LME Clear Data File Specification

Transcription

1 LME Clear Data File Specification Please respond to: LME CLEAR LIMITED 10 Finsbury Square, London EC2A 1AJ Tel +44 (0) A private limited company. Registered in England no Registered office as above. LME.COM/CLEAR

2 LME Clear Data File Specification Version Table of Contents 1 Table of Contents 2 1 Introduction 5 2 Data File Overview Data Sources Summary 5 File Naming Convention 6 CSV Files 6 File Location & Folder Structure 6 File Retrieval 7 Data Integrity 7 File Retention 7 Static Data 7 Market Wide Data 8 Member Data 8 Exchange Data 9 Common Enumerated Fields 10 3 LMEprecious Data Files LMEprecious Member Specific Data Files 17 LMEprecious Market and Static Data Files 18 LMEprecious Decimal Places 18 4 Static Data Currencies 20 Underlying 21 Contract Types 22 Sub Contract Types 24 Contracts 25 Instruments 27 Member List 30 Page 2

3 Schedule 31 Market Datasets 32 Fee Rules 34 5 Market Wide Data SPAN File 36 Settlement and Mean Prices 36 Settlement Prices 38 Closing Prices 40 Futures Closing Prices 42 Notional Average Prices 43 Traded Average Price Option Prices 44 Traded Option Prices 46 Exchange Rates 47 Interest Rates 48 Open Interest 49 Traded Option Auto Exercise Gradations 50 6 Member Data Trades 52 Open Positions 55 Gross Omnibus Open Positions 58 Invoice & Account Sales 60 Financial Daily Activity 62 Financial Daily Pending Activity 63 Financial Summary 65 Non Cash Collateral Balances 67 Cover Distribution 68 Non Cash Collateral Daily Activity 70 Summary Margins 71 Gross Omnibus Summary Margins 73 Page 3

4 Variation Margins 75 Additional Margins 76 Member Default Fund 77 Auto Exercised Options 78 Delivery Commitments 79 Option Expiries 80 Gross Omnibus Option Expiries 83 Japanese Yen Advice Listing 85 Trade Fees 86 Collateral Fees 89 Accounts 91 SPAN Margin Details 92 Compression Report 93 Non Cash Warrant Collateral Daily Activity Data File 94 Warrant Holdings File 95 Close Out File 96 7 Reporting of Unallocated House Account Data Display of Unallocated House Accounts in the Data Files 97 Trades for Unallocated House Accounts 97 Open Positions for Unallocated House Accounts 97 Page 4

5 1 Introduction This document describes the content of the XML and CSV data files that are published by the LME Clear system. They comprise Static data, Market Wide data, Member data and Exchange data. Members and Independent Software Vendors can use the data files to feed their own systems with market data, update static, and reconcile with LME Clear. Data Type Comment Availability Static Basic LME Clear static data to allow subscribing systems to automate updates and/or reconciliations with their own data. From system start up, approximately 01:00. Market Wide Market wide data. As soon as it s obtained or derived by LME Clear. Member Member specific data. As soon as it s obtained or derived by LME Clear. 2 Data File Overview This section provides a list of the XML and CSV data files available from LME Clear. 2.1 Data Sources Summary Dataset Category FIX CSV/XML Comment Trades Native support in FIX. Yes (will be one of the 'Member Data' sets below, so notification will be issued on FIX). Positions Native support in FIX. Yes (will be one of the 'Member Data sets below, so notification will be issued on FIX). No requirement to supply XML over FIX as already supported by FIX. No requirement to supply XML over FIX as already supported by FIX. Market Data Support in FIX as embedded XML. Yes Market Prices (SET/CLO), Open Interest (OPI) and Auto Exercise gradations (AEG) not available over FIX. Static Data Data Availability Notification only. Yes Member Data Data Availability Notification only. Yes Some content overlap with Member Reports. Member Reports Report Availability Notification only. No Some content overlap with Member Data. Exchange Data Data Availability Notification only. Yes Page 5

6 2.2 File Naming Convention Date & _ & Time & _ & [Member Mnemonic & _ &] Data Code Date in format YYYYMMDD. Time in format HHMMSS. The member mnemonic is not supplied on market wide, static or exchange only data. An example revised Member List (see section below): _213019_MEM.xml _213019_MEM.csv An example member Open Positions report: _214558_ABC_OPP.xml _214558_ABC_OPP.csv The Data Codes are detailed in the following sections. 2.3 CSV Files The CSV (Comma Separated Values) versions of the files include column headers matching the tag names defined for the XML equivalent. Where an XML specification includes a variable number of repeating fields, these are represented in the CSV equivalents as additional records, see associated examples. Where a field includes a comma character, the text is enclosed in double quotes, e.g , This string includes a, character, Where a text field includes a double quote character, two double quote characters are used, e.g: ,Member ABC is type Ring, Is represented as: , Member ABC is type Ring, File Location & Folder Structure For member specific data and reports, the structure is: /<root>/<member mnemonic>/<business date>/standard/<sub folder> sub folder is one of: data reports business date is the logical date of the system report run. Data or reports generated by user subscriptions requested via the GUI will be placed in a similar structure except under subscription rather than standard : Page 6

