euronext and derivatives markets – optiq · pdf filedocument title euronext and...

Document title

EURONEXT AND DERIVATIVES MARKETS – OPTIQ

Document type or subject

Client Specifications – MDG Referential Files

Revision number/ Version number Date

1.1.0 27 Sep 2016

Number of pages SBE Template Version

84 1.14.1

This document contains information which is confidential and of value to Euronext. The information and materials contained in this document are provided ‘as is’ and Euronext does not warrant the accuracy, adequacy or completeness and expressly disclaims liability for any errors or omissions or changes enabled to be made for any reason included correction, update and upgrade purpose. This document is not intended to impose any legal obligation on Euronext. This document and any contents thereof, as well as any prior or subsequent information exchanged with Euronext in relation to the subject matter of this document, are confidential and are for the sole attention of the intended recipient. Except as described below, all proprietary rights and interest in or connected with this publication shall vest in Euronext. No part of it may be redistributed or reproduced without the prior written permission of Euronext. Portions of this presentation may contain materials or information copyrighted, trademarked or otherwise owned by a third party. No permission to use these third party materials should be inferred from this presentation. Implementation of the project may be subject to regulatory approval. Based on information obtained by Euronext from sources believed to be accurate and reliable Euronext Optiq Market Data Gateway is MiFID II compliant. MiFID II and related level 2 and level 3 texts not yet having been fully adopted and/or implemented, the information in this document may be subject to change. Euronext refers to Euronext N.V. and its affiliates. Information regarding trademarks and intellectual property rights of Euronext is located at https://www.euronext.com/terms-use. © 2016 Euronext N.V. - All rights reserved.

https://www.euronext.com/terms-use

Euronext and Derivatives Markets – Optiq Preface

© 2016 Euronext N.V. - All rights reserved. ii of 84 1.1.0

PREFACE

PURPOSE

The purpose of this document is to describe all the file specifications on Optiq™.

TARGET AUDIENCE

This document must be read by Euronext’s clients developing tools for retrieving and processing Market

Data files.

SCOPE

The scope of this document is listed below ( In scope, Out of scope):

Products

Equities

Exchange Traded Funds

Fixed Income

Warrants & Certificates

Derivatives – Options

Derivatives – Futures

Commodities

ASSOCIATED DOCUMENTS

Please read the following documents along with these specifications:

Title Description

Euronext Cash and Derivatives Markets – Optiq MDG Client Specifications Description of Market Data Gateway and

all message structures

Euronext Optiq™ Market Data Gateway Production Environment Description of the Production feed

configuration

Euronext and Derivatives Markets – Optiq Preface

© 2016 Euronext N.V. - All rights reserved. iii of 84 1.1.0

Title Description

Euronext Optiq™ Market Data Gateway External User acceptance Environment Description of the External User

Acceptance feed configuration

Please visit www.euronext.com/optiq.

SUPPORT

Optiq Support Desk

Tel: +33 1 70 48 25 55

Email: [email protected]

WHAT’S NEW?

The following lists only the most recent modifications made to this version. For the Document History table

see the Document History.

Version Date Change Description

1.1.0 28 Sep 2016 First Version

FURTHER INFORMATION

■ For additional product information please visit: www.euronext.com/optiq

■ For updated capacity figures and details of IP addresses please visit: www.euronext.com/optiq

http://www.euronext.com/optiq

mailto:[email protected]

http://sharepoint.euronext.com/sites/ITS/projects/ITProjects/11-INT-OPTIQ-WS3–MD%20GTW/7%20-%20Specifications/Spec%20Templates/Euronext%20Cash%20and%20Derivatives%20Markets%20–%20Optiq%20File%20Specification%20-%20Static%20Content.docx#_Document_History



Euronext and Derivatives Markets – Optiq Contents

© 2016 Euronext N.V. - All rights reserved. iv of 84 1.1.0

CONTENTS

1. EURONEXT OPTIQ MARKET DATA GATEWAY SOLUTION ............................................................... 5

1.1 Introduction ........................................................................................................................................... 5

1.2 Access to File Server ............................................................................................................................... 5

1.3 Server Availability................................................................................................................................... 7

2. FILE OVERVIEW ........................................................................................................................... 8

2.1 Technical Format Fields ......................................................................................................................... 8

2.2 Date convention ..................................................................................................................................... 8

2.3 Time Convention .................................................................................................................................... 8

3. FILE DESCRIPTION ..................................................................................................................... 10

3.1 SBE Template File ................................................................................................................................. 11

3.1.1 CashStandingDataFile (9007) ............................................................................................................................... 11

3.1.2 CashTickSizeReferentialFile (9020) ...................................................................................................................... 18

3.1.3 DerivativesStandingDataFile (9013) .................................................................................................................... 19

3.1.4 FullTradeInformationFile (9030) .......................................................................................................................... 25

3.1.5 OpenInterestFile (9014)....................................................................................................................................... 29

3.1.6 PrevDayCapAndVolTradFile (9015) ..................................................................................................................... 30

3.1.7 TimetableFile (9001) ............................................................................................................................................ 30

4. FIELD DESCRIPTION ................................................................................................................... 33

Euronext and Derivatives Markets – Optiq Euronext Optiq Market Data Gateway Solution

© 2016 Euronext N.V. - All rights reserved. 5 of 84 1.1.0

1. EURONEXT OPTIQ MARKET DATA GATEWAY SOLUTION

1.1 INTRODUCTION

This document details the Referential Data FTP and HTTPS Server for Euronext, to be used in conjunction

with the Optiq MDG Client Specifications.

The Servers provide full referential data for the Euronext market, as well as feed configurations and

intraday trades with their MiFID II flags. Users of the Euronext market data feed should use the Servers to:

- Configure feed connections every day. - Support the referential data that is disseminated on the feed. - Complete their list of trades.

Files described in this documents will be sent to :

- Referential Data HTTPS Server for Euronext managed by EMS (CAS team) - NDM FTP server managed by Information Services (licensing team)

o ftp.eua-data.euronext.com o ftp.data.euronext.com

1.2 ACCESS TO FILE SERVER

The following diagram presents the Optiq MDG services:

Clients

Euronext

Real-Time Service Snapshot Service

File Service

InternetLine A Line B

Available on:- 100Mbps: Shaped, Compressed and Conflated- 1Gbps: Shaped- 10Gbps: Unshaped

Line A Line B

Available on:- 100Mbps: Shaped and Compressed

Historical Files on NDM

Current Files on HTTPS

Internet orSFTI



The files can be download via the PRODUCTION and EUA HTTPS Servers over the internet or SFTI. Access will only be granted to customers that have at least one of the following agreements in place with Euronext:

The list of agreements will be defined in next document release

External clients are permitted access to GET files only (PUT is disabled on the servers). The folder structure of the HTTPS server will be as follows and only contain intraday files:

FTP Architecture Description

OptiqMDG Defines that all the following files are Optiq files for Market Data

└ Environment Defines if this is in “Production”, “v-EUA” or “p-EUA”

└ Current For the current day file.

└ OptiqSegment Defines the segment on Optiq

└ Current For the current day file.

And the file name will be as follow:

OptiqMDG_<Environment>_<FileName>_<OptiqSegment>_<AssetClass>_<Version>.xml Immediately in Environment folder are:

- TimetableFile - CashTickSizeReferentialFile - SBETemplate

And In OptiqSegment: - OpenInterestFile - PrevDayCapAndVolTradeFile - FullTradeInformationFile - CashStandingDataFile - DerivativesStandingDataFile

Example of the Full Trade Information file set on January the 1st 2018 at midday (12h00): OptiqMDG_Production_FullTradeInformation_Equity_Shares_ v1.12.0.xml And it will be located in:

OptiqMDG └ Production └ FullTradeInformationFile └ Current



1.3 SERVER AVAILABILITY

The FTP server is available 24 hours a day, seven days a week.

Euronext and Derivatives Markets – Optiq File Overview


2. FILE OVERVIEW

The aim of this section is to describe the fields types used in the reference data files.

2.1 TECHNICAL FORMAT FIELDS

The following technical types are used:

- Binary data are in Intel byte order - All alphanumerical and text fields are alphanumeric based on UTF-8.

Format fields Description

Integer Numeric signed or unsigned binary

Character Alphanumerical field containing only 1 character

String Alphanumerical field containing at least 2 characters (length defined

for each field)

XML date Date displayed in YYYMMDD format

XML timeSec Text formatted according to ISO 8601: hh:mm:ssZ where Z = UTC

XML timeNano Text formatted according to ISO 8601: hh:mm:ss:mmmµµµnnnZ

where

“mmm” indicate the milliseconds

“µµµ” indicate the microseconds

“nnn” indicate the nanoseconds

Z = UTC

XML text50 Alphanumerical field which length is 50 characters

Decimals Numerical field with “.” as a separator

2.2 DATE CONVENTION

Timestamps are defined in number of ns since 1970 January the 1st (01/01/1970 is the day “0”). The file

structure provides them in human readable format YYYYMMDD where

- “YYYY” is the year - “MM” is the month - “DD” is the day

2.3 TIME CONVENTION

In XML files, 2 timestamps, based on ISO 8601 are possible. Time in seconds and time in nanoseconds.

Euronext and Derivatives Markets – Optiq File Overview


■ Times in seconds: hh:mm:ssZ

Where:

- hh is the hours

- mm the minutes

- ss the seconds

- Z stands for UTC time

■ Times in nanoseconds: hh:mm:ss:mmmµµµnnnZ

Where:

- hh is the hours

- mm the minutes

- ss the seconds

- mmm the milliseconds

- µµµ the microseconds

- nnn the nanoseconds

- Z stands for UTC time

Euronext and Derivatives Markets – Optiq File Description


3. FILE DESCRIPTION

In the following specifications, XML files are described in the bellow example:

Field Short Description Format Len Values Page

TAG_Name_level1

TAG_Name_level2

Field Field Description Field Format Length in bytes

List of possible values or restriction.

Page were to find full field description

Field_x … … … … …

TAG3

Field_3 Field_3 Description Field Format Length in bytes



Field_y … … … … …

/TAG3

TAG3




Field_y … … … … …

/TAG3

TAG4




Field_z … … … … …

/TAG4

TAG4




Field_z … … … … …

/TAG4

/TAG_Name_level2

/TAG_Name_level1

For each file, TAGNameLevel1 will not be repeated were all other tag levels might be repeated between 1

to n times. Each repeated tags will only be displayed once in the below specification.

Fields with no or Null value will be displayed as XML empty fields as follow:

<Empty_Field_Example/>



3.1 SBE TEMPLATE FILE

SBE Template file aims to decode SBE messages using an SBE decoder.

All SBE tools and documentation needed to generate (encode and decode) SBE messages will be available

on:

https://github.com/real-logic/simple-binary-encoding (refer to SBE Disclaimer in appendix)

This file structure is defined by SBE protocol and contains:

- The list of all technical fields - SBE Headers structure - The list of all possible values for each Enumerated fields - The list of all possible values for each Bitmap fields - The structure of each message with the expected order of each fields

Clients must check the file every day to determine whether a new Schema Version is available.

Full and detailed message structures are specified in the Euronext Cash and Derivatives Markets – Optiq

MDG Client Specifications.

File Availability:

Available 24/7.

Scope of contents:

All Euronext segments and all SBE messages for Market Data.

3.1.1 CashStandingDataFile (9007)

The Cash Standing Data file provides referential data for cash markets.

The file provides three structures per instrument breakdown.

- The first structure provides the standing data functionally needed for trading purpose.

All operational referential data broadcast on the feed at start of day via Optiq MDG Standing Data 1007

message are also available in this section.

The only difference between the feed and the file relies in the format on which some data are provided.

As an example, Timestamps on the feed are provided on the feeding number of ns since 1970 January the

1st. The file structure provides them in human readable format (YYYYMMDD).

- The second structure is dedicated to MD connectivity. It provides the physical addresses of channels

on which data are disseminated for the given instrument, which access depends on client authorization.

- The third structure is dedicated to OE connectivity, for future use.

File Availability:

Available 24/7.

https://github.com/real-logic/simple-binary-encoding



Scope of contents:

Cash instruments.

