Indian Commodity Exchange Limited File Formats Version 1.1

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Elijah Murphy
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1 Indian Commodity Exchange Limited File Formats

2 Table of Contents Sr. No. Particulars/File Formats Page No. Market Statistics File Format 3 Trade File Format 4 3 Position File Format 5 4 Margin File Format 6 5 UCC Upload File Format 7 6 Contract/Commodity Master 7 Margin File Reporting - Trading Member 4 8 Margin Collected File - Trading Member 5 9 Margin Penalty File - Trading Member 6 0 Consolidated Margin Penalty File - CM 7

3 Market Statistics Filename: MarketStats_DDMMYYYY.csv Field Name Field Type Remarks Internal Field Length DDMMYYYY 8 Market Type NRMAL Always stamped Commodity Instrument Type -Future Ins.Internal 3 - Calendar Spread Instrument Type 4- Auction Buy In 5- Auction Sell out Unique Identifier Unique identifier for the commodity 0 lns.lnstrument ID or contract Contract Code Unique name of the contract Ins.Symbol defined by Exchange Expiry DDMMYYYY lns.expiry Previous Close Previous day closing price Previous Close 0. pen The price at the time of market 0. pen open High The day's highest price High 0. Low Day's lowest price Low 0. Spot Price The Spot price at the time of ED Spot Price 0. Total Qty Traded Total Volume Total Volume 5 Total Value Traded in 000's Value of Total trades in 000's Turnover * Multiplier I 000 Lifetime High Life Time High Value of the 0. Lifetime High Instrument Lifetime Low Life Time Low Value of the 0. Lifetime Low Instrument Quote Unit Instrument Price Quote lns.price Quote 0 Settlement Price Closing Price Closing Price 0. Number of Trades Total number of trades Total Trades 0 Average Traded 0. Average traded Price VWAP Price 5.4 3

4 Trades File Filename: Trades_DDMMYYYY.CSV Field Name Field Type Remarks Internal Field Length Trade ID The ID of the trade Trade Status - riginal - Modified 0 - Commodity Instrument Type -Future 3 - Calendar Spread 4- Auction Buy In 5- Auction Sell out Unique Identifier Unique identifier for the 0 commodity or contract Contract Code Unique name of the contract defined by Exchange Commodity Asset Name of the commodity Commodity Group Name of the commodity group Expiry DDMMYYYY (eg: ) 8 Book Type - RL Always stamped Book Type Name "RL" Always stamped Market Type - Normal Always stamped User ID The ID of the trader Buy/Sell Indicator - Buy - Sell Trade Quantity Quantity of the Trade 0 Price Price at which the trade was 0. executed Pro/Client If Account="WN" - Client then field is - Pro therwise, field is Account (i.e. - Client This is actually the Client Code. Code) Participant Settler Clearing Member ID 5 Trading Member ID Trading Member ID 5 Trade Time Time YYYYMMDD-HH:MM:SS.MS 9 (Mili Seconds) Last Modified Time Time YYYYMMDD-HH:MM:SS.MS 9 Transact Time (Mili Seconds) rder ID rder ID User Remarks This will be taken from the TWS, 0 order entry window. 4

5 Position File Filename: Positions_<TM ID>_DDMMYYYY.CSV Field Name Field Size Remarks Length Position Format DDMMMYYYY The obligation date for which position file is generated. e.g. 3DEC009 Clearing Member Code Clearing Member ID 5 Trading Member Code Trading Member ID In-case of accepted CP trades, this will contain CP code Client Code X(8) [(8)] End Client Code Instrument Type 0 Commodity, Future, 3 Calendar Spread, 4 Auction Buy In, 5 Auction Sell out Unique Identifier Unique identifier for the commodity or contract 0 Contract Code Unique name of the contract defined by Exchange Commodity Asset Name of the commodity Expiry DDMMYYYY (eg: 5APR009) 9 Brought Forward Long Quantity Brought Forward Long Value Brought Forward Short Quantity Brought Forward Short Value Brought Forward Net Buy Quantity. In case of Net Sell Position this will be 0 (Zero). Brought Forward Buy Value, This will be calculated on the basis of Previous Close Price. In case of Net Sell Position this will be 0 (Zero). Brought Forward Net Sell Quantity. In case of Net Buy Position this will be 0 (Zero). Brought Forward Net Sell Value. This will be calculated on the basis of Previous Close Price. In case of Net Buy Position this will be 0 (Zero). Day Buy Quantity Total Quantity purchased today 0 Day Buy Value Value of purchased quantity. This will be calculated at the Traded Price Day Sell Quantity Total Quantity sold today 0 Day Sell Value Value of sold quantity, This will be calculated at the Traded Price. Settlement Price In case of future contracts, which have not yet expired, the contract settlement price is provided by the Exchange. This price is used for the daily MTM settlement of future contracts. Daily MTM Value Settlement In case of Future Contracts, which have not yet expired, the MTM Profit/Loss value is provided