7 /<root>/<member mnemonic>/<business date>/subscription/<sub folder> For general data, i.e. static and market data, the structure is: /<root>/common/<business date>/<sub folder> sub folder is one of: market static For exchange specific data, the structure is: /<root>/<exchange>/<business date>/standard/<sub folder> sub folder is one of: market static Data or reports generated by user subscriptions requested via the GUI will be placed in a similar structure except under subscription rather than standard : /<root>/<exchange>/<business date>/subscription/<sub folder> 2.5 File Retrieval The files described in this document can be retrieved by the subscriber by polling the appropriate folder, as defined in the previous section. A more accurate and efficient method is to wait for the corresponding News broadcast message on the FIX API. Refer to the LME Clear FIX Specification. If a file is requested intraday and before its corresponding News message has been issued, the content could be unreliable and/or incomplete. 2.6 Data Integrity Each data file made available will have an accompanying MD5 hash file (filename.md5). This can be used to check the integrity of the data file. 2.7 File Retention At least two months worth of back data and reports will be available to the subscriber. 2.8 Static Data Code CUR UND Name Currencies Underlying Page 7

8 Code CNT SCT CON INS MEM SCH MDT FRP Name Contract Types Sub Contract Types Contracts Instruments Member List Schedule Market Data Types Fee Rules 2.9 Market Wide Data Code SPF SMP SET CLO FCP NAP TCP ACP EXR INR OPI AEG Name SPAN File Settlement and Mean Prices Settlement Market Prices Closing Prices Futures Closing Prices Notional Average Prices Traded Option Prices Traded Average Price Option Prices Exchange Rates Interest Rates Open Interest Traded Option Auto Exercise Gradations 2.10 Member Data Code TRD TRU OPP GPP Name Trades Trades on Unallocated House Account Open Positions Gross Omnibus Open Positions Page 8

9 Code OUP IAS FDA FPA FSM CLB COD CDA SMG GSM VMG AMG MDF AEO DCM EXP GXP YAL FEE MFE CFE MCF ACC WDA IWH COM Name Open Positions on Unallocated House Account Invoice & Account Sales Financial Daily Activity Financial Daily Pending Activity Financial Summary Non Cash Collateral Balances Cover Distribution Non Cash Collateral Daily Activity Summary Margins Gross Omnibus Summary Margins Variation Margins Additional Margins Member Default Fund Auto Exercised Options Delivery Commitments Option Expiries Gross Omnibus Option Expiries Japanese Yen Advice Fees Monthly Fees Collateral Fees Monthly Collateral Fees Accounts Non Cash Warrant Collateral Daily Activity Warrant Holdings Compression 2.11 Exchange Data Code TRD Name Trades Page 9

10 Code OPP FEE MFE ACC Name Open Positions Fees Monthly Fees Accounts 2.12 Common Enumerated Fields The enumerations in this section are those expected to be in place in production ACCOUNT_TYPE Value HOUSE OMNIBUS DIRECT CLIENT OMNIBUS INDIRECT CLIENT INDIVIDUAL SEGREGATED DIRECT CLIENT INDIVIDUAL SEGREGATED INDIRECT CLIENT DEFAULT FUND UNALLOCATED HOUSE ACCOUNT UNALLOCATED CLIENT ACCOUNT GROSS OMNIBUS DIRECT CLIENT GROSS OMNIBUS INDIRECT CLIENT CHARGE_MODEL Value BASIS_POINT FIXED_RATE PER_LOT Description The basis point of a value, e.g. (0,75 * value)/365 = daily fee. A fixed rate/event, e.g. 8 USD/collateral transaction. The total value is calculated by multiplying the fee rate with the number of lots CLEARING_CATEGORY Value GCM Description General Clearing Member Page 10

11 Value ICM Description Individual Clearing Member COLLATERAL_GROUPS Value GOLD CASH BOND WARRANT Description Gold collateral Cash collateral Bond collateral Warrant collateral CONTRACT Value AAD AAE AAS AAY AED AGD AHD AHE AHS AHY AND ASD AWD AUD CAD CAE CAS CAY COD Description Aluminium Alloy Dollar Aluminium Alloy Euro Aluminium Alloy Sterling Aluminium Alloy Yen Premium Aluminium (East) Dollar Silver Dollar Aluminium High Grade Dollar Aluminium High Grade Euro Aluminium High Grade Sterling Aluminium High Grade Yen Premium Aluminium (North) Dollar Premium Aluminium (South) Dollar Premium Aluminium (West) Dollar Gold Dollar Copper Dollar Copper Euro Copper Sterling Copper Yen Cobolt Dollar Page 11

