GLIMPSE Market Data Specificationfor Bonds
Version 1.2
Updated 1 April 2020

Table of ContentsIntroduction ..................................................................................................................................................... 3
Overview ......................................................................................................................................................... 3
Data Types ....................................................................................................................................................... 3
Service Usage .................................................................................................................................................. 3
Outbound Sequenced Messages ...................................................................................................................... 3
Timestamp – Seconds Message .................................................................................................................. 3
System Event Message ............................................................................................................................... 4
Price Tick Size Message ............................................................................................................................. 4
Orderbook Directory Message ................................................................................................................... 4
Trading State Message ............................................................................................................................... 5
Order Added Message ................................................................................................................................ 5
End of Snapshot Message .......................................................................................................................... 6
Revision History .............................................................................................................................................. 7

GLIMPSE Market Data Specification for Bonds

1.

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Introduction

This document explains access to the bonds market data services of Japannext PTS via the GLIMPSE
protocol. 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.
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.

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 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.
NameOffsetLengthTypeCommentsMessage Type01AlphaValue is T = Timestamp – Seconds Message.

Timestamp –Seconds

14Integer

Number of seconds since midnight.

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

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

CommentsMessage Type

01

Alpha

Value is S = System Event Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Group

54

Alpha

Orderbook group identifier.
Blank if system wide event.
Values:DJGB = JGB MarketSystem Event

91AlphaRefer to the System Events table below.

Table 1: System Events
EventDescription

OStart 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.
NameOffsetLengthType

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

Yield tick size.

Price Start

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

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

system.
Note that reference yields are provided via Order Added Messages.
Name

OffsetLengthType

CommentsMessage Type

01AlphaValue is R = Orderbook Directory Message.

Timestamp –Nanoseconds

14Integer

Number of nanoseconds since last Timestamp – Seconds Message.

Orderbook Id

54Integer

Bond code per SICC definition.

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GLIMPSE Market Data Specification for Bonds
Name

OffsetLengthOrderbook 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 SizeTable Id

294Integer

Price tick size table identifier.

Price Decimals

334Integer

Number of decimal places in price fields.
Value is 3.

Upper Price Limit 37

4SignedIntegerMaximum tradable yield.

Lower PriceLimit

4SignedInteger

Minimum tradable yield.

41

Type

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Comments

5.5 Trading State Message
A Trading State Message message indicates the current trading status of an orderbook.
Trading State Message 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

LengthTypeCommentsMessage 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 Market

Trading State

131Alpha

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

5.6 Order Added Message
An Order Added Message indicates that an order exists in the Japannext PTS execution system's displayablebook. This message includes an Order Number which is unique per day per orderbook group.
If the Order Number has a value of zero, this indicates a reference yield update for the orderbook. Reference
yield updates are sent after the Orderbook Directory Messages.
Name

OffsetLengthType

Comments

Message Type

01AlphaValue 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 yield update.

5GLIMPSE Market Data Specification for Bonds
NameType

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OffsetLengthComments

Buy/SellIndicator

131Alpha

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

Quantity

144Integer

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

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 update, a value of 2,147,483.647 (7FFFFFFF hex)
denotes no reference yield available.

5.7 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 number
provided in this message.
NameOffset

LengthType

Comments

Message Type

01AlphaValue is G = End of Snapshot Message.

Sequence
Number18Integer

ITCH market data feed sequence number.

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Revision History
DateVersionDescription

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.

2018-01-19 1.2

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

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