Intraday updates:

This file will be updated overnight.


CashStandingDataFile

StandingDataUnitary

SymbolIndex Exchange identification code of the instrument.

unsigned integer 32

4 From 0 to 2^32-1 72

OptiqSegment This field is not used for phase 1. An Optiq segment is a universe of instruments sharing common trading properties.

unsigned integer 8

1 From 0 to 2^8-1 61

FullInstrumentName Full Instrument Name. string 102 (See field description)

42

InstrumentName Instrument Name string 18 (See field description)

44

InstrumentTradingCode Is the AMR code on derivatives and the Trading Code on cash.

string 15 (See field description)

45

InstrumentGroupCode Instrument Group / Class Identifier.


44

ISINCode Instrument ISIN following ISO 6166.


46

PriceDecimals Indicates the number of decimals for each Price / Index Level related to this Symbol Index

unsigned integer 8

1 From 0 to 2^8-1 64

QuantityDecimals Indicates the number of decimals for each Quantity related to this Symbol Index

unsigned integer 8

1 From 0 to 2^8-1 66

AmountDecimals Indicates the number of decimals for each Amount related to this Symbol Index

unsigned integer 8

1 From 0 to 2^8-1 33

RatioDecimals Indicates the number of decimals for each Ratio / Multiplier related to this Symbol Index

unsigned integer 8

1 From 0 to 2^8-1 67

CFI Classification code of a financial instrument defined by the ISO-10962 standard.


34

InstrumentEventDate Date of the last modification of the characteristics of the instrument except for some exception.

XML date 8 (See field description)

43

StrikePrice The specified price of an option contract at which the contract may be exercised, whereby a call option buyer can buy the underlying or a put option buyer can sell the underlying (to be calculated with Price/Index Level Decimals).

signed integer 64

8 From -2^63-1 to 2^63-1

71




DarkEligibility Indicates the Eligibility to dark. 0 is not eligible, 1 is eligible.

unsigned integer 8

1 0 False

1 True

38

DarkLISThreshold Define the minimum amount of an order to benefit from the LIS (Large In Scale) pre-transparency waiver.

unsigned integer 64

8 From 0 to 2^64-1 38

DarkMinQuantity Define the minimum quantity required for an order to be filled in the Dark liquidity. 0 indicates that no minimum amount is required.

unsigned integer 32

4 From 0 to 2^32-1 38

DateOfLastTrade Date of the Last Price for the Instrument (Format YYYYMMDD).


38

DepositaryList Identifies the possible main depository organizations (maximum four) for the shares or fixed incomes for an instrument.


39

MainDepositary Identifies the default (or main) depository organization of the instrument (between the possible 4 depositaries registered) used by priority for the settlement (for example: multi-listed instruments which have several depositories).


48

FirstSettlementDate Represents the first possible settlement date for a given instrument with the instrument depository.


41

GuaranteeIndicator Indicates if the trade is guaranteed or not (for clearing issues)

unsigned integer 8

1 0 Any trade executed on this instrument will be cleared but not Guaranteed by a Clearing House

1 Any trade executed on this instrument will be cleared and Guaranteed by a Clearing House

2 Any trade executed on this instrument is not clearable by a Clearing House

8 In case of lending and borrowing instrument

43

ICB Identifies for a listed instrument, the economic subsector of the issuing company in the ICB (Industry Classification Benchmark) classification.


43

IssuingCountry Issuing country. string 3 (See field description)

46




LastAdjustedClosingPrice Last traded price of the previous trading day after application of the adjustment coefficient (to be calculated with the Price/Index Level Decimals).

unsigned integer 64

8 From 0 to 2^64-1 46

LotSize Expressed in number of shares or in an amount or a volume of the capital, of the lot size. The lot size is a minimum tradable quantity that is set for each instrument by the Exchange (to be calculated with the Quantity Decimals).

unsigned integer 64

8 From 0 to 2^64-1 48

MaturityDate Maturity Date of the instrument (text formatted as YYYYMMDD).


49

MaximumDecimalsInQuantity

Maximum Decimals In Quantity was introduced for Euronext Fund Services Paris and indicates the maximum of relevant decimal number for trading.

unsigned integer 8

1 From 0 to 2^8-1 49

MIC Identifies the market to which an instrument belongs by its MIC (Market Identification Code), according to ISO 10383.


50

MICList Identifies the Euronext markets on which an instrument is listed by its MIC (Market Identification Code).


50

CountryOfExchange Country of exchange string 3 (See field description)

37

Mnemonic Mnemonic code of the instrument. This field is not populated for every instrument.


59

UnderlyingMIC Identifies the market to which an instrument' underlying belongs by its MIC (Market Identification Code), according to ISO 10383. Refer to MIC field to have all the authorized values.


79

UnderlyingISINCode Underlying ISIN. string 12 (See field description)

79

TradingCurrency Code of the currency (ISO 4217-3A).


75

CurrencyCoefficient When an actual price is displayed in a different 'price expression' than the official instrument trading currency, the Currency Coefficient represents the ratio 'price expression' divided by 'official currency' (To be calculated with Ratio / Multiplier Decimals).

unsigned integer 32

4 From 0 to 2^32-1 37

TradingCurrencyIndicator Indicates whether the 'price expression' is in the Currency or a ratio of this Currency expressed in the Currency Coefficient field.

unsigned integer 8

1 0 Change rate not applied to the traded price

1 Change rate applied to the traded price

75




StrikeCurrencyIndicator Indicates whether the 'price expression' is in the Currency or a ratio of this Currency expressed in the Currency Coefficient field.

unsigned integer 8

1 0 Change rate not applied to the strike price

1 Change rate applied to the strike price

71

NominalMarketPrice Amount of the nominal value of the instrument (to be calculated with the Price/Index Decimals).

unsigned integer 64

8 From 0 to 2^64-1 60

NumberInstrumentCirculating

For stocks: this is the total number of shares issued by the company. For Fix Income: this is the number of Fix Income still to be repaid.

unsigned integer 64

8 From 0 to 2^64-1 60

ParValue Par Value (also called Nominal value) for Instrument. For Fixed Income it represents the par amount to be repaid at maturity (not including interest revenue) (to be calculated with the Amount Decimals).

unsigned integer 64

8 From 0 to 2^64-1 62

QuantityNotation Nature of the quantity expression used for negotiating the instrument on the market.


66

InstUnitExp Unit in which the instrument is quoted.

character 1 (See field description)

45

SettlementDelay Gives the number of trading days that represents the period between the trade date and the settlement date (delivery and payment) for an instrument to be cleared and settled.


68

StrikeCurrency Code of the strike currency (ISO 4217-3A).


70

TaxCode Tax deduction code to which the instrument belongs.

unsigned integer 8

1 0 Not eligible to PEA

3 Eligible to PEA

9 Not Applicable

72

TypeOfCorporateEvent Indicates the last type of corporate event that has occurred on an instrument, such as detachment of rights, or of coupons. The data item is automatically calculated by the adjustment application but in case of problem or error, the data item value could be modified manually, particularly for purging the order book in case of absence of corporate event. This data has to be treated in consideration of the date of the event included into the header of the message.


78




TypeOfMarketAdmission Indicates the type of market to which an instrument has been listed.


78

RepoIndicator Indicates whether the instrument listed underlies any loan contracts, meaning it has been admitted to the Deferred Settlement system and/or to the lending market.

unsigned integer 8

1 (See field description)

67

RepoSettlementPrice The settlement price (to be calculated with Price / Index Level Decimals) is a standard price used to value the trade that initiates an instrument lending transaction and to calculate the return price.

unsigned integer 64

8 From 0 to 2^64-1 67

RoutingInfo Routing Information is a technical field used for Order Entry (phase 2 only).

unsigned integer 16

2 From 0 to 2^16-1 68

EMMPattern

EMM Defines the Exchange Market Mechanism applied on each platform.

unsigned integer 8


40

PatternID Numerical Pattern identifier available as a characteristic of an instrument in Standing Data file and message, and used in the MDG timetable message. Cash Markets only.

unsigned integer 16

2 From 0 to 2^16-1 63

TickSizeIndexID ID of the tick size table available in the Tick Table file.

unsigned integer 16

2 From 0 to 2^16-1 73

FixPriceTick Indicates the amount of the fixed tick size (to be calculated with Price/Index Level Decimals).

unsigned integer 32

4 From 0 to 2^32-1 42

MDGRoutingInfo MDG Routing Information is a technical field used to determine the set of channels that feeds this Symbol Index.

unsigned integer 16

2 From 0 to 2^16-1 49

/EMMPattern

/StandingDataUnitary

SetOfChannels


unsigned integer 16

2 From 0 to 2^16-1 49

Channels

ChannelID Identifies the channel. unsigned integer 16

2 From 0 to 2^16-1 35

ChannelType Defines the channel. string 4 (See field description)

35

PrimarySourceIPRange Defines the primary IP address /25 range number (IP v4).


65

SecondarySourceIPRange

Defines the secondary IP address /25 range number (IP v4).


68




MulticastDataRealTime

ChannelSpeed Defines the Channel bandwidth. string 4 100M 100Mbps Channel

1G 1Gbps Channel

10G 10Gbps Channel

35

MulticastA

MulticastGroupIP

Defines the IP number (IP v4). string 14 (See field description)

59

PortNumber Defines the port number. unsigned integer 16

2 From 0 to 2^16-1 63

/MulticastA

MulticastB

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastB

/MulticastDataRealTime

MulticastDataSnapshot


1G 1Gbps Channel

10G 10Gbps Channel

35

MulticastA

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastA

MulticastB

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastB

/MulticastDataSnapshot

/Channels

/SetOfChannels

/CashStandingDataFile



3.1.2 CashTickSizeReferentialFile (9020)

General characteristics of the Cash Tick Size file

The Ticksize file contains different tables defining the variable ticksizes used for trading activity. A table is

composed of an index (identifying a table instance) with a list of price ranges that have corresponding

ticksizes, this is associated to an instrument class level. If an instrument uses specific variable ticksizes,

which are different than the Class, the specific table index will figure in the Instrument Standing Data.

Fixed ticksizes are actually also included in the ticksize, they correspond to indexes for which only one entry

range [0,MaxValue] is defined. In this case, the tick value itself is sent in the Instrument Standing Data,

instead of the table index. If a fix ticksize and a variable ticksize are defined on an instrument, the fix

ticksize takes priority over the variable ticksize.

Point of attention: certain TCS products do not have ticksizes (and this is this is the expected behaviour).

Ticksizes depend of the EMM and certain EMMs do not support ticksizes.

File availability:

This file is available at the start of day and is needed by the Customers for the trading day. Customers must

be able to download this file on a daily basis.

Scope of contents:

The file scope is the following: a tick size table for Cash markets, contains variable (price range-dependent)

ticks and fixed price ticks.

Intraday updates:

No intraday update will be performed on the Tick Size table. Should the need arise, updates will be done in

the referential tool and will be applied on the following business day (i.e. D+1). Meaning, the file will only

be updated on a daily basis.


CashTickSizeReferentialFile

CashTickSize

TickSizeIndexID ID of the tick size table available in the Tick Table file.

unsigned integer 16

2 From 0 to 2^16-1 73

MinimumPrice Minimum Price of the order. Price with decimals on x characters, with '.' as a separator

Decimals 32 (See field description)

54

TickSize Tick Size applied between the current Minimum Price and the next Minimum Price. Tick size on x characters, with . as a separator

Decimals 32 (See field description)

73

/CashTickSize

/CashTickSizeReferentialFile



3.1.3 DerivativesStandingDataFile (9013)

The Derivatives Standing Data file provides all referential data for derivatives markets.

On the derivatives market, 3 messages will broadcast standing data on the feed : Contract Standing Data,

Outright Standing Data and Strategies Standing Data.

On a contract based breakdown, data will be provided with a file with one nested structure. Following that,

at a contract level, two sections will be added to deal respectively with MD connectivity and in the future

with OE connectivity.

File Availability:

Available 24/7.

Scope of contents:

Derivative instruments.