12 Value COE COS COY FMD MAD MCD MOD MOE MOS MOY MXD MZD NAD NAE NAS NAY NID NIE NIS NIY OAD OCD OLD OMD OND OPD OSD OZD PBD PBE Description Cobolt Euro Cobolt Sterling Cobolt Yen Steel Billet Dollar Mini Aluminium High Grade Dollar Mini Copper Dollar Molybdenum Dollar Molybdenum Euro Molybdenum Sterling Molybdenum Yen Index Future Dollar Mini Zinc Dollar NASAAC Dollar NASAAC Euro NASAAC Sterling NASAAC Yen Nickel Dollar Nickel Euro Nickel Sterling Nickel Yen Aluminium High Grade Swap Dollar Copper Swap Dollar Aluminium Alloy Swap Dollar NASAAC Swap Dollar Nickel Swap Dollar Lead Swap Dollar Tin Swap Dollar Zinc Swap Dollar Lead Dollar Lead Euro Page 12

13 Value PBS PBY SCD SND SNE SNS SNY ZSD SRD ZSE ZSS ZSY Description Lead Sterling Lead Yen Steel Scrap Dollar Tin Dollar Tin Euro Tin Sterling Tin Yen Zinc Dollar Steel Rebar Dollar Zinc Euro Zinc Sterling Zinc Yen CONTRACT_TYPE Value LMEForward LMEOption LMETAPO LMEIndexFuture LMEIndexOption LMEFuture LMESwap LMEPreciousFuture Description Metal Forward Metal Traded Option Metal Traded Average Price Option LME Index Future LME Index Option LME Mini LME Swap LME Precious Future CONTRACT_UNIT Value TN OZ Description Metric tonne. Troy ounce. Page 13

14 CURRENCY Value USD GBP JPY EUR CNH PAI Description US Dollar Pound Sterling Japanese Yen Euro Renminbi Price Alignment Interest This only appears in the INR (Interest Rates) file. Refer to section FEE_TYPE Value EXCHANGE_FEE CLEARING_FEE DELIVERY_FEE Description Fee levied by the exchange. Fee levied by the clearing house. Delivery fee FEE_SUB_TYPE Value DATA_CAPTURE REGISTRATION Description Type of exchange fee. Type of exchange fee. LME_LEVY_RING_MEMBER LME_ASSOCIATE_MEMBER LME_MEMBER_CATEGORY Value ASSOCIATE_BROKER ASSOCIATE_BROKER_CLEARING ASSOCIATE_TRADE ASSOCIATE_TRADE_CLEARING HONORARY INDIVIDUAL Description Members that may issue LME contracts but are not members of the clearing house. Members that have all the privileges of Ring dealing members except they may not trade in the Ring. Members that have no trading rights except as clients. Members that can trade and clear their own business but can t issue client contracts or trade in the Ring. Reserved for honorary members. Reserved for individual members. Page 14

15 Value RING_DEALING Description Members that are entitled to trade in the Ring, LMEselect and the telephone market PRICE_TYPE Value FS MA MS M3 FC NA TC AC MC Description Futures Settlement Moving Average Mean Settlement Mean 3 Month Futures Closing Notional Average Traded Option TAPO Mean Cash PROVIDER_NAME Value LME LME_CLEAR Description Fee beneficiary. Fee beneficiary SUB_CONTRACT_TYPE Value C P Description Call Put TRANSACTION_TYPE (FEE) Value TRADE COLLATERAL_ACCOMMODATION COLLATERAL_TRANSACTION COLLATERAL_INTEREST_POSITION Description Fee related to one side of a matched trade. Fee for holding a non-cash (bond) and gold collateral. Fee for transaction events on a collateral account. The interest for a cash collateral. Based on cash position. Page 15

16 UNDERLYING Value AA AE AG AN AS AW AH AU CA CO FM MO MX NA NI PB SC SN SR ZS Description Aluminium Alloy Premium Aluminium (East) Silver Premium Aluminium (North) Premium Aluminium (South) Premium Aluminium (West) Aluminium High Grade Gold Copper A Grade Cobalt Steel Billet Molybdenum LMEX North American Special Aluminium Alloy Primary Nickel Lead Steel Scrap Tin Steel Rebar Special High Grade Zinc TRADE_COMPRESSION Value AddedByCompression CancelledByCompression Description Indicates that the supplied trade record was a compression generated trade. Indicates that the supplied trade record was cancelled by trade compression. Page 16

