alpha

Current short selling price restriction status.
Values:0 = No price restriction
1 = Price restriction in effect

5.7 Order Added Message
An Order Added Message indicates that an order exists in the Japannext PTS execution system's displayable
book. This message includes an Order Number which is unique per day per orderbook group.
There are two variations of the Order Added Message.

5.7.1 Order Added Message – No Attributes
An Order Added Message will be generated for normal orders present in the system.
Reference prices are provided via Order Added Messages with Order Number value of zero. Initial reference
prices are sent after the Orderbook Directory Messages. A manual reference price update will generate anadditional Order Added Message.
NameOffset

LengthType

CommentsMessage Type01

Alpha

Value is A = Order Added Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number58Integer

Reference number of the accepted order.
Zero indicates a reference price update.

Buy/SellIndicator

131Alpha

Side of the order.
Values:B = Buy
S = SellIgnore if reference price update.

Quantity

144Integer

Total number of shares added to the book.
Ignore if reference price update.

Orderbook Id

184Alpha

Quick code.

Group224Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-Market

Price

264Integer

Price of the order.
For a reference price update, a value of 214,748,364.7 (7FFFFFFF hex)
denotes no reference price available.

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5.7.2 Order Added with Attributes
An Order Added with Attributes Message will be generated for orders with market specific attributes present in thesystem.
NameOffsetLengthType

CommentsMessage Type

01AlphaValue is F = Order Added with Attributes Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the accepted order.

Buy/SellIndicator

131Alpha

Side of the order.
Values:B = Buy
S = SellQuantity

144Integer

Total number of shares added to the book.

Orderbook Id184Alpha

Quick code.

Group224Alpha

Orderbook group identifier.
Values:DAY = Daytime market
NGHT = Nighttime market
DAYX = X-Market
DAYU = U-MarketPrice

264Integer

Price of the order.

Attribution

304Alpha

Reserved.
Always blank.

Order Type34

1AlphaType of the order.
Values:Q = DLP order

5.8 End of Snapshot Message
The End of Snapshot Message provides the next sequence number of the real-time ITCH market data feed at thetime the snapshot was taken.
The ITCH market data consumer should begin to process the real-time feed from the sequence numberprovided in this message.
NameOffset

LengthType

Comments

Message Type01Alpha

Value is G = End of Snapshot Message.

Sequence
Number

18Integer

ITCH market data feed sequence number.

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GLIMPSE Market Data Specification for Equities

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Revision History
DateVersion

Description

2013-12-19 1.0

Initial revision.

2014-10-03 1.1

Mentioned U-market.

2017-10-26 1.2

Replaced Order Reference Number field name with Order Number.
Replaced Security with Orderbook in message and field names.

2017-12-18 1.3

Renamed messages: Orderbook Directory → Orderbook Directory Message, Orderbook Trading Action→ Trading State Message, Short Selling Price Restriction Indicator → Short Selling Price Restriction
State Message, Add Order Message → Order Added Message.
Clarified initial and update reference price mechanisms.

2023-02-17 1.4

Changed Type of Orderbook Id to Alpha8