ITCH Market Data Specificationfor Bonds
Version 1.2
Updated 1 April 2020

Table of ContentsIntroduction ..................................................................................................................................................... 3
Overview ......................................................................................................................................................... 3
Data Types ....................................................................................................................................................... 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
Order Added Message ................................................................................................................................ 5
Order Executed Message ............................................................................................................................ 6
Order Deleted Message .............................................................................................................................. 6
Order Replaced Message ............................................................................................................................ 6
Revision History .............................................................................................................................................. 8

ITCH Market Data Specification for Bonds

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Introduction

1.

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

Overview

2.

The message protocol of ITCH is widely used and considered an industry standard. It provides tick-by-tick
details for all displayable orders in the Japannext PTS execution system.
Japannext PTS offers two options for the transport layer for ITCH messages:

3.

•The point-to-point protocol of SoupBinTCP.

•The one-to-many protocol of MoldUDP64.

Data Types

Integer fields are unsigned big-endian (network byte order) binary encoded numbers.
Signed Integer fields are signed 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 Signed Integer fields. When converted to fixed point number format they have 7 whole
number digits and 3 decimal places. The maximum representable value is 2,147,483.646 (7FFFFFFE hex)
and the minimum representable value is -2,147,483.648 (80000000 hex).
Quantity fields are 4 byte Integer fields with a maximum representable value of 2,147,483,647 (7FFFFFFFhex).

4.

Outbound Sequenced Messages

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

4.1 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 past midnight that the message wasgenerated, and the 'nanoseconds' part comes as a field within individual messages as the number ofnanoseconds 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.
Name

OffsetLengthType

Comments

Message Type

01

Alpha

Value is T = Timestamp – Seconds Message.

Timestamp –Seconds

14Integer

Number of seconds since midnight.

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

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Name

Type

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OffsetLengthComments

Message Type01

Alpha

Value 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:DJGB = JGB Market

System Event

91

Alpha

Refer to the System Events table below.

Table 1: System Events
Value

Description

O

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

S

Start of System Hours – Indicates the market is open and ready to start acceptingorders.

Q

Start of Market Hours – Start of trading session.

M

End of Market Hours – End of trading session.

EEnd of System Hours – Indicates the market is closed and will not accept any neworders.

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

4.3 Price Tick Size Message
Price Tick Size Messages define a set of price tick size tables.
Price Tick Size Messages are sent before Orderbook Directory Messages.
NameOffset

LengthType

CommentsMessage Type01

Alpha

Value 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

Yield tick size.

Price Start

134Signed
IntegerStart of yield range for this yield tick size.

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

system.
Orderbook Directory Messages are sent at the start of each trading day.

Initial reference yields are provided via Order Added Messages sent after the Orderbook Directory Messages.
NameMessage TypeOffsetLength01TypeAlpha

Comments
Value is R = Orderbook Directory Message.

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NameOffset

LengthTimestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54Integer

Bond code per SICC definition.

Orderbook Code912AlphaInternational Securities Identification Number (ISIN).

Group

214Alpha

Orderbook group identifier.
Values:DJGB = JGB Market

Round Lot Size

254Integer

Number of bonds 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 3.

Upper Price Limit 37

4SignedIntegerMaximum tradable yield.

Lower PriceLimit

4SignedInteger

Minimum tradable yield.

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Type

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Comments

4.5 Trading State Message
A Trading State Message indicates the current trading status of an orderbook.
Prior to the start of system hours, Japannext PTS initiates an orderbook trading state spin. In this spin, Trading
State Messages are sent for all orderbooks which are eligible for trading at the start of system hours. If anorderbook is absent from the orderbook trading state spin, clients should assume that the orderbook issuspended at the start of system hours.
After the start of system hours, Trading State Messages are sent to relay changes in the trading state forindividual orderbooks.
NameOffset

LengthType

Comments

Message Type

01AlphaValue is H = Trading State Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54Integer

Bond code per SICC definition.

Group94Alpha

Orderbook group identifier.
Values:DJGB = JGB MarketTrading State

131Alpha

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

4.6 Order Added Message
An Order Added Message indicates that a new order has been accepted by the Japannext PTS execution system
and was added to the displayable book. These messages include an Order Number which is unique per day
per orderbook group.
Reference yields are provided via Order Added Messages with Order Number value of zero. Initial reference
yields are sent after the Orderbook Directory Messages. A manual reference yield update will generate anadditional Order Added Message.
5ITCH Market Data Specification for Bonds
NameType

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OffsetLengthCommentsMessage Type

01AlphaValue is A = Order Added Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

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

Buy/SellIndicator

131Alpha

Side of the order.
Values:B = Buy
S = SellIgnore if reference yield message.

Quantity

144Integer

Total number of bonds added to the book.
Ignore if reference yield message.

Orderbook Id

184Integer

Bond code per SICC definition.

Group224Alpha

Orderbook group identifier.
Values:DJGB = JGB MarketPrice

264Signed
Integer

Yield of the order.
For a reference yield message, a value of 2,147,483.647 (7FFFFFFF hex)
denotes no reference yield available.

4.7 Order Executed Message
An Order Executed Message is sent whenever an order in the book is executed in whole or part. This message
includes a Match Number which is unique per day per orderbook group.
It is possible to receive several Order Executed Messages for the same Order Number if that order is executed inmultiple parts. Order Executed Messages on the same order are cumulative.
The execution yield may be derived from the passive order yield.
NameOffset

LengthType

CommentsMessage Type

01AlphaValue is E = Order Executed Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the executed order.

Executed
Quantity

134Integer

Number of bonds executed.

Match Number

178Integer

Reference number of the match.

4.8 Order Deleted Message
An Order Deleted Message is sent whenever an order in the book has been canceled. All remaining bonds are nolonger accessible so the order must be removed from the book.
NameOffsetLengthType

CommentsMessage Type

01AlphaValue is D = Order Deleted Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Order Number

58Integer

Reference number of the canceled order.

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4.9 Order Replaced Message
An Order Replaced Message is sent whenever an order in the book has been replaced. The new order details areprovided for the replacement, along with a New Order Number to be used henceforth.
NameOffsetLength

TypeCommentsMessage Type01Alpha

Value is U = Order Replaced Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Original Order
Number

58Integer

Reference number of the original order.

New Order
Number138Integer

Reference number of the replaced order.

Quantity

214Integer

New total number of bonds displayed in the book.

Price254SignedInteger

New yield of the order.

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Revision HistoryDateVersionDescription

2016-12-05 1.0

Initial revision.

2017-10-26 1.1

Replaced Order Reference Number field name with Order Number.
Replaced Security with Orderbook in message and field names.
Replaced Bonds with Quantity in data type descriptor and field names.
Replaced Yield with Price in data type descriptor, and message and field names.

2017-12-18 1.2

Renamed messages: Orderbook Directory → Orderbook Directory Message, Orderbook Trading Action→ Trading State Message, Add Order Message → Order Added Message, Order Delete Message →Order Deleted Message, Order Replace Message → Order Replaced Message.
Clarified initial and update reference price mechanisms.

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