17 3 LMEprecious Data Files This section lists the details of LMEprecious specific data files. 3.1 LMEprecious Member Specific Data Files From the full list of member specific data files covered in this specification, the following data files are available for LMEprecious members: Report Name Accounts Filename YYYYMMDD_hhmmss_XXX_ACC Additional Margins YYYYMMDD_hhmmss_XXX_AMG Collateral Activity YYYYMMDD_hhmmss_XXX_CLS Collateral Fees (Daily) YYYYMMDD_hhmmss_XXX_CDA Collateral Fees (Monthly) YYYYMMDD_hhmmss_XXX_CFE Cover Distribution YYYYMMDD_hhmmss_XXX_MCF Close Outs YYYYMMDD_hhmmss_XXX_COD Delivery Commitments YYYYMMDD_hhmmss_XXX_DCM Financial Daily Activity YYYYMMDD_hhmmss_XXX_FDA Financial Pending Daily Activity YYYYMMDD_hhmmss_XXX_FPA Financial Summary YYYYMMDD_hhmmss_XXX_FSM Invoice & Account Sales YYYYMMDD_hhmmss_XXX_IAS Member Default Fund YYYYMMDD_hhmmss_XXX_MDF Non Cash Collateral Balances YYYYMMDD_hhmmss_XXX_CLB Open Positions YYYYMMDD_hhmmss_XXX_OPP Gross Omnibus Open Positions YYYYMMDD_hhmmss_XXX_GPP Open Positions on Unallocated House Account YYYYMMDD_hhmmss_XXX_OUP Span Detail Report YYYYMMDD_hhmmss_XXX_SMD Summary margins YYYYMMDD_hhmmss_XXX_SMG Gross Omnibus Summary Margins YYYYMMDD_hhmmss_XXX_GSM Page 17

18 Report Name Trades Filename YYYYMMDD_hhmmss_XXX_TRD Trades on Unallocated House Account YYYYMMDD_hhmmss_XXX_TRU Trade Fees (Daily) YYYYMMDD_hhmmss_XXX_FEE Trade Fees (Monthly) YYYYMMDD_hhmmss_XXX_MFE Variation Margins YYYYMMDD_hhmmss_XXX_VMG 3.2 LMEprecious Market and Static Data Files From the full list of market and static data files covered in this specification, the table below lists the data files are available to LMEprecious Members: 1. A version containing only LMEprecious data. The filename will be suffixed with _P. For example the closing prices file will be labelled YYYYMMDD_hhmmss_CLO_P.csv. 2. A combined version containing both Base and LMEprecious data. The filename will be suffixed with _C. For example the closing prices file will be labelled YYYYMMDD_hhmmss_CLO_C.csv. 3. The new data files will be available in the same folders as the Base versions. File Name LMEprecious Filename Combined Filename Closing Prices YYYYMMDD_hhmmss_CLO_P YYYYMMDD_hhmmss_CLO_C Contract Types YYYYMMDD_hhmmss_CNT_P N/A Contracts YYYYMMDD_hhmmss_CON_P N/A Futures Closing Prices YYYYMMDD_hhmmss_FCP_P N/A Instruments YYYYMMDD_hhmmss_INS_P YYYYMMDD_hhmmss_INS_C Member List YYYYMMDD_hhmmss_MEM_P YYYYMMDD_hhmmss_MEM_C Open Interest YYYYMMDD_hhmmss_OPI_P N/A Settlement and Mean Prices YYYYMMDD_hhmmss_SMP_P N/A Underlying YYYYMMDD_hhmmss_UND_P N/A 3.3 LMEprecious Decimal Places The pricing of Gold and Silver will be as defined as below within the data files: Page 18

19 Trade Price: Gold prices will be quoted in USD to 3 decimal places Silver prices will be quoted in USD to 5 decimal places Closing Price: Gold prices will be quoted in USD to 1 decimal place Silver prices will be quoted in USD to 3 decimal places Page 19

20 4 Static Data The Static Data files are available to all LME Clear subscribers and approved ISVs. 4.1 Currencies Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. ISO_CODE Yes String Standard ISO currency code, e.g. GBP. NAME Yes String Description of currency. DAY_COUNT_CONVENTION Yes Integer Day count convention in interest rate calculations. EFFECTIVE_DATE No YYYYMMDD Defined if first trading date is known. Needed as forward instruments may already be tradable and include the currency. So instrument static should cross reference with this Example XML Output <?xml version= 1.0?> <REPORT> <IDENTIFICATION REPORT_CODE= CUR REPORT_NAME= Currencies /> <DATA> <ISO_CODE>USD</ISO_CODE> <NAME>US Dollars</NAME> <DAY_COUNT_CONVENTION>360</DAY_COUNT_CONVENTION> <ISO_CODE>GBP</ISO_CODE> <NAME>Pounds Sterling</NAME> <DAY_COUNT_CONVENTION>365</DAY_COUNT_CONVENTION> <ISO_CODE>CAD</ISO_CODE> <NAME>Canadian Dollars</NAME> <DAY_COUNT_CONVENTION>360</DAY_COUNT_CONVENTION> <EFFECTIVE_DATE> </EFFECTIVE_DATE>..etc.. </DATA> </REPORT> Page 20

