Expiry Year 2 N Last two digits of the expiry year of the future Expiry Month 1 A Expiry month of the future Expiry Day 2 N Expiry day of the future Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Volume 8 X Total number of contracts traded Refer to Field Description “Indicator code” Trade Price 8 X Price at which the transaction took place. Refer to Field Description “Fraction Indicator Code” Net Change Sign 1 A Sign +/- for net change field (sign) Net Change 8 X Net change = last trade price - previous settlement price. Refer to Field Description “Fraction Indicator Code” Stamp Time 6 N Time of transaction HHMMSS Price Indicator Marker 1 A Identifies the type of transaction Refer to Field Description “Price Indicator Marker” Message Type CS - Strategy Trade Field Name L= 75 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Exchange on which the trade occurred. Refer to Field Description “Exchange ID”
Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Exchange on which the RFQ occurred. Refer to Field Description “Exchange ID” Symbol Root 6 A Option base symbol Expiry Year 2 N Last two digits of the expiry year of the option Expiry Month 1 A Expiry month of the option Expiry Day 2 N Expiry day of the option Call/Put Code 1 A Refer to Field Description “Call/Put Code” Strike Price 8 X Strike price of the option in full. Refer to Field Description “Fraction Indicator Code” Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Size of the RFQ 8 X Number of contracts for which the price is requested Refer to Field Description “Indicator Code” Message Type DF - Futures Request for Quote (RFQ) Field Name L= 32 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Exchange on which the RFQ occurred. Refer to Field Description “Exchange ID” Symbol Root 6 A Symbol for the Future series
Market Depth Messages Message Type H - Option Market Depth Field Name L= 66 up to 190 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Refer to Field Description “Exchange ID” Symbol Root 6 A Option base symbol Expiry Year 2 N Last two digits of the expiry year of the option Expiry Month 1 A Expiry month of the option Expiry Day 2 N Expiry day of the option Call/Put Code 1 A Refer to Field Description “Call/Put Code” Strike Price 8 X Strike price of the option in full. Refer to Field Description “Fraction Indicator Code” Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Instrument Status Marker 1 A Indicates Instrument Status Marker Refer to Field Description “Market Status Markers” Number of Level 1 N Number of level for the trading instrument 1 to 5
Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Refer to Field Description “Exchange ID” Symbol Root 6 A Option base symbol Expiry Year 2 N Last two digits of the expiry year of the option Expiry Month 1 A Expiry month of the option Expiry Day 2 N Expiry day of the option Call/Put Code 1 A Refer to Field Description “Call/Put Code” Strike Price 8 X Strike price of the option in full. Refer to Field Description “Fraction Indicator Code” Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Volume 8 N Number of contracts being cancelled Refer to Field Description “Indicator Code” Trade Price 8 X Price at which the transaction took place. Refer to Field Description “Fraction Indicator Code” Stamp Time 6 N Time of the option trade HHMMSS Open Interest 7 N Outstanding number of contracts in the series as of the previous day. Refer to Field Description “Indicator Code” Price Indicator Marker 1 X Identifies the type of transaction. Refer to Field Description “Price Indicator Marker”
Message Type IF - Futures Trade Cancellation A cancellation will reduce the total volume, value and transactions by the amount of the cancelled trade. A cancellation message is followed by a Future Summary message (message type NF) which will reflect the corrected market. Field Name L= 47 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Refer to Field Description “Exchange ID” Symbol Root 6 A Symbol for the Future series Expiry Year 2 N Last two digits of the expiry year of the future Expiry Month 1 A Expiry month of the future Expiry Day 2 N Expiry day of the future Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Volume 8 N Number of contracts being cancelled Refer to Field Description “Indicator Code” Trade Price 8 X Price at which the transaction took place. Refer to Field Description “Fraction Indicator Code” Stamp Time 6 N Time of the futures trade HHMMSS Price Indicator Marker 1 X Identifies the type of transaction. Refer to Field Description “Price Indicator Marker” Message Type IS - Strategy Trade Cancellation A cancellation will reduce the total volume, value and transactions by the amount of the cancelled trade. A cancellation message is followed by a Strategy Summary message (message type NS) which will reflect the corrected market.
Message Type JF- Futures Instrument Keys Field Name L= 144 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2” Exchange ID 1 A Exchange on which the trade occurred. Refer to Field Description “Exchange ID” Symbol Root 6 A Futures series symbol Delivery Year 2 N Last two digits of the delivery year of the future Delivery Month 1 A Delivery month of the future Delivery Day 2 N Delivery day of the future Corporate Action 1 A Refer to Field Description “Corporate Action Marker” Expiry Year 2 N Last two digits of the expiry year of the future Expiry Month 1 A Expiry month of the future Expiry Day 2 N Expiry day of the future Maximum Number of Contracts per Order 6 N Maximum authorized number of contract per order Refer to Field Description “Indicator Code” Minimum Number of Contracts per Order 6 N Minimum authorized number of contract per order Refer to Field Description “Indicator Code” Maximum Threshold Price 8 X Maximum threshold price authorized for an option contract Refer to Field Description “Fraction Indicator Code” Minimum Threshold Price 8 X Minimum threshold price authorized for an option. Refer to Field Description “Fraction Indicator Code”
Tick Increment Table 7 X Tick Table Identifier that indicates the precision with which the price of an order limit can be expressed. Refer to the Chapter “Tick Increment Tables” Filler 1 X Market Flow Indicator 2 A Defines the type of instruments Refer to Field Description ”Market Feed Indicators” Group Instrument 2 X Group of the instrument Instrument 4 X Instrument SAIL ID ISIN 12 X External ISIN Instrument External Code 30 X External identifier used by traders when entering an order Currency 3 A Refer to Field Description “Currency Code” Underlying Symbol Root 10 X Contract Size 8 N Defines the quantity of deliverable underlyings in one contract. Refer to Field Description “Indicator Code” Tick Value 8 X Refer to Field Description “Fraction Indicator Code” Note: If both “Maximum Threshold Price” and “Minimum Threshold Price” are set to 0, no thresholds have been configured. Message Type JS- Strategy Instrument Keys Field Name L= 125 T Definition / Validation Rules Message Header 11 Refer to paragraph “2.2”
Ask Price Sign 1 X Sign +/- for the Ask Price field Ask Price 8 X Closing ask or most recent ask if sent after a cancellation. Refer to Field Description “Fraction Indicator Code” Ask Size 5 N Number of contracts represented by the Ask Price. If size is greater than 99999, the 5th character becomes an exponent Refer to Field Description “Indicator Code” Last Price Sign 1 A Sign +/- for the Last Price field Last Price 8 X Last Trade Price for the contract or the current price if sent after a cancellation. Refer to Field Description “Fraction Indicator Code” Open Price Sign 1 A Sign +/- for the Open Price field Open Price 8 X Price of the first trade of the day. Refer to Field Description “Fraction Indicator Code” High Price Sign 1 A Sign +/ - for the High Price field High Price 8 X Highest trade price of the day or current high price if sent after a cancellation. Refer to Field Description “Fraction Indicator Code” Low Price Sign 1 A Sign +/- for the Low Price field