Intraday updates:



DerivativesStandingDataFile

ContractStandingDataUnitary


unsigned integer 32

4 From 0 to 2^32-1 72

OptiqSegment This field is not used for phase 1. An Optiq segment is a universe of instruments sharing common trading properties.

unsigned integer 8

1 From 0 to 2^8-1 61

ContractEventDate Date of the last modification of the characteristics of the contract except for some exception.


36

ExchangeCode Indicates the Market Place. character 1 (See field description)

41

ExerStyle Type of exercise of a derivatives instrument

unsigned integer 8

1 0 European

1 American

41

FlexInd Indicates whether a derivatives instrument can be defined using flexible terms, or not.

unsigned integer 8

1 0 False

1 True

42

ContractName Contract Name string 60 (See field description)

36

ContractType Generic Contract Type. character 1 F Future

O Option

37

UnderlyingType Defines the instrument type of the underlying.


79


unsigned integer 8

1 From 0 to 2^8-1 64





unsigned integer 8

1 From 0 to 2^8-1 66


unsigned integer 8

1 From 0 to 2^8-1 33


unsigned integer 8

1 From 0 to 2^8-1 67

MainDepositary Identifies the default (or main) depository organization of the instrument (between the possible 4 depositaries registered) used by priority for the settlement (for example: multi-listed instruments which have several depositories).


48

MIC Identifies the market to which an instrument belongs by its MIC (Market Identification Code), according to ISO 10383.


50

CountryOfExchange Country of exchange string 3 (See field description)

37

ProductCode Physical alphanumerical product code.


65

UnderlyingMIC Identifies the market to which an instrument' underlying belongs by its MIC (Market Identification Code), according to ISO 10383. Refer to MIC field to have all the authorized values.


79

UnderlyingISINCode Underlying ISIN. string 12 (See field description)

79

OrderTypeRules Order types supported by the trading host.

unsigned integer 16


62

SettlementMethod Settlement method character 1 (See field description)

69

TradingCurrency Code of the currency (ISO 4217-3A).


75

WhRFCDaysBeforeExpiry Wholesale RFC Days Before Expiry defines the number of days (0 to 99) from expiry from which the RFC will no longer be available. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.

unsigned integer 8

1 From 0 to 2^8-1 81

WhRFCMinutesBeforeClosing

Wholesale RFC Minutes Before Close allows the setup of the number of minutes (1 to 99) from market close from which the RFC will be deactivated.

unsigned integer 8

1 From 0 to 2^8-1 81

MinimumQuantityForInitiator

Wholesale RFC Minimum Quantity defines the minimum quantity required to submit an RFC as initiator. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.

unsigned integer 32

4 From 0 to 2^32-1 54




MinimumQuantityForReactor

Wholesale RFC Min Qty defines the minimum quantity required to submit a response to the RFC during the Improvement period. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.

unsigned integer 32

4 From 0 to 2^32-1 54

WhRFCPickUpPerc Defines the percentage of the RFC Initiator quantity that is available for RFC responses during the final execution at the RFC price. This pick up percentage is not relevant during the final execution with RFC responses improving the RFC Price. Available only for Wholesale Trade Type = 9.

unsigned integer 8

1 From 0 to 2^8-1 82

WhRFCImprovementPeriod

Wholesale RFC Improvement Period, in seconds defines the duration of the RFC Improvement Period. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.

unsigned integer 8

1 From 0 to 2^8-1 81

AvailableWholesaleTradeType

Wholesale trade type supported by the trading host.

unsigned integer 32


33

TickSizeDenominator Tick Size Denominator. unsigned integer 8

1 From 0 to 2^8-1 73

TickSizeNumerator Tick Size Numerator. unsigned integer 8

1 From 0 to 2^8-1 74

InstrumentNumeratorSettlement

Instrument Numerator Settlement.

unsigned integer 8

1 From 0 to 2^8-1 44

InstrumentNumeratorEDSP

Instrument Numerator EDSP (filled with Null value for exchanges “C”, “G”, “D”, “H” to indicate that it is not assigned).

unsigned integer 8

1 From 0 to 2^8-1 44

StrikePriceDenominator Strike Price Denominator. unsigned integer 8

1 From 0 to 2^8-1 71

DeltaProtectforMM Delta Protection for Market Makers Level.

unsigned integer 8

1 0 Protection for Market Makers enabled at a contract level

1 Protection for Market Makers enabled at a contract and expiry level.

39

VegaProtectforMM Vega Protection for Market Makers Level.

unsigned integer 8



80




VolumeProtectforMM Volume Protection for Market Makers Level.

unsigned integer 8



81

ContractTradingType Contract Trading Type. unsigned integer 8

1 1 Traded as an outright

2 Not traded, but listed in contract data. Traders may subscribe to it

3 Traded as a simple inter-commodity spread

4 Traded as an inter-commodity spread

36

ThrottleforIncomingOrders

Defines the number of order messages that a session on the Common Customer Gateway (CCG) can submit per second in a particular contract.

unsigned integer 16

2 From 0 to 2^16-1 73

StrikePriceFlexIncrement Strike Price increment for flex contracts.

unsigned integer 32

4 From 0 to 2^32-1 72


unsigned integer 16

2 From 0 to 2^16-1 49

OutrightStandingDataUnitary


unsigned integer 32

4 From 0 to 2^32-1 72

ContractSymbolIndex Identifies the contract of this instrument by its Symbol Index.

unsigned integer 32

4 From 0 to 2^32-1 36

InstrumentEventDate Date of the last modification of the characteristics of the instrument except for some exception.


43



46

CFI Classification code of a financial instrument defined by the ISO-10962 standard.


34



49

OptionType Type of the option. unsigned integer 8

1 1 Call

2 Put

61

InstrumentTradingCode

Is the AMR code on derivatives and the Trading Code on cash.


45




LotSize Expressed in number of shares or in an amount or a volume of the capital, of the lot size. The lot size is a minimum tradable quantity that is set for each instrument by the Exchange (to be calculated with the Quantity Decimals).

unsigned integer 64

8 From 0 to 2^64-1 48

StrikePrice The specified price of an option contract at which the contract may be exercised, whereby a call option buyer can buy the underlying or a put option buyer can sell the underlying (to be calculated with Price/Index Level Decimals).

signed integer 64

8 From -2^63-1 to 2^63-1

71

LastTradingDate Last available trading date for the instrument (Format YYYYMMDD).


46

OutrightStandingDatarep

EMM Defines the Exchange Market Mechanism applied on each platform.

unsigned integer 8


40

/OutrightStandingDatarep

/OutrightStandingDataUnitary

StrategyStandingDataUnitary


unsigned integer 32

4 From 0 to 2^32-1 72


unsigned integer 8

1 From 0 to 2^8-1 64


unsigned integer 8

1 From 0 to 2^8-1 66


unsigned integer 8

1 From 0 to 2^8-1 33


unsigned integer 8

1 From 0 to 2^8-1 67

ExchangeCode Indicates the Market Place. character 1 (See field description)

41



49

StrategyCode Exchange-recognized market code


69

StrategyStandingDatarep

LegSymbolIndex Numerical leg instrument identifier (SymbolIndex) valid for the life of the instrument (and reusable)

unsigned integer 32

4 From 0 to 2^32-1 47




LegPrice Price of underlying leg for a delta neutral strategy (to be calculated with the Price/Index Level Decimals).

signed integer 64

8 From -2^63-1 to 2^63-1

47

LegRatio Ratio of lots for the leg. For contingent trades, the delta (to be calculated with the Amount Decimals).

unsigned integer 32

4 From 0 to 2^32-1 47

LegBuySell Leg Side. character 1 B Buy

S Sell

47

/StrategyStandingDatarep

/StrategyStandingDataUnitary

/ContractStandingDataUnitary

SetOfChannels


unsigned integer 16

2 From 0 to 2^16-1 49

Channels

ChannelID Identifies the channel. unsigned integer 16

2 From 0 to 2^16-1 35

ChannelType Defines the channel. string 4 (See field description)

35

PrimarySourceIPRange Defines the primary IP address /25 range number (IP v4).


65


Defines the secondary IP address /25 range number (IP v4).


68

MulticastDataRealTime


1G 1Gbps Channel

10G 10Gbps Channel

35

MulticastA

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastA

MulticastB

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastB

/MulticastDataRealTime




MulticastDataSnapshot


1G 1Gbps Channel

10G 10Gbps Channel

35

MulticastA

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastA

MulticastB

MulticastGroupIP


59


2 From 0 to 2^16-1 63

/MulticastB

/MulticastDataSnapshot

/Channels

/SetOfChannels

/DerivativesStandingDataFile

3.1.4 FullTradeInformationFile (9030)

General characteristics of the Full Trade Information file

The Full Trade Info file contains comprehensive MiFID II-compliant information for trades executed during

the day.

File availability:

This file will be delivered every x minutes to allow customers the ability to download trades they have

missed, some of these may be via the Market Data feed. This file also allows Customers to download all

trades at the end of day after trading hours.

Scope of contents:

The file contents will vary according to Cash/Derivatives/BdL:

- 1 file containing full trade information for Cash On Exchange, including Equities/ETFs/Fixed

Income/Warrants and Certificates; Channel IDs for Equities 100-109, 110-115, 165-169, 120-125, ETF 130-

135, Fixed Income 150-154, W and C 155-159

- 1 file containing full trade information for Cash Off Exchange, including TCS Off Book and SI Off-Exch: 147

- 1 file containing full trade information for BdL: Channel IDs from 170 to 174



- 1 file containing full trade information for Options and Futures: Channel IDs Futures 140-144, 190-195,

200-205, 210-214, Options 175-189, 215-225, 230-235, 240-244

- 1 file containing full trade information for Commodities: Channel IDs 245-249

Each file will be generated per Optiq Segment.

Intraday updates:

Intraday updates will be performed every x minutes.

File naming convention

"OptiqMDG_environment_filetype_optiqsegment_assetclass_country_version_HHMM_DDMMYYYY"


FullTradeInformationFile

FullTradeInfo

EventTime Time when an event has been processed (Text formated following ISO 8601: hh:mm:ss.mmmµµµnnnZ

XML timeNano


40


unsigned integer 32

4 From 0 to 2^32-1 72

TradingDateTime Date and time when the transaction was executed.


76

PublicationDateTime Date and time when the transaction was published by a trading venue or Approved Publication Arrangement (APA).


65

TradeType Type of Operation. unsigned integer 8


74

MifidInstrumentIdType Code type used to identify the financial instrument.


51

MifidInstrumentID Code used to identify the financial instrument. This code has to be processed with the MiFID Instrument ID Type.


51

MifidExecutionID MiFID Transaction Identification Code is composed of the Symbol Index, the EMM and the Execution ID. It is a unique Execution ID by instrument and per day on the different EMM available.


51

MifidPrice Traded price of the transaction excluding, where applicable, commission and accrued interest.


52

MifidQuantity Number of units of the financial instrument. The nominal or monetary value of the financial instrument.


53

MifidPriceNotation Indicates if the price or the strike price is expressed in:


53




MifidCurrency Currency in which the price is expressed (applicable if the price is expressed as monetary value) following ISO 4217 standard.


51

MiFIDQtyinMsrmtUnitNotation

Indicates the measurement units in which the quantity in measurement unit is expressed.


53

MifidQuantityMeasurementUnit

The equivalent amount of commodity traded expressed in measurement unit.


53

MiFIDNotionalAmount Nominal amount or notional amount


52

NotionalCurrency Currency in which the notional is denominated following ISO 4217 standard.


60

MiFIDClearingFlag Code to identify whether the transaction will be cleared.


50

MMTMarketMechanism Defines the fundamental functional market mechanism that has facilitated the trade following MMT level 1.

unsigned integer 8


56

MMTTradingMode Differentiates transactions by defining the trading mode under which the trade was executed following MMT level 2.


58

MMTTransactionCategory Defines the transaction category following MMT level 3.1.


59

MMTNegotiationIndicator Defines the negotiation indicator or pre-trade transparency waiver following MMT level 3.2.


57

MMTAgencyCrossTradeIndicator

Defines the agency cross trade indicator following MMT level 3.3.