21 4.1.3 Example CSV Equivalent REPORT_DATE,ISO_CODE,NAME,DAY_COUNT_CONVENTION,EFFECTIVE_DATE ,USD,US Dollars,360, ,GBP,Pounds Sterling,365, ,CAD,Canadian Dollars,360, Underlying Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. SYMBOL Yes String Underlying product, not currency specific. DESCRIPTION Yes String Description of underlying. EFFECTIVE_DATE No YYYYMMDD Defined if first trading date is known. Needed as forward instruments may already be tradable and include the currency. So instrument static should cross reference with this Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= UND REPORT_NAME= Underlyings /> <DATA> <SYMBOL>AH</SYMBOL> <DESCRIPTION>Aluminium High Grade</DESCRIPTION> <SYMBOL>MO</SYMBOL> <DESCRIPTION>Molybdenum</DESCRIPTION> <EFFECTIVE_DATE> </EFFECTIVE_DATE>..etc.. </DATA> </REPORT> Precious File: <REPORT_DATE> </REPORT_DATE> <SYMBOL>AG</SYMBOL> <DESCRIPTION>SILVER</DESCRIPTION> <EFFECTIVE_DATE> </EFFECTIVE_DATE> Page 21

22 <REPORT_DATE> </REPORT_DATE> <SYMBOL>AU</SYMBOL> <DESCRIPTION>GOLD</DESCRIPTION> <EFFECTIVE_DATE> </EFFECTIVE_DATE> </DATA> </REPORT> Example CSV Equivalent Base File: REPORT_DATE,SYMBOL,DESCRIPTION,EFFECTIVE_DATE ,AH,Aluminium High Grade, ,MO,Molybdenum, Precious File: REPORT_DATE,SYMBOL,DESCRIPTION,EFFECTIVE_DATE ,AG,SILVER, ,AU,GOLD, Contract Types Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. SYMBOL Yes String Contract type. DESCRIPTION Yes String Description of contract type. SUB_CONTRACT_TYPE No String List of valid sub contract types Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= CNT REPORT_NAME= Contract Types /> <DATA> <SYMBOL>LMEForward</SYMBOL> <DESCRIPTION>Metal Forward</DESCRIPTION> <SYMBOL>LMEFuture</SYMBOL> <DESCRIPTION>LME Mini</DESCRIPTION> <SYMBOL>LMEOption</SYMBOL> <DESCRIPTION>Metal Traded Option</DESCRIPTION> Page 22

23 <SUB_CONTRACT_TYPE>C</SUB_CONTRACT_TYPE> <SYMBOL>LMEOption</SYMBOL> <DESCRIPTION>Metal Traded Option</DESCRIPTION> <SUB_CONTRACT_TYPE>P</SUB_CONTRACT_TYPE> <SYMBOL>LMETAPO</SYMBOL> <DESCRIPTION>Metal TAPO</DESCRIPTION> <SUB_CONTRACT_TYPE>C</SUB_CONTRACT_TYPE> <SYMBOL>LMETAPO</SYMBOL> <DESCRIPTION>Metal TAPO</DESCRIPTION> <SUB_CONTRACT_TYPE>P</SUB_CONTRACT_TYPE> <SYMBOL>LMESwap</SYMBOL> <DESCRIPTION>LME Swap</DESCRIPTION> </DATA> </REPORT> Precious File: <REPORT> <SYMBOL>LMEPreciousFuture</SYMBOL> <DESCRIPTION>LME Precious Future</DESCRIPTION> </DATA> </REPORT> Example CSV Equivalent Base File: REPORT_DATE,SYMBOL,DESCRIPTION,SUB_CONTRACT_TYPE ,LMEForward,Metal Forward, ,LMEFuture,LME Mini, ,LMEOption,Metal Traded Option,C ,LMEOption,Metal Traded Option,P ,LMETAPO,Metal TAPO,C ,LMETAPO,Metal TAPO,P ,LMESwap,LME Swap, Precious File: REPORT_DATE,SYMBOL,DESCRIPTION,SUB_CONTRACT_TYPE ,LMEPreciousFuture,LME Precious Future Page 23

24 4.4 Sub Contract Types Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. SYMBOL Yes String Sub contract type. DESCRIPTION Yes String Description of sub contract type Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= SCT REPORT_NAME= Sub Contract Types /> <DATA> <SYMBOL>C</SYMBOL> <DESCRIPTION>Call</DESCRIPTION> <SYMBOL>P</SYMBOL> <DESCRIPTION>Put</DESCRIPTION> </DATA> </REPORT> Example CSV Equivalent REPORT_DATE,SYMBOL,DESCRIPTION ,C,Call ,P,Put Page 24