6 Margin file Filename: Margin_<Trading Member>_DDMMYYYY.CSV Field Name Field Type Remarks Internal Field Length In DDMMYYYY form 8 Clearing Member Clearing Member Code 5 Trading Member Trading Member Code 5 Will have "P" if the client code is Account Type (Client "WN". Will have "C" if the client Code) code is not "WN" Client Code Actual Client Code Initial Margin The cumulative Initial Margin for the. Client Spread Benefit The cumulative Spread Benefit for. the Client Regulatory Margin The cumulative Regulatory Margin. for the Client Additional Margin The cumulative Additional Margin. for the Client Long Margin The cumulative Long Margin for the. Client Short Margin The cumulative Short Margin for the. Client The tender margin for the client (will. Tender Margin be 0 until tender margin is supported by the system) The delivery margin for the client. Delivery Margin (will be 0 until delivery margin is supported by the system) Total Margin The total margin for the client (sum. of all margins - spread benefit) 6

7 Header record of the file (record type = 0) UCC File Field Length Type Values Conditions/ Validations Record Type N M 0 DD.MM.YYYY M of file generation Total records N0 M Total number of records in this file Firm Id X4 M Member Code Detail record of the file (record type = ) Field Length Type Values Conditions/Validations Record Type N M Client Code X8 M E.g. AADC PAN ID X0 M E.g. ABCPA34Q Category X M - Individual (0) - Mutual Fund (06) - Body corporate (3) - Non tax paying entity ( 4) - thers ( 99) If not available in the system defined client types, Category is set as thers (99). Gender X M Values should be M, F or N Title X0 Initials X0 Surname X50 M Client name Name X60 M Name as per IT (PAN Data base) f Birth/ DD.MM.YYYY Incorporation Nationality X - IN If not empty, it should be according to the standard country codes defined in the system. Country f Residence X - IN If not empty, it should be according to the standard country codes defined in the system. Agreement DD.MM.YYYY Disposal Type X Default C Disposal X80 Instructions Remarks X80 Address Type X0 M -DEFAULT -BILLING -HME -H. -REGD. FF. -BRANCH FF -CRP. FF Should be available in the system defined address types. 7

8 Address X M Address X Address3 X Town X0 M County X0 State X0 M Post Code X5 Country Code X M - IN It should be according to the standard country codes defined in the system. Telephone X0 Mobile X0 M Number Fax X0 E_Mail X00 M Bank Code X0 If bank details are available, then Bank code, Branch code and Bank account no, (all three fields) should not be empty. Branch Code X5 If bank details are available, then Bank code, Branch code and Bank account no, (all three fields) should not be empty. Bank Account No X0 If bank details are available, then Bank code, Branch code and Bank account no, (all three fields) should not be empty. Currency code X3 Default INR Driving License Number Driving License - Place of issue Driving License - of issue Driving License - of expiry X If driving license number is available, then Place of issue and of issue should not be empty. X DD.MM.YYYY DD.MM.YYYY Voter ID X If Voter ID is available, then Place of issue and 8