54

MMTModificationIndicator

Defines the modification indicator following MMT level 3.4.


56

MMTBenchmarkIndicator Defines the benchmark indicator or the reference price indicator following MMT level 3.5.


55

MMTSpecialDividendIndicator

Defines the special dividend indicator following MMT level 3.6.


58

MMTOffBookAutomatedIndicator

Defines the off book automated indicator following MMT level 3.7.

character 1 M Off Book Non-Automated

Q Off Book Automated

- (Hyphen) Unspecified or does not apply

57

MMTContributiontoPrice Defines the contribution to price or the price discovery process following MMT level 3.8.


55

MMTAlgorithmicIndicator Defines the algorithmic indicator following MMT level 3.9.


55

MMTPublicationMode Defines the publication mode or post-trade deferral reason following MMT level 4.1.


58




MMTPostTradeDeferral Defines the post trade deferral or enrichment type following MMT level 4.2.


57

MMTDuplicativeIndicator Defines the duplicative indicator following MMT level 5.


56

TradeQualifier Trade Qualifier. unsigned integer 8


74

TransactionType Transaction type or publication type.

unsigned integer 8


77

EffectiveDateIndicator Indicates if the trade is introduced on the trading session day or earlier.

unsigned integer 8

1 0 If the seller declaration is received on the current trading session day

1 If seller declaration is received before the current trading session day

39

BlockTradeCode Indicates if trade relates to a block or a negotiated deal following MiFID rules.

character 1 B Block Trade

N Regular trade or Negotiated deal

- (Hyphen) Undefined

34

TradeReference Reference of the trade reported to the Exchange.


74

OriginalReportTimestamp Timestamp of trade reporting to the Exchange (Text formated following ISO 8601: hh:mm:ss.mmmµµµnnnZ

XML timeNano


62

TransparencyIndicator Used to define the transparency of the trade.

unsigned integer 8

1 0 Lit/Regular Trade

1 Dark Trade and Immediate Publication

2 Dark Trade and Deferred Publication

77

CurrencyCoefficient When an actual price is displayed in a different 'price expression' than the official instrument trading currency, the Currency Coefficient represents the ratio 'price expression' divided by 'official currency' (To be calculated with Ratio / Multiplier Decimals).

unsigned integer 32

4 From 0 to 2^32-1 37

PriceMultiplier Number of units of the financial instrument that are contained in a trading lot.

unsigned integer 32

4 From 0 to 2^32-1 64

PriceMultiplierDecimals Number of decimals for the field Price Multiplier

unsigned integer 8

1 From 0 to 2^8-1 65




Venue Identification of the venue where the transaction was executed using the ISO 10383 segment MIC for transactions executed on a trading venue.


80

VenueofPublication Indicates the venue where the trade is published.


80

StartTimeVwap End time for the Volume Weight Average price computation period (Text formated following ISO 8601: hh:mm:ssZ where Z stands for UTC).

XML timeSec 9 (See field description)

69

EndTimeVwap End time for the Volume Weight Average price computation period (Text formated following ISO 8601: hh:mm:ssZ where Z stands for UTC).


40

/FullTradeInfo

/FullTradeInformationFile

3.1.5 OpenInterestFile (9014)

Open Interest file provide open interest information provided by LCH on derivatives instruments.

File Availability:

Available 24/7.

Scope of contents:

Derivative instruments.

Intraday updates:

XML file will be created as soon as the open interest file is received from LCH.


OpenInterestFile

OpenInterestUnitary


unsigned integer 32

4 From 0 to 2^32-1 72



46

OpenInterestDate Open interest date (Format YYYYMMDD).


61

OpenInterest Open interest. unsigned integer 64

8 From 0 to 2^64-1 60

/OpenInterestUnitary

/OpenInterestFile



3.1.6 PrevDayCapAndVolTradFile (9015)

Previous Day Capital and Volume Traded file provide : Previous Volume Traded and Previous Day Capital

Traded information.

File Availability:

Available 24/7.

Scope of contents:

Cash instruments.

Intraday updates:

XML file will be created as soon as these information will be available.


PrevDayCapAndVolTradFile

PrevDayCapAndVolTradCoreUnitary


unsigned integer 32

4 From 0 to 2^32-1 72



46

PrevDayCapitalTraded Cumulative capital traded for all trades from previous day on an instrument (to be calculated with the Amount Decimals). Not provided for non-Euronext traded instruments.

unsigned integer 64

8 From 0 to 2^64-1 63

PreviousVolumeTraded Number of shares traded (to be calculated with the Quantity Decimals) on this instrument during trading day identified by 'DateOfLastTrade'. Not provided for non-Euronext traded instruments.

unsigned integer 64

8 From 0 to 2^64-1 64

/PrevDayCapAndVolTradCoreUnitary

/PrevDayCapAndVolTradFile

3.1.7 TimetableFile (9001)

The Timetable file indicates the scheduled trading patterns, on a given day, associated to a Symbol Index

linked by the Pattern ID. Please Refer to Optiq MDG Client Specifications for details.

File Availability:

Available 24/7.



Scope of contents:

All the Exchange segments for Market Data.

Intraday updates:



TimetableFile

Pattern

PatternID Numerical Pattern identifier available as a characteristic of an instrument in Standing Data file and message, and used in the MDG timetable message. Cash Markets only.

unsigned integer 16

2 From 0 to 2^16-1 63

Phase

PhaseTime Time of Phase start (Text formated following ISO 8601: hh:mm:ssZ where Z is for UTC").


63

InstrumentState Instrument State.The length for this field is maximum possible value length.

XML text50 50 (See field description)

45

TradingMode Indicates the Trading Mode. unsigned integer 32


76

TradingPeriod Indicates the trading period. unsigned integer 8


76

TradingSide Indicates the trading period. unsigned integer 8

1 1 Bid Only (Cash Only)

2 Offer Only (Cash Only)

3 PAKO (Cash Only)

77

PriceLimits Indicates the Price Limits mode. unsigned integer 8

1 1 Price Limits Enabled - Normal (Derivatives Only)

2 Price Limits Enabled - Wide (Derivatives Only)

3 Price Limits Enabled - Widest (Derivatives Only)

4 Price Limits Disabled (Derivatives Only)

64

QuoteSpreadMultiplier

Indicates the Quote Spread Multiplier.

unsigned integer 8

1 1 Quote Spread Multiplier 1 (Derivatives Only)

2 Quote Spread Multiplier 2 (Derivatives Only)


66




OrderEntryQualifier Field indicating the order entry capabilities in the current market state.

unsigned integer 8

1 0 Order Entry/Cancel/Modify Disabled

1 Order Entry/Cancel/Modify Enabled

2 Cancel and Modify Only (Derivatives Only)

61

Session Current market session. unsigned integer 8


68

/Phase

/Pattern

/TimetableFile

Euronext and Derivatives Markets – Optiq Field Description


4. FIELD DESCRIPTION

A

AmountDecimals

Field Name Amount Decimals

Description Indicates the number of decimals for each Amount related to this Symbol Index

Used For Cash and Derivatives

Format unsigned integer 8

Length 1

Possible Values From 0 to 2^8-1

Used In CashStandingDataFile (9007)

DerivativesStandingDataFile (9013)

AvailableWholesaleTradeType

Field Name Available Wholesale Trade Type

Description Wholesale trade type supported by the trading host.

For Phase 1 and 2 this has to be considered with the field WholesaleTradeType from the New Order Cross message in CCG:

0 - Large in Scale Trade (Formerly Block Trade) is the value '1' in WholesaleTradeType

1 - Basis Trade is the value '2' in WholesaleTradeType

2 - Against Actual is the value '3' in WholesaleTradeType

3 - Asset Allocation is the value '4' in WholesaleTradeType

4 - Large In Scale Package Trade is the value '5' in WholesaleTradeType

5 - Guaranteed Cross Trade is the value '6' in WholesaleTradeType

6 - Exchange For Swap is the value '7' in WholesaleTradeType

7 - Request For Cross is the value '9' in WholesaleTradeType

Used For Derivatives


Length 4

Possible Values 0 Large in Scale Trade (Formerly Block Trade)

1 Basis Trade

2 Against Actual

3 Asset Allocation

4 Large In Scale Package Trade (former Prof Trade)

5 Guaranteed Cross Trade

6 Exchange For Swap

7 Request For Cross

Used In DerivativesStandingDataFile (9013)



B

BlockTradeCode

Field Name Block Trade Code

Description Indicates if trade relates to a block or a negotiated deal following MiFID rules.

Used For Cash

Format character

Length 1

Possible Values B Block Trade

N Regular trade or Negotiated deal

- (Hyphen) Undefined

Used In FullTradeInformationFile (9030)

C

CFI

Field Name CFI

Description Classification code of a financial instrument defined by the ISO-10962 standard.

The structure of the CFI code:

The CFI reflects characteristics that are defined when a financial instrument is issued, and remain unchanged during its entire lifetime.

The CFI consists of six alphabetical characters. The first character indicates the highest level of classification (Categories):

- 'E' – Equities

- 'D' – Debt instruments

- 'R' – Entitlements (Rights)

- 'O' – Options

- 'F' – Futures

- 'M' – Others/Miscellaneous

The second character indicates specific groups within each category: Groups, for example, for equities:

- Shares

- Preferred shares

- Convertible preferred shares

- Units, i.e. unit trusts/mutual funds etc.

- Others

The four last characters indicate the most important attributes applicable to each group: whereas voting rights, restrictions, payment status and form are useful information in Equities, these features do not exist for Options, which have other attributes (underlying instruments, type of scheme, delivery, standardized/non-standardized). In Equities, Debt instruments and Entitlements, the sixth (last) character indicates the form of the instrument. If the information is not available or applicable at the time of assignment, the code “X” is to be used for the respective element, i.e. X = not applicable, unknown, not available.


Format string

Length 6

Possible Values (See field description)





ChannelID

Field Name Channel ID

Description Identifies the channel.

A Bitmap in little-endian giving:

- Bits 0 to 2: are channel identifier.

- Bit 3: is a MDG identifier.

- Bit 4: defines if it is Real-Time feed (1 or 3) or Snapshot feed (2 and 4).



Length 2




ChannelSpeed

Field Name Channel Speed

Description Defines the Channel bandwidth.


Format string

Length 4

Possible Values 100M 100Mbps Channel

1G 1Gbps Channel

10G 10Gbps Channel



ChannelType

Field Name Channel Type

Description Defines the channel.


Format string

Length 4

Possible Values FBOU Full Order Book – Order Update message

FBMU Full Order Book – Market Update message

REFI Indices and referential channel

REFT Trades and referential channel

BBBO Best Bid and Best Offer channel





ContractEventDate

Field Name Contract Event Date

Description Date of the last modification of the characteristics of the contract except for some exception.

The following exceptions (since they are modified every day) are not updating the Event Date and allow members to know when a change occurs on instrument characteristics:

- Previous day's adjusted closing price (LastAdjPrice)

- Previous day capital traded (Prev Day Capital Traded)

- Number of shares for this instrument traded on previous day (Previous Volume Traded)

- Date instrument last traded (DateOfLastTrade)

(Format YYYYMMDD).


Format XML date

Length 8



ContractName

Field Name Contract Name

Description Contract Name


Format string

Length 60



ContractSymbolIndex

Field Name Contract Symbol Index

Description Identifies the contract of this instrument by its Symbol Index.



Length 4



ContractTradingType

Field Name Contract Trading Type

Description Contract Trading Type.



Length 1

Possible Values 1 Traded as an outright

2 Not traded, but listed in contract data. Traders may subscribe to it



3 Traded as a simple inter-commodity spread

4 Traded as an inter-commodity spread


ContractType

Field Name Contract Type

Description Generic Contract Type.


Format character

Length 1

Possible Values F Future

O Option


CountryOfExchange

Field Name Country Of Exchange

Description Country of exchange


Format string

Length 3




CurrencyCoefficient

Field Name Currency Coefficient

Description When an actual price is displayed in a different 'price expression' than the official instrument trading currency, the Currency Coefficient represents the ratio 'price expression' divided by 'official currency' (To be calculated with Ratio / Multiplier Decimals).