25 4.5 Contracts Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. SYMBOL Yes String Contract symbol. UNDERLYING Yes String Underlying product symbol. CONTRACT_TYPE Yes String Contract type symbol. CONTRACT_UNIT Yes String Units of weight. CONTRACT_SIZE Yes String Contract units per lot. CURRENCY Yes String Currency symbol. PRIMARY_CURRENCY Yes String Yes or No Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= CON REPORT_NAME= Contracts /> <DATA> <SYMBOL>AHS</SYMBOL> <UNDERLYING>AH</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <CONTRACT_UNIT>TN</CONTRACT_UNIT> <CONTRACT_SIZE>25</CONTRACT_SIZE> <CURRENCY>GBP</CURRENCY> <PRIMARY_CURRENCY>YES</PRIMARY_CURRENCY> <SYMBOL>CAD</SYMBOL> <UNDERLYING>CA</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <CONTRACT_UNIT>TN</CONTRACT_UNIT> <CONTRACT_SIZE>25</CONTRACT_SIZE> <PRIMARY_CURRENCY>YES</PRIMARY_CURRENCY> <SYMBOL>CAD</SYMBOL> <UNDERLYING>CA</UNDERLYING> <CONTRACT_TYPE>LMETAPO</CONTRACT_TYPE> <CONTRACT_UNIT>TN</CONTRACT_UNIT> <CONTRACT_SIZE>25</CONTRACT_SIZE> <CURRENCY >USD</CURRENCY> <PRIMARY_CURRENCY>YES</PRIMARY_CURRENCY>..etc.. Page 25

26 </DATA> </REPORT> Precious File: <DATA> <SYMBOL>AGD</SYMBOL> <UNDERLYING>AG</UNDERLYING> <CONTRACT_TYPE>LMEFuture</CONTRACT_TYPE> <CONTRACT_UNIT>OZ</CONTRACT_UNIT> <CONTRACT_SIZE>5000</CONTRACT_SIZE> <PRIMARY_CURRENCY>YES</PRIMARY_CURRENCY> <SYMBOL>AUD</SYMBOL> <UNDERLYING>AU</UNDERLYING> <CONTRACT_TYPE>LMEFuture</CONTRACT_TYPE> <CONTRACT_UNIT>OZ</CONTRACT_UNIT> <CONTRACT_SIZE>100</CONTRACT_SIZE> <PRIMARY_CURRENCY>YES</PRIMARY_CURRENCY> Example CSV Equivalent Base File: REPORT_DATE,SYMBOL,UNDERLYING,CONTRACT_TYPE,CONTRACT_UNIT,CONTRACT_SIZE,CURRENCY,PRIMARY_ CURRENCY ,AHS,AH,LMEForward,TN,25,GBP,YES ,CAD,CA,LMEForward,TN,25,USD,YES ,CAD,CA,LMETAPO,TN,25,USD,YES Precious File: REPORT_DATE,SYMBOL,UNDERLYING,CONTRACT_TYPE,CONTRACT_UNIT,CONTRACT_SIZE,CURRENCY,PRIMARY_ CURRENCY ,AGD,AG,LMEFuture,OZ,5000,USD,YES ,AUD,AU,LMEFuture,OZ,100,USD,YES Page 26

27 4.6 Instruments Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. CONTRACT Yes String Contract symbol. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. CONTRACT_TYPE Yes String Contract type symbol. FORWARD_DATE No YYYYMMDD Prompt Date. SETTLEMENT_DATE No YYYYMMDD Settlement date. EXPIRY_DATE No YYYYMMDD Expiry date. PRODUCT_GROUP Yes String This field is only present in the combined version of the Instruments File, which will have the name INS_C. The field will not be present in the Base version (INS) or the Precious version (INS_P). Product Group. LME for Base and LPM for Precious Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= INS REPORT_NAME= Instruments /> <DATA> <CONTRACT>AHD</CONTRACT> <UNDERLYING>AH</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <CONTRACT>AHD</CONTRACT> <UNDERLYING>AH</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <CONTRACT>AHD</CONTRACT> <UNDERLYING>AH</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> Page 27