9 of issue should not be empty. Voter ID -Place of issue Voter ID - of issue Voter ID - of expiry Ratio Card Number Ratio Card - Place of issue Ratio Card - of issue Passport Number Passport - Place of Issue Passport - of Issue Passport of Expiry Registering Authority Registration No Place of Registration of Registration Introducer s Name Introducer s Client ID Relationship with the introducer Relationship code X DD.MM.YYYY DD.MM.YYYY X If Ratio Card Number is available, then Place of issue and of issue should not be empty. X DD.MM.YYYY X If Passport Number is available, then Place of issue and of issue should not be empty. X DD.MM.YYYY DD.MM.YYYY X If registration details are available, this field should not be empty X X DD.MM.YYYY X00 If Introducer details are available, then Introducer s Name and Dealing with other Member fields should not be empty. X0 X the relationship of the client with the introducer X ption to identify the parties related within a member Dealing with other X Y or N 9

10 Member Depository Name Depository Participant ID X If Depository details are available, then Depository Name, Depository Participant ID, Participant Name And Beneficiary Account ID fields should not be empty. X Depository Participant Name X Beneficiary Account ID X M Put any value e.g: a z or - Note: All the fields marked as mandatory should not be blank. If such field is found blank, that record will be rejected. Record Layouts. Format: N X String DD.MM.YYYY date format. Field Types: M - Mandatory - ptional 0

11 Contract/Commodity Master Filename: Contract_Master_DDMMYYYY.csv Field Name Field Type Remarks Internal Field Instrument Type Unique Identifier Contract Code Commodity Asset Commodity Group Expiry Base Price Contract Description Quotation Unit Trading Lot 0 - Commodity - Future 3 - Calendar Spread 4 -Auction Buy In 5 - Auction Sell out Unique identifier for the commodity or contract Unique name of the contract defined by Exchange Name of the commodity Ins.Internal Instrument Type lns.lnstrument ID lns.symbol Name of the commodity group Ins.Product Defines the expiration date of the contract DDMMYYYY (eg: ) Base price applied on first trading date of contract Description of Commodity R Contract as given by Exchange Quantity for which quote is provided The lot size in which trading is carried out Ins.Underlying Display Name lns.expiry lns.reference Price Ins.Information lns.price Quote lns.trading Lot Max Length Trading Unit Auction Series The trading unit used for the trading lot The series being auctioned - this will be a futures instrument in the system lns.trading Unit lns.auction Series Price Tick Near Month Contract Far Month Contract Contract Start Contract End The value by which the bid/offer should increase/decrease Unique identifier of near month contract for spread Unique identifier of far month contract for spread Ins.First Trading YYYY/MM/DD Ins.Last Trading YYYY/MM/DD Ins.Trading Param.Tick Structure -7 first tick entry lns.leg lns.leg

12 Tender Start Tender End Delivery Start Delivery End Initial Margin Type Initial Margin The date from which tender margin starts getting calculated YYYY/MM/DD Generally its goes till expiration of the contract and tender margin calculation ends with the expiration of the contract. YYYY/MM/DD The start date on which the actual delivery begins. YYYY/MM/DD The last date on which the actual delivery ends YYYY/MM/DD - Percentage - Flat value This field will have the Absolute Value. Applicable if Initial Margin type is Absolute Ins.Initial Margin Com Method Initial Margin abs value Double Initial Margin % The percentage used to calculate initial margin. Initial Margin % Double CS Benefit CS Benefit% Indicates whether the Calender Spread Benefit is enabled or disabled. 0- Disabled - Enabled Indicates the applicable calender spread benefit percentage CS benefit CS benefit% Double Delivery Margin Delivery Margin % Regulatory Margin Method Regulatory MarQin Enabled Regulatory Margin 0- Disabled - Enabled The maximum delivery margin percentage for a given schedule - Percentage - Flat value 0- Disabled - Enabled Indicates whether the special margin is enabled or disabled. By default this will be disabled Delivery Margin Delivery Parameter.Total Margin% Reg Margin Com Method Reg Margin Reg Margin abs value 5 5 Regulatory Margin% The percentage to be applied when the special margin is computed. Reg Margin% Add Margin Method Additional Margin Enabled - Percentage - Flat value 0- Disabled - Enabled Add Margin Com Method Add Margin