For example a UK-listed instrument with its trading currency GBP having a price expressed in Pence -, the CurrencyCoefficient will be 0.01.

The Currency Coefficient may be used for the Instrument Trading Price (the Referential field Trading Currency Indicator is then set to 1), and/or for the Derivatives and Warrants Instrument Strike Price (the Referential field Strike Currency Indicator is then set to 1).

Used For Cash


Length 4



FullTradeInformationFile (9030)



D

DarkEligibility

Field Name Dark Eligibility

Description Indicates the Eligibility to dark. 0 is not eligible, 1 is eligible.

Used For Cash


Length 1

Possible Values 0 False

1 True


DarkLISThreshold

Field Name Dark LIS Threshold

Description Define the minimum amount of an order to benefit from the LIS (Large In Scale) pre-transparency waiver.

Used For Cash


Length 8



DarkMinQuantity

Field Name Dark Minimum Quantity

Description Define the minimum quantity required for an order to be filled in the Dark liquidity. 0 indicates that no minimum amount is required.

Used For Cash


Length 4



DateOfLastTrade

Field Name Date Of Last Trade

Description Date of the Last Price for the Instrument (Format YYYYMMDD).

Used For Cash

Format XML date

Length 8





DeltaProtectforMM

Field Name Delta Protect for MM

Description Delta Protection for Market Makers Level.



Length 1

Possible Values 0 Protection for Market Makers enabled at a contract level



DepositaryList

Field Name Depositary List

Description Identifies the possible main depository organizations (maximum four) for the shares or fixed incomes for an instrument.

Used the clearing house to determine the relevant system for settling trades.

Valid values are:

- '00001' – Euroclear France

- '00002' – CIK (Belgium)

- '00003' – NECIGEF (the Netherlands)

- '00004' – X/N (RMF system)

- '00005' – VIF (non-fungible Belgian instruments)

- '00006' – Euroclear Bank

- '00007' – NIEC

- '00008' – Physical

- '00009' – Euronext Paris non Euroclear France

- '00010' – Interbolsa

- '00000' – No depository organization

- Nulls – Not significant

Used For Cash

Format string

Length 20



E

EffectiveDateIndicator

Field Name Effective Date Indicator

Description Indicates if the trade is introduced on the trading session day or earlier.



Length 1

Possible Values 0 If the seller declaration is received on the current trading session day

1 If seller declaration is received before the current trading session day




EMM

Field Name EMM

Description Defines the Exchange Market Mechanism applied on each platform.



Length 1

Possible Values 1 Cash and Derivative Central Order Book (COB)

2 NAV Trading Facility

3 Primary Market

4 Derivative Wholesales

5 Cash On Exchange Off book

6 Euronext APA off-exchange trade reports

7 Derivative On Exchange Off book

50 Societe Generale Systematic Internaliser (SI)

254 Not Applicable (For indices and iNAV)



EndTimeVwap

Field Name End Time Vwap

Description End time for the Volume Weight Average price computation period (Text formated following ISO 8601: hh:mm:ssZ where Z stands for UTC).


Format XML timeSec

Length 9



EventTime

Field Name Event Time

Description Time when an event has been processed (Text formated following ISO 8601: hh:mm:ss.mmmµµµnnnZ

where

mmm for the milliseconds

µµµ for the microseconds

nnn for the nanoseconds

Z is for UTC").


Format XML timeNano

Length 19





ExchangeCode

Field Name Exchange Code

Description Indicates the Market Place.


Format character

Length 1

Possible Values A Amsterdam Equity Derivatives

B Brussels Equity Derivatives

C Paris Equity Underlyings

D Brussels Cash Underlyings

F Brussels Index Derivatives

G Amsterdam Cash Underlyings

H Lisbon Cash Underlyings

J Paris Index Derivatives

K Amsterdam Index Derivatives

M Lisbon Index Derivatives

P Paris Equity Derivatives

R Amsterdam Commodities Derivatives

S Lisbon Equity Derivatives

Y Paris Commodities Derivatives

Z Amsterdam Currency Derivatives


ExerStyle

Field Name Exercise Style

Description Type of exercise of a derivatives instrument



Length 1

Possible Values 0 European

1 American


F

FirstSettlementDate

Field Name First Settlement Date

Description Represents the first possible settlement date for a given instrument with the instrument depository.

When this date is not provided, it means that the first possible settlement date is the same as the instrument flotation date. This item is provided solely for Amsterdam-listed instruments of the type As If and When Issued. In other words, it is provided solely for new issues for which the first settlement date is a considerable length of time in the future, or is still not known even though it is already possible to trade the instrument. As long as the date remains unknown, this is a fictitious date that must be modified as soon as the real date is known. In terms of instrument types, the instrument can be either a Fix Income or a warrant. This item is determined as follows.

If the marketplace = 038 (Amsterdam), then:



- If the instrument is a Fix Income, the first possible settlement date is the settlement date for the issue price if this item is not set to zero.

- If the instrument is a warrant, the first possible settlement date is the settlement date for the issue price (taken from the Warrant Characteristics message) if this item is not set to zero.

In all other cases, this item is not provided. Used by the clearing house in the rule for determining the theoretical settlement date for a trade.

Possible values are:

- Nulls – If not provided

- '20111111' is the value date used for Dutch warrants for which the settlement date is unknown at the time the instrument is floated.(Format YYYYMMDD).

Used For Cash

Format XML date

Length 8



FixPriceTick

Field Name Fix Price Tick

Description Indicates the amount of the fixed tick size (to be calculated with Price/Index Level Decimals).

Provided only for tradable instruments.

Used For Cash


Length 4



FlexInd

Field Name Flex Indicator

Description Indicates whether a derivatives instrument can be defined using flexible terms, or not.



Length 1

Possible Values 0 False

1 True


FullInstrumentName

Field Name Full Instrument Name

Description Full Instrument Name.

Used For Cash

Format string

Length 102





G

GuaranteeIndicator

Field Name Guarantee Indicator

Description Indicates if the trade is guaranteed or not (for clearing issues)

Used For Cash


Length 1

Possible Values 0 Any trade executed on this instrument will be cleared but not Guaranteed by a Clearing House

1 Any trade executed on this instrument will be cleared and Guaranteed by a Clearing House

2 Any trade executed on this instrument is not clearable by a Clearing House

8 In case of lending and borrowing instrument


I

ICB

Field Name ICB

Description Identifies for a listed instrument, the economic subsector of the issuing company in the ICB (Industry Classification Benchmark) classification.

Used For Cash

Format string

Length 16



InstrumentEventDate

Field Name Instrument Event Date

Description Date of the last modification of the characteristics of the instrument except for some exception.

The following exceptions (since they are modified every day) are not updating the Event Date and allow members to know when a change occurs on instrument characteristics:

- Previous day's adjusted closing price (LastAdjPrice)

- Previous day capital traded (Prev Day Capital Traded)

- Number of shares for this instrument traded on previous day (Previous Volume Traded)

- Date instrument last traded (DateOfLastTrade)

(Format YYYYMMDD).


Format XML date

Length 8






InstrumentGroupCode

Field Name Instrument Group Code

Description Instrument Group / Class Identifier.

Used For Cash

Format string

Length 2



InstrumentName

Field Name Instrument Name

Description Instrument Name


Format string

Length 18



InstrumentNumeratorEDSP

Field Name Instrument Numerator EDSP

Description Instrument Numerator EDSP (filled with Null value for exchanges “C”, “G”, “D”, “H” to indicate that it is not assigned).



Length 1



InstrumentNumeratorSettlement

Field Name Instrument Numerator Settlement

Description Instrument Numerator Settlement.



Length 1





InstrumentState

Field Name Instrument State

Description Instrument State.The length for this field is maximum possible value length.


Format XML text50

Length 50

Possible Values 1 Inaccessible

2 Closed

3 Call

4 Uncrossing

5 Continuous

6 Halted (used in Market Status Change message only)

Used In TimetableFile (9001)

InstrumentTradingCode

Field Name Instrument Trading Code

Description Is the AMR code on derivatives and the Trading Code on cash.

Cash: Trading code is a 12-character string, the only instrument identifier that is unique in the feed in addition to the symbol index.

Derivatives: The AMR code is a 15-character string, allocated by the trading engine. It is unique per instrument.


Format string

Length 15




InstUnitExp

Field Name Instrument Unit Expression

Description Unit in which the instrument is quoted.

Used For Cash

Format character

Length 1

Possible Values 1 Units

2 Percentage of Nominal Excluding Accrued Interest (Clean)

5 Percentage of Nominal Including Accrued Interest (Dirty)

8 Kilograms

9 Ounces




ISINCode

Field Name ISIN Code

Description Instrument ISIN following ISO 6166.

Identifier of a product. Combined with MIC and Currency, identifies an instrument traded on a given market using a given currency.


Format string

Length 12




OpenInterestFile (9014)

PrevDayCapAndVolTradFile (9015)

IssuingCountry

Field Name Issuing Country

Description Issuing country.

Provides the ISO 4217 (3A) code for the country of location for the corporate headquarters of the company that issued the instrument.

Used For Cash

Format string

Length 3



L

LastAdjustedClosingPrice

Field Name Last Adjusted Closing Price

Description Last traded price of the previous trading day after application of the adjustment coefficient (to be calculated with the Price/Index Level Decimals).

Not provided for European instruments.

Used For Cash


Length 8



LastTradingDate

Field Name Last Trading Date

Description Last available trading date for the instrument (Format YYYYMMDD).




Format XML date

Length 8



LegBuySell

Field Name Leg Buy or Sell

Description Leg Side.


Format character

Length 1

Possible Values B Buy

S Sell


LegPrice

Field Name Leg Price

Description Price of underlying leg for a delta neutral strategy (to be calculated with the Price/Index Level Decimals).


Format signed integer 64

Length 8

Possible Values From -2^63-1 to 2^63-1


LegRatio

Field Name Leg Ratio

Description Ratio of lots for the leg. For contingent trades, the delta (to be calculated with the Amount Decimals).



Length 4



LegSymbolIndex

Field Name Leg Instrument ID

Description Numerical leg instrument identifier (SymbolIndex) valid for the life of the instrument (and reusable)



Length 4





LotSize

Field Name Lot Size

Description Expressed in number of shares or in an amount or a volume of the capital, of the lot size. The lot size is a minimum tradable quantity that is set for each instrument by the Exchange (to be calculated with the Quantity Decimals).

The quantity of an order entered by a trading member on the market must be a multiple of the lot size. This number is also called the "Quotité de Marché" (Minimum market tradable quantity).

For fixed income, this data has to be considered with the data “Amount of par value for instrument for calculating trade amount”.

This item is calculated in the following way:

For Brussels-listed fixed incomes that are quoted in %:

- If 1 ≤ market par value ≤99 999 999, then the Instrument Lot Size is the integer part of the market nominal (and, moreover, the lot size and the par value for trade amount are set to 1).

For Amsterdam-listed fixed income quoted in %:

- If 1≤ initial par value ≤ 99 999 999, then the Instrument Lot Size is the integer part of the initial nominal (and, moreover, the lot size and the par value for trade amount are set to 1).

For Lisbon-listed fixed incomes quoted in %:

- If 1≤ market par value ≤ 99 999 999, then the Instrument Lot Size is the integer part of the market nominal (and, moreover, the lot size and the par value for trade amount are set to 1).

- If the market par value is not an integer, until 4 decimals the Instrument Lot Size is set to an integer multiple of the market par value (and, moreover, the par value for trade amount is set to 1). Over for decimals the number is rounded to 4 decimals.

Note: Only integer values that are equal to or greater than one are accepted until the Exchange systems have been adapted for using quantities expressed as a par value amount (Decimalization project).



Length 8




M

MainDepositary

Field Name Main Depositary

Description Identifies the default (or main) depository organization of the instrument (between the possible 4 depositaries registered) used by priority for the settlement (for example: multi-listed instruments which have several depositories).

For Cash Markets this data has to be treated in consideration of the data Depositary List. Used by the clearing house to determine the relevant system for settling trades. Valid values are the same as for “Depositary List”.