28 <CONTRACT>AHD</CONTRACT> <UNDERLYING>AH</UNDERLYING> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <CONTRACT>CAD</CONTRACT> <UNDERLYING>CA</UNDERLYING> <CONTRACT_TYPE>LMEOption</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <EXPIRY_DATE> </EXPIRY_DATE>..etc.. </DATA> </REPORT> Precious File: <REPORT_DATE> </REPORT_DATE> <CONTRACT>AUD</CONTRACT> <UNDERLYING>AU</UNDERLYING> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <SETTLEMENT_DATE> </SETTLEMENT_DATE> <EXPIRY_DATE> </EXPIRY_DATE> <REPORT_DATE> </REPORT_DATE> <CONTRACT>AUD</CONTRACT> <UNDERLYING>AU</UNDERLYING> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <SETTLEMENT_DATE> </SETTLEMENT_DATE> <EXPIRY_DATE> </EXPIRY_DATE> <REPORT_DATE> </REPORT_DATE> <CONTRACT>AGD</CONTRACT> <UNDERLYING>AG</UNDERLYING> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <SETTLEMENT_DATE> </SETTLEMENT_DATE> <EXPIRY_DATE> </EXPIRY_DATE> Combined File: <REPORT_DATE> </REPORT_DATE> <CONTRACT>AUD</CONTRACT> <UNDERLYING>AU</UNDERLYING> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <SETTLEMENT_DATE> </SETTLEMENT_DATE> <EXPIRY_DATE> </EXPIRY_DATE> Page 28

29 <PRODUCT_GROUP>LPM</PRODUCT_GROUP> <CONTRACT>CAD</CONTRACT> <UNDERLYING>CA</UNDERLYING> <CONTRACT_TYPE>LMEOption</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <EXPIRY_DATE> </EXPIRY_DATE> <PRODUCT_GROUP>LME</PRODUCT_GROUP> Example CSV Equivalent Base File: REPORT_DATE,CONTRACT,UNDERLYING,CURRENCY,CONTRACT_TYPE,FORWARD_DATE,SETTLEMENT_DATE,EXPI RY_DATE ,AHD,AH,USD,LMEForward, ,, ,AHD,AH,USD,LMEForward, ,, ,AHD,AH,USD,LMEForward, ,, ,AHD,AH,USD,LMEForward, ,, ,CAD,CA,USD,LMEOption, ,, Precious File: REPORT_DATE,CONTRACT,UNDERLYING,CURRENCY,CONTRACT_TYPE,FORWARD_DATE,SETTLEMENT_DATE,EXPI RY_DATE ,AUD,AU,USD,LMEPreciousFuture, , , ,AUD,AU,USD,LMEPreciousFuture, , , ,AGD,AG,USD,LMEPreciousFuture, , , Combined File: REPORT_DATE,CONTRACT,UNDERLYING,CURRENCY,CONTRACT_TYPE,FORWARD_DATE,SETTLEMENT_DATE,EXPI RY_DATE,PRODUCT_GROUP ,AHY,AH,JPY,LMEForward, , , ,LME ,ZSS,ZS,GBP,LMEOption, , , ,LME ,AGD,AG,USD,LMEPreciousFuture, , , ,LPM ,AGD,AG,USD,LMEPreciousFuture, , , ,LPM Page 29

30 4.7 Member List This file will also contain members currently set in RTC as disabled Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. MNEMONIC Yes String Member mnemonic. LEGAL_NAME Yes String Member s legal name. CLEARING_CATEGORY Yes String LME clearing category Example Output The base, precious and combined version will be of the following format: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= MEM REPORT_NAME= Member List /> <DATA> <MNEMONIC>ABC</MNEMONIC> <LEGAL_NAME >Allied Beecham Corporation Limited</LEGAL_NAME> <CLEARING_CATEGORY>GCM</CLEARING_CATEGORY> <MNEMONIC>DEF</MNEMONIC> <LEGAL_NAME >Dillon Edwards Futures Limited</LEGAL_NAME> <CLEARING_CATEGORY>ICM</CLEARING_CATEGORY> <MNEMONIC>RBW</MNEMONIC> <LEGAL_NAME >The Royal Bank of Wales Plc</LEGAL_NAME> <CLEARING_CATEGORY>ICM</CLEARING_CATEGORY>..etc.. </DATA> </REPORT> Example CSV Equivalent The base, precious and combined version will be of the following format: REPORT_DATE,MNEMONIC,LEGAL_NAME,CLEARING_CATEGORY ,ABC,Allied Beecham Corporation Limited,GCM ,DEF,Dillon Edwards Futures Limited,ICM ,RBW,The Royal Bank of Wales Plc,ICM Page 30

31 4.8 Schedule Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. CALENDAR Yes String The LME Clear calendar that contains the event. TIME Yes HH:MM:SS Scheduled time for business event. EVENT Yes String Business event Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= SCH REPORT_NAME= Schedule /> <DATA> <CALENDAR>LME Clear Calendar</CALENDAR> <TIME>11:15:00</TIME> <EVENT>Option Early Exercise Deadline</EVENT> <CALENDAR>LME Clear Calendar</CALENDAR> <TIME>11:40:00</TIME> <EVENT>Ring 1 Trading Start</EVENT> <CALENDAR>LME Clear Calendar</CALENDAR> <TIME>12:30:00</TIME> <EVENT>Cash Trading Deadline</EVENT>..etc.. </DATA> </REPORT> Example CSV Equivalent REPORT_DATE,CALENDAR,TIME,EVENT ,LME Clear Calendar,11:15:00,Option Early Exercise Deadline ,LME Clear Calendar,11:40:00,Ring 1 Trading Start ,LME Clear Calendar,12:30:00,Cash Trading Deadline Page 31