13 Additional Margin This field will have the Absolute Value. Applicable if Add Margin method is Absolute Add Margin abs value Additional Margin % The percentage to be applied when the special margin is computed. Add Margin% Long Margin Method Long Margin Enabled Long Margin - Percentage - Flat value 0- Disabled - Enabled This field will have the Absolute Value. Applicable if Long Margin method is Absolute Long Margin Com Method Long Margin Long Margin abs value Long Margin % The percentage to be applied when the long margin is computed. Long Margin % Short Margin Method Short Margin Enabled Short Margin - Percentage - Flat value 0- Disabled - Enabled This field will have the Absolute Value. Applicable if Short Margin method is Absolute Short Margin Com Method Short Margin Short Margin abs value Short Margin % The percentage to be applied when the short margin is computed. Short Margin % Limit for All Client Member Level Limit Limit for nly All Client Limit for nly All wn Limit per Client Account Limit per wn Account Status Multiplier Member Level Limit Member Level Limit Client Level Limit Client Level Limit Instrument Status i.e. whether its in Trading or Suspended. 0 -Trading Allowed - Suspended The multiplier of the underlying asset Status Multiplier Double Double Double Double Double 5 0 3

14 Margin File Reporting Trading Member Filename: ConsolidatedMargin_DDMMYYYY.csv Report Header Data Type Length Description of Trading. DDMMYYYY Clearing Member acters 0 Clearing Member Code Trading Member acters 0 Trading Member Code Client Code acters 0 Client code as asssociated with the trading member Initial Margin 5, ther Margin 5, MTM 5, MTM of the client. Reserved NA Reserved Field Reserved NA Reserved Field Cumulative Initial Margin for the client considering Initial Margin + Extreme Loss Margin - Spread Benefit Cumulative ther Margin for the client considering (Regulatory Margin + Additional Margin + Long Margin + Short Margin + Tender Margin + Delivery Margin) Initial Margin Collected 5, Initial Margin collected amount. ther Margin Collected 5, ther Margin collected amount. MTM Collected 5, MTM collected amount. 4

15 Margin Collected File Trading Member Filename: ConsolidatedMargin_DDMMYYYY.csv Report Header Data Type Length Description Trading of trading. DDMMYYYY CM Code acters 0 Clearing Member Code TM Code acters 0 Trading Member Code Client Code acters 0 Client code as asssociated with the trading member Initial Margin 5, ther Margin 5, MTM 5, MTM of the client. Reserved NA Reserved Field Reserved NA Reserved Field Cumulative Initial Margin for the client considering (Initial Margin + Extreme Loss Margin - Spread Benefit) Cumulative ther Margin for the client considering (Regulatory Margin + Additional Margin + Long Margin + Short Margin + Tender Margin + Delivery Margin) Initial Margin Collected 5, Initial Margin collected amount. ther Margin Collected 5, ther Margin collected amount. MTM Collected 5, MTM collected amount. Note: Member has to upload this file after considering the collected amount. 5

16 Margin Penalty File Trading Member Filename: MRGPNLTYPI_YYYYMM.csv Report Header Data Type Length Description 0 of trading. DD-MMM-YYYY Clearing Member acters 0 Clearing Member Code. Trading Member acters 0 Trading Member Code. Initial Margin Penalty 5, ther Margin Penalty 5, Penalty on Initial Margin short collection as computed by Exchange. Penalty on ther Margin short collection as computed by Exchange. MTM Margin Penalty 5, Penalty on MTM short collection as computed by Exchange. Total 5, Total Penalty amount. 6

17 Consolidated Margin Penalty File CM Filename: MRGPNLTYPI_CN.csv Report Header Data Type Length Description Clearing Member acters 0 Clearing Member Code. Trading Member acters 0 Trading Member Code. Initial Margin Penalty 5, ther Margin Penalty 5, MTM Margin Penalty 5, Total 5, Total Penalty amount. Penalty on Initial Margin short collection as computed by Exchange. Penalty on ther Margin short collection as computed by Exchange. Penalty on MTM short collection as computed by Exchange. 7

Indian Commodity Exchange Limited File Formats Version 1.1

Indian Commodity Exchange Limited File Formats Table of Contents Market Statistics Filename: MarketStats_DDMMYYYY.csv Field Name Field Type Remarks Internal Field Length DDMMYYYY 8 Market Type NRMAL Always