Format string

Length 5




MaturityDate

Field Name Maturity Date

Description Maturity Date of the instrument (text formatted as YYYYMMDD).

For contracts with one expiry per month the day component may be "00" (text formatted as YYYYMMDD).

For AtomX instruments this field contains the exact expiry date.

For repo it represents the inclusive date until which a lending/borrowing contract can be traded.


Format string

Length 8




MaximumDecimalsInQuantity

Field Name Maximum Decimals In Quantity

Description Maximum Decimals In Quantity was introduced for Euronext Fund Services Paris and indicates the maximum of relevant decimal number for trading.

Used For Cash


Length 1



MDGRoutingInfo

Field Name MDG Routing Information

Description MDG Routing Information is a technical field used to determine the set of channels that feeds this Symbol Index.



Length 2






MIC

Field Name MIC

Description Identifies the market to which an instrument belongs by its MIC (Market Identification Code), according to ISO 10383.

Euronext owns the following MICs:

- 'ALXA' – ALTERNEXT AMSTERDAM

- 'ALXB' – ALTERNEXT BRUSSELS

- 'ALXP' – ALTERNEXT PARIS

- 'EMTF' – EURO MTF

- 'ENXB' – EASYNEXT BRUSSELS

- 'ENXL' – EASYNEXT LISBON

- 'MLXB' - MARCHE LIBRE BRUSSELS

- 'TNLA' – TRADED BUT NOT LISTED AMSTERDAM

- 'TNLB' – EURONEXT – TRADING FACILITY BRUSSELS

- 'VPXB' - EURONEXT - VENTES PUBLIQUES BRUSSELS

- 'WQXL' – MARKET WITHOUT QUOTATIONS LISBON

- 'XAMS' – EURONEXT AMSTERDAM

- 'XBRU' – EURONEXT BRUSSELS

- 'XLIS' – EURONEXT LISBON

- 'XLDN' – EURONEXT LONDON

- 'XLUX' – LUXEMBOURG STOCK EXCHANGE

- 'XMLI' – MARCHE LIBRE PARIS

- 'XPAR' – EURONEXT PARIS

Used For Cash

Format string

Length 4




MICList

Field Name MIC List

Description Identifies the Euronext markets on which an instrument is listed by its MIC (Market Identification Code).

For an instrument listed on a single Euronext market, the listing MIC code is the same than “Market Identification Code (MIC) of the listed instrument” For an instrument listed on several Euronext Markets:

- The first MIC is the same than the “Market Identification Code (MIC) of the listed instrument

- The others MIC indicate the other listing places

Used For Cash

Format string

Length 20



MiFIDClearingFlag

Field Name MiFID Clearing Flag

Description Code to identify whether the transaction will be cleared.



- 'true': Transaction to be cleared.

- 'false': Transaction not to be cleared.


Format string

Length 5



MifidCurrency

Field Name MiFID Currency

Description Currency in which the price is expressed (applicable if the price is expressed as monetary value) following ISO 4217 standard.


Format string

Length 3



MifidExecutionID

Field Name MiFID Execution ID

Description MiFID Transaction Identification Code is composed of the Symbol Index, the EMM and the Execution ID. It is a unique Execution ID by instrument and per day on the different EMM available.


Format string

Length 52



MifidInstrumentID

Field Name MiFID Instrument ID

Description Code used to identify the financial instrument. This code has to be processed with the MiFID Instrument ID Type.


Format string

Length 12



MifidInstrumentIdType

Field Name MiFID Instrument ID Type

Description Code type used to identify the financial instrument.

Possible values:



- 'ISIN' = ISIN code, where ISIN is available.

- 'OTHR' = other identifier.


Format string

Length 4



MiFIDNotionalAmount

Field Name MiFID Notional Amount

Description Nominal amount or notional amount

For spread bets, the notional amount shall be the monetary value wagered per point movement in the underlying financial instrument.

For credit default swaps, it shall be the notional amount for which the protection is acquired or disposed of.

Possible values:

- Maximum of 18 digits with a maximum of 5 decimals.

Note 1: Decimal separator is '.' (full stop).

Note 2: On the left of the value, it will be completed with '0'(zero) to fill the 20 characters long of the field.


Format string

Length 20



MifidPrice

Field Name MiFID Price

Description Traded price of the transaction excluding, where applicable, commission and accrued interest.

Where price is reported in monetary terms, it shall be provided in the major currency unit.

Where price is currently not available but pending, the value should be 'PNDG'.

Where price is not applicable the field shall not be populated.

Possible values:

- For price expressed as monetary value: maximum of 18 digits with a maximum of 13 decimals.

- For price expressed as percentage or yield: maximum of 11 digits with a maximum of 10 decimals.

- For not available price (only for derivatives): 'PNDG'.


Note 2: Negative numbers are prefixed with '-' (minus).

Note 3: Where applicable, values shall be rounded and not truncated.



Format string

Length 20





MifidPriceNotation

Field Name MiFID Price Notation

Description Indicates if the price or the strike price is expressed in:

- MONE: monetary value.

- PERC: percentage.

- YIEL: yield.


Format string

Length 4



MiFIDQtyinMsrmtUnitNotation

Field Name MiFID Qty in Measurement Unit Notation

Description Indicates the measurement units in which the quantity in measurement unit is expressed.

Possible values:

- For Tons of Carbon Dioxide: TOCD.

- Otherwise: 25 characters long.


Format string

Length 25



MifidQuantity

Field Name MiFID Quantity

Description Number of units of the financial instrument. The nominal or monetary value of the financial instrument.

Possible values:

- For quantity expressed as number of units: maximum of 18 digits with a maximum of 17 decimals.

- For quantity expressed as monetary or nominal value: maximum of 18 digits with a maximum of 5 decimals.




Format string

Length 20



MifidQuantityMeasurementUnit

Field Name MiFID Quantity Measurement Unit

Description The equivalent amount of commodity traded expressed in measurement unit.



Possible values:

- For quantity expressed as number of units: maximum of 18 digits with a maximum of 17 decimals.




Format string

Length 20



MinimumPrice

Field Name Minimum Price

Description Minimum Price of the order. Price with decimals on x characters, with '.' as a separator

Used For Cash

Format Decimals

Length 32


Used In CashTickSizeReferentialFile (9020)

MinimumQuantityForInitiator

Field Name Minimum Quantity For Initiator

Description Wholesale RFC Minimum Quantity defines the minimum quantity required to submit an RFC as initiator. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.



Length 4



MinimumQuantityForReactor

Field Name Minimum Quantity For Reactor

Description Wholesale RFC Min Qty defines the minimum quantity required to submit a response to the RFC during the Improvement period. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.



Length 4



MMTAgencyCrossTradeIndicator

Field Name MMT Agency Cross Trade Indicator



Description Defines the agency cross trade indicator following MMT level 3.3.

Possible values:

- 'ACTX': Agency Cross Trade

- '-': No Agency Cross Trade


Format string

Length 4



MMTAlgorithmicIndicator

Field Name MMT Algorithmic Indicator

Description Defines the algorithmic indicator following MMT level 3.9.

Possible values:

- 'ALGO': Algorithmic Trade

- '-': No Algorithmic Trade


Format string

Length 4



MMTBenchmarkIndicator

Field Name MMT Benchmark Indicator

Description Defines the benchmark indicator or the reference price indicator following MMT level 3.5.

Possible values:

- 'BENC': Benchmark Trade

- 'RFPT': Reference Price Trade

- '-': No Benchmark or Reference Price Trade


Format string

Length 4



MMTContributiontoPrice

Field Name MMT Contribution to Price

Description Defines the contribution to price or the price discovery process following MMT level 3.8.

Possible values:

- 'P': Plain-Vanilla Trade

- 'NPFT': Non-Price Forming Trade (formerly known as the Technical Trade)

- 'TNCP': Trade not Contributing to the Price Discovery Process


Format string



Length 4



MMTDuplicativeIndicator

Field Name MMT Duplicative Indicator

Description Defines the duplicative indicator following MMT level 5.

Possible values:

- 'DUPL': Duplicative Trade Report (reported to more than one APA)

- '-': Unique Trade Report


Format string

Length 4



MMTMarketMechanism

Field Name MMT Market Mechanism

Description Defines the fundamental functional market mechanism that has facilitated the trade following MMT level 1.



Length 1

Possible Values 1 Central Limit Order Book

2 Quote Driven Market

3 Dark Order Book

4 Off Book (including Voice or Messaging Trading)

5 Periodic Auction (= Uncrossing)

6 Request for Quotes


MMTModificationIndicator

Field Name MMT Modification Indicator

Description Defines the modification indicator following MMT level 3.4.

Possible values:

- 'CANC': Trade Cancellation

- 'AMND': Trade Amendment

- '-': New Trade


Format string

Length 4





MMTNegotiationIndicator

Field Name MMT Negotiation Indicator

Description Defines the negotiation indicator or pre-trade transparency waiver following MMT level 3.2.

Possible values:

- 'N': Negotiated Trade

- 'NLIQ': Negotiated Trade in Liquid Financial Instruments

- 'OILQ': Negotiated Trade in Illiquid Financial Instruments

- 'PRIC': Negotiated Trade Subject to Conditions Other Than The Current Market Price

- '-': No Negotiated Trade


Format string

Length 4



MMTOffBookAutomatedIndicator

Field Name MMT Off Book Automated Indicator

Description Defines the off book automated indicator following MMT level 3.7.


Format character

Length 1

Possible Values M Off Book Non-Automated

Q Off Book Automated

- (Hyphen) Unspecified or does not apply


MMTPostTradeDeferral

Field Name MMT Post Trade Deferral

Description Defines the post trade deferral or enrichment type following MMT level 4.2.

Possible values for the original trade:

- 'LMTF': Limited Details Trade

- 'DATF': Daily Aggregated Trade

- 'VOLO': Volume Omission Trade

- 'FWAF': Four Weeks Aggregation Trade

- 'IDAF': Indefinite Aggregation Trade

- 'VOLW': Volume Omission Trade, Eligible for Subsequent Enrichment in Aggregated Form

Possible values for the subsequent enrichment trade:

- 'FULF': Full Details of Earlier "Limited Details Trade (LMTF)"

- 'FULA': Full Details of Earlier "Daily Aggregated Trade (DATF)"

- 'FULV': Full Details of Earlier "Volume Omission Trade (VOLO)"

- 'FULJ': Full Details of Earlier "Four Weeks Aggregation Trade (FWAF)"

- 'COAF': Full Details in Aggregated Form of Earlier "Volume Omission Trade, Eligible for Subsequent Enrichment in Aggregated Form (VOLW)"

Possible values if neither apply:

- '-': Not Applicable / No Relevant Deferral or Enrichment Type




Format string

Length 4



MMTPublicationMode

Field Name MMT Publication Mode

Description Defines the publication mode or post-trade deferral reason following MMT level 4.1.

Possible values:

- '-': Immediate Publication

- '1': Non-Immediate Publication

- 'LRGS': Non-Immediate Publication: Deferral for "Large in Scale"

- 'ILQD': Non-Immediate Publication: Deferral for "Illiquid Instrument"

- 'SIZE': Non-Immediate Publication: Deferral for "Size Specific"


Format string

Length 4



MMTSpecialDividendIndicator

Field Name MMT Special Dividend Indicator

Description Defines the special dividend indicator following MMT level 3.6.

Possible values:

- 'SDIV': Special Dividend Trade

- '-': No Special Dividend Trade


Format string

Length 4



MMTTradingMode

Field Name MMT Trading Mode

Description Differentiates transactions by defining the trading mode under which the trade was executed following MMT level 2.


Format character

Length 1

Possible Values 1 Undefined Auction (= Uncrossing)

2 Continuous Trading

3 At Market Close Trading

4 Out of Main Session Trading

5 Trade Reporting (On Exchange)



6 Trade Reporting (Off Exchange)

7 Trade Reporting (Systematic Internaliser)

I Scheduled Intraday Auction (= Uncrossing)

K Scheduled Closing Auction (= Uncrossing)

O Scheduled Opening Auction (= Uncrossing)

U Unscheduled Auction (= Uncrossing)


MMTTransactionCategory

Field Name MMT Transaction Category

Description Defines the transaction category following MMT level 3.1.

Possible values:

- 'D': Dark Trade

- 'RPRI': Trade that has Received Price Improvement

- 'TPAC': Package Trade (excluding Exchange for Physicals)

- 'XFPH': Exchange for Physicals Trade

- '-': None apply (a standard trade for the Market Mechanism and Trading Mode)


Format string

Length 4



Mnemonic

Field Name Mnemonic

Description Mnemonic code of the instrument. This field is not populated for every instrument.

Used For Cash

Format string

Length 5



MulticastGroupIP

Field Name Multicast Group IP

Description Defines the IP number (IP v4).


Format string

Length 14






N

NominalMarketPrice

Field Name Nominal Market Price

Description Amount of the nominal value of the instrument (to be calculated with the Price/Index Decimals).

Used For Cash


Length 8



NotionalCurrency

Field Name Notional Currency

Description Currency in which the notional is denominated following ISO 4217 standard.

Used For Cash

Format string

Length 3



NumberInstrumentCirculating

Field Name Number Instrument Circulating

Description For stocks: this is the total number of shares issued by the company. For Fix Income: this is the number of Fix Income still to be repaid.

Used For Cash


Length 8



O

OpenInterest

Field Name Open Interest

Description Open interest.

Used For Cash


Length 8


Used In OpenInterestFile (9014)



OpenInterestDate

Field Name Open Interest Date

Description Open interest date (Format YYYYMMDD).


Format XML date

Length 8


Used In OpenInterestFile (9014)

OptionType

Field Name Option Type

Description Type of the option.



Length 1

Possible Values 1 Call

2 Put


OptiqSegment

Field Name Optiq Segment

Description This field is not used for phase 1. An Optiq segment is a universe of instruments sharing common trading properties.

Instruments have the flexibility to be moved from one partition to another within an Optiq segment.



Length 1




OrderEntryQualifier

Field Name Order Entry Qualifier

Description Field indicating the order entry capabilities in the current market state.



Length 1

Possible Values 0 Order Entry/Cancel/Modify Disabled

1 Order Entry/Cancel/Modify Enabled

2 Cancel and Modify Only (Derivatives Only)




OrderTypeRules

Field Name Order Type Rules

Description Order types supported by the trading host.



Length 2

Possible Values 0 Market

1 Limit

2 Stop / Stop Loss

3 Stop Limit

4 Market on Open (MOO)

5 Trade at Settlement


OriginalReportTimestamp

Field Name Original Report Timestamp

Description Timestamp of trade reporting to the Exchange (Text formated following ISO 8601: hh:mm:ss.mmmµµµnnnZ

where

mmm for the milliseconds

µµµ for the microseconds

nnn for the nanoseconds

Z is for UTC").


Format XML timeNano

Length 19



P

ParValue

Field Name Par Value

Description Par Value (also called Nominal value) for Instrument. For Fixed Income it represents the par amount to be repaid at maturity (not including interest revenue) (to be calculated with the Amount Decimals).

Used For Cash


Length 8





PatternID

Field Name Pattern ID

Description Numerical Pattern identifier available as a characteristic of an instrument in Standing Data file and message, and used in the MDG timetable message. Cash Markets only.

Used For Cash


Length 2



TimetableFile (9001)

PhaseTime

Field Name Phase Time

Description Time of Phase start (Text formated following ISO 8601: hh:mm:ssZ where Z is for UTC").


Format XML timeSec

Length 9



PortNumber

Field Name Port Number

Description Defines the port number.



Length 2




PrevDayCapitalTraded

Field Name Prev Day Capital Traded

Description Cumulative capital traded for all trades from previous day on an instrument (to be calculated with the Amount Decimals). Not provided for non-Euronext traded instruments.

Used For Cash


Length 8


Used In PrevDayCapAndVolTradFile (9015)



PreviousVolumeTraded

Field Name Previous Volume Traded

Description Number of shares traded (to be calculated with the Quantity Decimals) on this instrument during trading day identified by 'DateOfLastTrade'. Not provided for non-Euronext traded instruments.

Used For Cash


Length 8


Used In PrevDayCapAndVolTradFile (9015)

PriceDecimals

Field Name Price / Index Level Decimals

Description Indicates the number of decimals for each Price / Index Level related to this Symbol Index



Length 1




PriceLimits

Field Name Price Limits

Description Indicates the Price Limits mode.



Length 1

Possible Values 1 Price Limits Enabled - Normal (Derivatives Only)

2 Price Limits Enabled - Wide (Derivatives Only)

3 Price Limits Enabled - Widest (Derivatives Only)

4 Price Limits Disabled (Derivatives Only)


PriceMultiplier

Field Name Price Multiplier

Description Number of units of the financial instrument that are contained in a trading lot.

Used For Cash


Length 4





PriceMultiplierDecimals

Field Name Price Multiplier Decimals

Description Number of decimals for the field Price Multiplier

Used For Cash


Length 1



PrimarySourceIPRange

Field Name Primary Source IP Range

Description Defines the primary IP address /25 range number (IP v4).


Format string

Length 15




ProductCode

Field Name Product Code

Description Physical alphanumerical product code.


Format string

Length 3



PublicationDateTime

Field Name Publication Date Time

Description Date and time when the transaction was published by a trading venue or Approved Publication Arrangement (APA).

Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ.

Where:

- 'YYYY' is the year.

- 'MM' is the month.

- 'DD' is the day.

- 'T' constant 'T' letter used as separator between YYYY-MM-DD and hh:mm:ss.ddddddZ.

- 'hh' is the hour.

- 'mm' is the minute.

- 'ss.dddddd' is the second and its fraction of a second.

- 'Z' constant 'Z' letter that stands for UTC time.




Format string

Length 27



Q

QuantityDecimals

Field Name Quantity Decimals

Description Indicates the number of decimals for each Quantity related to this Symbol Index



Length 1




QuantityNotation

Field Name Quantity Notation

Description Nature of the quantity expression used for negotiating the instrument on the market.

Possible values:

"UNT" - Units

"FMT" - Facial Amount

"-" - Not Applicable

Used For Cash

Format string

Length 3



QuoteSpreadMultiplier

Field Name Quote Spread Multiplier

Description Indicates the Quote Spread Multiplier.



Length 1

Possible Values 1 Quote Spread Multiplier 1 (Derivatives Only)






R

RatioDecimals

Field Name Ratio / Multiplier Decimals

Description Indicates the number of decimals for each Ratio / Multiplier related to this Symbol Index



Length 1




RepoIndicator

Field Name Repo Indicator

Description Indicates whether the instrument listed underlies any loan contracts, meaning it has been admitted to the Deferred Settlement system and/or to the lending market.

Used For Cash


Length 1

Possible Values 0 Instrument neither eligible for the SRD, nor eligible for the Loan and Lending Market

1 Instrument eligible for the SRD and for the Loan and Lending Market

2 Instrument eligible for the SRD long only

3 Instrument eligible for the Loan and Lending Market and for the SRD long only

4 Easy-to-borrow Instrument eligible for the SRD and the for Loan and Lending Market

5 Instrument eligible for the Loan and Lending Market

8 Non significant


RepoSettlementPrice

Field Name Repo Settlement Price

Description The settlement price (to be calculated with Price / Index Level Decimals) is a standard price used to value the trade that initiates an instrument lending transaction and to calculate the return price.

- If the instrument was listed on day D-1, its settlement price, calculated on day D, will be given by the closing price on D-1, with no adjustment for OST effective as of day D

- If the instrument was not listed on day D-1, its settlement price, calculated on day D, will be given by the latest price, adjusted and super-adjusted for Corporate Action effective as of day D-1, but not as of day D.

Used For Cash


Length 8





RoutingInfo

Field Name Routing Information

Description Routing Information is a technical field used for Order Entry (phase 2 only).

Used For Cash


Length 2



S


Field Name Secondary Source IP Range

Description Defines the secondary IP address /25 range number (IP v4).


Format string

Length 15




Session

Field Name Session

Description Current market session.



Length 1

Possible Values 0 Session 0

1 Session 1

2 Session 2

3 Session 3

4 Session 4

5 Session 5

6 Session 6

7 Session 7

8 Session 8

9 Session 9


SettlementDelay

Field Name Settlement Delay



Description Gives the number of trading days that represents the period between the trade date and the settlement date (delivery and payment) for an instrument to be cleared and settled.

This is generally a standard period for Euronext Cash markets.

Permitted Values

- From 2 to 10 (Standard values)

- X: This value is assigned for a lot of products and internal management rules shared by Euronext and LCH-Clearnet.

- Z: This value is assigned for Lending/Borrowing instruments. This value is especially interpreted to manage the associated management rules.

Used For Cash

Format string

Length 2



SettlementMethod

Field Name Settlement Method

Description Settlement method

- “C” = Cash Settlement

- “P” = Physical Settlement

- Blank/null for exchanges “C”, “G”, “D”, “H” containing Underlying instruments


Format character

Length 1



StartTimeVwap

Field Name Start Time Vwap

Description End time for the Volume Weight Average price computation period (Text formated following ISO 8601: hh:mm:ssZ where Z stands for UTC).


Format XML timeSec

Length 9



StrategyCode

Field Name Strategy Code

Description Exchange-recognized market code


Format character

Length 1



Possible Values A Jelly Roll

B Butterfly

C Call or Put Cabinet

D Spread

E Calendar Spread

F Diagonal Calendar Spread

G Guts

H Two by One Ratio Spread

I Iron Butterfly

J Combo

K Strangle

L Ladder

M Strip

N Straddle Calendar Spread

O Pack

P Diagonal Straddle Calendar Spread

Q Simple Inter Commodity Spread

R Conversion / Reversal

S Straddle

V Volatility Trade

W Condor

X Box

Y Bundle

Z Reduced Tick Spread

a Ladder versus Underlying

b Butterfly versus Underlying

c Call Spread versus Put versus Underlying

d Call or Put Spread versus Underlying

e Call or Put Calendar Spread versus Underlying

f Call/Put Diagonal Calendar Spread versus Underlying

g Guts versus Underlying

h Two by One Call or Put Ratio Spread versus Underlying

i Iron Butterfly versus Underlying

j Combo versus Underlying

k Strangle versus Underlying

m Exchange for Physical

n Straddle Calendar Spread versus Underlying

p Put Spread versus Call versus Underlying

q Diagonal Straddle Calendar Spread versus Underlying

r Synthetic

s Straddle versus Underlying

t Condor versus Underlying

u Buy Write

v Iron Condor versus Underlying

w Iron Condor

x Call Spread versus Sell a Put

y Put Spread versus Sell a Call

z Put Straddle versus Sell a Call or a Put


StrikeCurrency

Field Name Strike Currency



Description Code of the strike currency (ISO 4217-3A).

Used For Cash

Format string

Length 3



StrikeCurrencyIndicator

Field Name Strike Currency Indicator

Description Indicates whether the 'price expression' is in the Currency or a ratio of this Currency expressed in the Currency Coefficient field.

This is the case for strike instruments in pennies. The currency will be 'GBP', Strike Currency Indicator sets to '1' and Currency Coefficient set to '0.001'.

Used For Cash


Length 1

Possible Values 0 Change rate not applied to the strike price

1 Change rate applied to the strike price


StrikePrice

Field Name Strike Price

Description The specified price of an option contract at which the contract may be exercised, whereby a call option buyer can buy the underlying or a put option buyer can sell the underlying (to be calculated with Price/Index Level Decimals).

The buyer's profit from exercising the option is the amount by which the strike price exceeds the cash instrument price (in the case of a call), or the amount by which the cash instrument price exceeds the strike price (in the case of a put).

In general, the smaller the difference between spot (cash instrument price) and strike price, the higher the option premium. Also called exercise price.

Only provided for warrants or other derivatives instruments.


Format signed integer 64

Length 8

Possible Values From -2^63-1 to 2^63-1



StrikePriceDenominator

Field Name Strike Price Denominator

Description Strike Price Denominator.



Length 1





StrikePriceFlexIncrement

Field Name Strike Price Flex Increment

Description Strike Price increment for flex contracts.

Used for options only.



Length 4



SymbolIndex

Field Name Symbol Index

Description Exchange identification code of the instrument.

This identifier is unique per triplet: MIC, ISIN and currency.



Length 4




FullTradeInformationFile (9030)

OpenInterestFile (9014)

PrevDayCapAndVolTradFile (9015)

T

TaxCode

Field Name Tax Code

Description Tax deduction code to which the instrument belongs.

Used For Cash


Length 1

Possible Values 0 Not eligible to PEA

3 Eligible to PEA

9 Not Applicable




ThrottleforIncomingOrders

Field Name Throttle for Incoming Orders

Description Defines the number of order messages that a session on the Common Customer Gateway (CCG) can submit per second in a particular contract.



Length 2



TickSize

Field Name Tick Size

Description Tick Size applied between the current Minimum Price and the next Minimum Price. Tick size on x characters, with . as a separator

Used For Cash

Format Decimals

Length 32


Used In CashTickSizeReferentialFile (9020)

TickSizeDenominator

Field Name Tick Size Denominator

Description Tick Size Denominator.



Length 1



TickSizeIndexID

Field Name Tick Size Index ID

Description ID of the tick size table available in the Tick Table file.

Used For Cash


Length 2



CashTickSizeReferentialFile (9020)



TickSizeNumerator

Field Name Tick Size Numerator

Description Tick Size Numerator.



Length 1



TradeQualifier

Field Name Trade Qualifier

Description Trade Qualifier.

Please note that in the Market Data feed the values Passive Order and Aggressive Order always qualify the Buy order.



Length 1

Possible Values 0 Uncrossing Trade

1 Opening Trade

2 Passive Order

3 Aggressive Order

4 Trade Creation by Market Operations


TradeReference

Field Name Trade Reference

Description Reference of the trade reported to the Exchange.


Format string

Length 30



TradeType

Field Name Trade Type

Description Type of Operation.



Length 1

Possible Values 1 Conventional Trade (Cash and Derivatives)

2 Large in Scale (LiS) Trade (Derivatives Only)

3 Basis Trade (Derivatives Only)



4 Large in Scale (LiS) Package Trade (Derivatives Only)

5 Guaranteed Cross Trade (Cash and Derivatives)

6 Against Actual Trade (Derivatives Only)

7 Asset Allocation Trade (Derivatives Only)

9 Exchange for Swap Trade (Derivatives Only)

10 Exchange for Physical Trade - Cash Leg (Derivatives Only)

11 Strategy Leg Conventional Trade (Derivatives Only)

12 Strategy Leg Large in Scale (LiS) Trade (Derivatives Only)

13 Strategy Leg Basis Trade (Derivatives Only)

14 Strategy Leg Guaranteed Cross Trade (Derivatives Only)

15 Strategy Leg Against Actual Trade (Derivatives Only)

16 Strategy Leg Asset Allocation Trade (Derivatives Only)

18 Strategy Leg Exchange For Swap Trade (Derivatives Only)

19 Strategy Leg Exchange For Physical Trade (Derivatives Only)

20 RMF Trade (Cash Only)

21 SI Trade (Cash Only)

22 AtomX Trade (Derivatives Only)

23 Valuation Trade (Cash Only)

24 Trade Cancellation (Cash Only)

25 Out of Market Trade (Cash Only)

26 Delta Neutral Trade - Cash Leg (Cash and Derivatives)

27 Market VWAP Operation Trade (Cash Only)

28 Euronext Fund Service Trade (Cash Only)

29 Secondary Listing Trade (Cash Only)

30 Request for Cross Trade (Derivatives Only)

31 Request for cross strategy Leg Trade (Derivatives Only)

32 Trade Publication (Cash Only)

33 Dark Trade (Cash Only)


TradingCurrency

Field Name Trading Currency

Description Code of the currency (ISO 4217-3A).


Format string

Length 3




TradingCurrencyIndicator

Field Name Trading Currency Indicator

Description Indicates whether the 'price expression' is in the Currency or a ratio of this Currency expressed in the Currency Coefficient field.

This is the case for instruments traded in pennies. The currency will be 'GBP', Trading Currency Indicator sets to '1' and Currency Coefficient set to '0.001'.

Used For Cash




Length 1

Possible Values 0 Change rate not applied to the traded price

1 Change rate applied to the traded price


TradingDateTime

Field Name Trading Date Time

Description Date and time when the transaction was executed.

Date and time in the following format: YYYY-MM-DDThh:mm:ss.ddddddZ.

Where:

- 'YYYY' is the year.

- 'MM' is the month.

- 'DD' is the day.

- 'T' constant 'T' letter used as separator between YYYY-MM-DD and hh:mm:ss.ddddddZ.

- 'hh' is the hour.

- 'mm' is the minute.

- 'ss.dddddd' is the second and its fraction of a second.

- 'Z' constant 'Z' letter that stands for UTC time.


Format string

Length 27



TradingMode

Field Name Trading Mode

Description Indicates the Trading Mode.



Length 4

Possible Values 0 Call BBO Only (Cash Only)

1 Trading At Last (Cash Only)

2 Random Uncrossing (Cash)

3 Suspended (Derivatives Only)

4 Wholesale Allowed (Derivatives Only)


TradingPeriod

Field Name Trading Period

Description Indicates the trading period.



Length 1

Possible Values 1 Standard Opening (Cash and Derivatives)



2 Standard Core (Cash and Derivatives)

3 Standard Closing (Cash and Derivatives)

4 Late Opening (Cash and Derivatives)

5 Late Core (Cash and Derivatives

6 Late Closing (Cash and Derivatives)

7 Early Opening (For Future use)

8 Early Core (For Future use)

9 Early Closing (For Future use)


TradingSide

Field Name Trading Side

Description Indicates the trading period.

Used For Cash


Length 1

Possible Values 1 Bid Only (Cash Only)

2 Offer Only (Cash Only)

3 PAKO (Cash Only)


TransactionType

Field Name Transaction Type

Description Transaction type or publication type.

Used For Cash


Length 1

Possible Values 1 Plain Vanilla Trade

2 Dark Trade

3 Benchmark Trade

4 Technical Trade

5 Give-up/Give-in Trade

6 Ex/Cum dividend Trade

7 Trade With Condition

15 Summary Report


TransparencyIndicator

Field Name Transparency Indicator

Description Used to define the transparency of the trade.

Used For Cash


Length 1

Possible Values 0 Lit/Regular Trade



1 Dark Trade and Immediate Publication

2 Dark Trade and Deferred Publication


TypeOfCorporateEvent

Field Name Type Of Corporate Event

Description Indicates the last type of corporate event that has occurred on an instrument, such as detachment of rights, or of coupons. The data item is automatically calculated by the adjustment application but in case of problem or error, the data item value could be modified manually, particularly for purging the order book in case of absence of corporate event. This data has to be treated in consideration of the date of the event included into the header of the message.

Valid values are:

- "00" – No specific event

- "01" – Dividend payment in cash or in stocks

- "02" – Interest payment (Fix Income for which the price is not expressed in% of the nominal, only)

- "04" – Split

- "05" – Bonus (i.e. attribution)

- "06" – Subscription

- "07" – Share allocation

- "08" – Share swap

- "09" – Reverse split

- "10" – Merger

- "11" – Final Fix Income redemption

- "12" – Capital amortization

- "13" – Draw announcement (Belgian Fix Income only)

- "14" – Block trade of controlling interest

- "15" – Optional corporate events(dividend option)

- "16" – Complex corporate event

- "17" – Purge of the order book (purge is initiated manually in the absence of a corporate event, for example, following the modification of the variable tick of the listed instrument)

- "22" Bourse de Luxembourg corporate event

Used For Cash

Format string

Length 2



TypeOfMarketAdmission

Field Name Type Of Market Admission

Description Indicates the type of market to which an instrument has been listed.

Used For Cash

Format character

Length 1

Possible Values A Instruments traded on the primary market

B Instruments traded on the secondary market

C Instruments traded on the New Market

D Non-regulated market / instruments traded on the free market ('Marche Libre')

E Non-regulated market / Alternext



F Non listed

G Regulated Market / Non equities

H Regulated Market / Equities / Segment A

I Regulated Market / Equities / Segment B

J Regulated Market / Equities / Segment C

K Regulated Market / All securities / Special Segment

L Regulated Market / Equities / Other instruments

S OPCVM, SICOMI non listed (French Investment Funds)

6 Off Market

7 Gold, Currencies, and Indices

9 Foreign


U

UnderlyingISINCode

Field Name Underlying ISIN Code

Description Underlying ISIN.

For Repo: Underlying instrument (instrument used in the loan quotation system) for loan contracts on centralized lending market.

For Warrant: Gives the trading code of the underlying listed instrument of a warrant.


Format string

Length 12




UnderlyingMIC

Field Name Underlying MIC

Description Identifies the market to which an instrument' underlying belongs by its MIC (Market Identification Code), according to ISO 10383. Refer to MIC field to have all the authorized values.


Format string

Length 4




UnderlyingType

Field Name Underlying Type

Description Defines the instrument type of the underlying.




Format character

Length 1

Possible Values C Commodity

F Future

I Index

S Stock

X Exchange Rate


V

VegaProtectforMM

Field Name Vega Protect for MM

Description Vega Protection for Market Makers Level.



Length 1




Venue

Field Name Venue

Description Identification of the venue where the transaction was executed using the ISO 10383 segment MIC for transactions executed on a trading venue.

Otherwise the BIC is sent following ISO 9362.


Format string

Length 11



VenueofPublication

Field Name Venue of Publication

Description Indicates the venue where the trade is published.


Format string

Length 11





VolumeProtectforMM

Field Name Volume Protect for MM

Description Volume Protection for Market Makers Level.



Length 1




W

WhRFCDaysBeforeExpiry

Field Name WhRFC Days Before Expiry

Description Wholesale RFC Days Before Expiry defines the number of days (0 to 99) from expiry from which the RFC will no longer be available. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.



Length 1



WhRFCImprovementPeriod

Field Name WhRFC Improvement Period

Description Wholesale RFC Improvement Period, in seconds defines the duration of the RFC Improvement Period. Available only if the Request For Cross (7) is set in Available Wholesale Trade Type.



Length 1



WhRFCMinutesBeforeClosing

Field Name WhRFC Minutes Before Closing

Description Wholesale RFC Minutes Before Close allows the setup of the number of minutes (1 to 99) from market close from which the RFC will be deactivated.



Length 1





WhRFCPickUpPerc

Field Name WhRFC Pick Up Perc

Description Defines the percentage of the RFC Initiator quantity that is available for RFC responses during the final execution at the RFC price. This pick up percentage is not relevant during the final execution with RFC responses improving the RFC Price. Available only for Wholesale Trade Type = 9.



Length 1



Euronext and Derivatives Markets – Optiq Disclaimer


APPENDIX A: DISCLAIMER

Copyright 2014 - 2016 Real Logic Limited

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in

compliance with the License. “You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0.”

Unless required by applicable law or agreed to in writing, software distributed under the License is

distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or

implied. See the License for the specific language governing permissions and limitations under the License.

ANY USE OF THE Simple Binary Encoding (SBE) SHALL BE MADE UNDER THE SOLE RESPONSIBILITY OF

CUSTOMER AND EURONEXT NV AND ITS AFFILIATES HEREBY DISCLAIM ANY EXPRESS OR IMPLIED

WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND

FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO ANY USE OF THE SBE BY THE CUSTOMER AND/OR

ANY OF ITS AFFILIATES; IN NO EVENT SHALL EURONEXT NV AND/OR ANY OF ITS AFFILIATES BE LIABLE FOR

ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING,

BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR

PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER

IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY

OUT OF THE USE OF THE SBE EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.

http://www.apache.org/licenses/LICENSE-2.0

Euronext and Derivatives Markets – Optiq Revision History


APPENDIX B: REVISION HISTORY

Version Date Author Change Description

1.1.0 28 Sep 2016 IT Solutions – BA

team –BGA

First Version

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