32 4.9 Market Datasets A Market Dataset is a high level description of a set of related market data that would typically be produced as part of a single process within LME Clear. For example, settlement prices and the mean and moving average prices are all published at the same time. The Market Datasets structure defines the names and contents of the Market Data files produced. A single Market Dataset corresponds to a single XML Market Data file as described in section Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. SYMBOL Yes String Market dataset symbol. DESCRIPTION Yes String Description of market dataset. PRICE_TYPE Yes String Symbol for the type of price in this market dataset. PRICE_TYPE_DESCRIPTION Yes String Description of price type Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= MDT REPORT_NAME= Market Dataset Mappings /> <DATA> <REPORT_DATE> </REPORT_DATE> <SYMBOL>SMP</SYMBOL> <DESCRIPTION>Base Metal Settlement and Mean Prices</DESCRIPTION> <PRICE_TYPE>FS</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>BM Futures Settlement</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>SMP</SYMBOL> <DESCRIPTION>Base Metal Settlement and Mean Prices</DESCRIPTION> <PRICE_TYPE>MA</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>BM Moving Average</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>SMP</SYMBOL> <DESCRIPTION>Base Metal Settlement and Mean Prices</DESCRIPTION> <PRICE_TYPE>MS</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Mean Settlement</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>SMP</SYMBOL> <DESCRIPTION>Base Metal Settlement and Mean Prices</DESCRIPTION> <PRICE_TYPE>M3</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Mean 3 Month</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> Page 32

33 <SYMBOL>SMP</SYMBOL> <DESCRIPTION>Base Metal Settlement and Mean Prices</DESCRIPTION> <PRICE_TYPE>MC</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Mean Cash</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>FCP</SYMBOL> <DESCRIPTION>Futures Closing Prices</DESCRIPTION> <PRICE_TYPE>FC</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Futures Closing</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>FCP_P</SYMBOL> <DESCRIPTION>Futures Closing Prices - Precious</DESCRIPTION> <PRICE_TYPE>FC</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Futures Closing</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>ABP</SYMBOL> <DESCRIPTION>Asian Benchmark Prices</DESCRIPTION> <PRICE_TYPE>AB</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Asian Benchmark</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>NAP</SYMBOL> <DESCRIPTION>Notional Average Prices</DESCRIPTION> <PRICE_TYPE>NA</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Notional Average</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>NAP</SYMBOL> <DESCRIPTION>Notional Average Prices</DESCRIPTION> <PRICE_TYPE>NA</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Notional Average</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>ACP</SYMBOL> <DESCRIPTION>Traded Average Price Option Prices</DESCRIPTION> <PRICE_TYPE>AC</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION> TAPO</PRICE_TYPE_DESCRIPTION> <REPORT_DATE> </REPORT_DATE> <SYMBOL>TCP</SYMBOL> <DESCRIPTION>Traded Option Prices</DESCRIPTION> <PRICE_TYPE>TC</PRICE_TYPE> <PRICE_TYPE_DESCRIPTION>Traded Option</PRICE_TYPE_DESCRIPTION> </DATA> </REPORT> Example CSV Equivalent REPORT_DATE,SYMBOL,DESCRIPTION,PRICE_TYPE,PRICE_TYPE_DESCRIPTION ,SMP,Base Metal Settlement and Mean Prices,FS,BM Futures Settlement ,SMP,Base Metal Settlement and Mean Prices,MA,BM Moving Average ,SMP,Base Metal Settlement and Mean Prices,MS,Mean Settlement ,SMP,Base Metal Settlement and Mean Prices,M3,Mean 3 Month ,SMP,Base Metal Settlement and Mean Prices,MC,Mean Cash Page 33

34 ,FCP,Futures Closing Prices,FC,Futures Closing ,FCP_P,Futures Closing Prices - Precious,FC,Futures Closing ,ABP,Asian Benchmark Prices,AB,Asian Benchmark ,NAP,Notional Average Prices,NA,Notional Average ,ACP,Traded Average Price Option Prices,AC,TAPO ,TCP,Traded Options Prices,TC,Traded Option 4.10 Fee Rules Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. RULE_ID Yes Integer Identifier for the rule leading up to this fee. RULE_NAME Yes String The name of the rule. FEE_NAME Yes String The name of the fee, e.g. LME Levy. DESCRIPTION No String Description of the rule. PROVIDER_NAME Yes String The beneficiary of the fee. TRANSACTION_TYPE Yes String Fee transaction type. FEE_TYPE Yes String Fee type. FEE_SUB_TYPE Yes String Sub type of the fee. CHARGE_MODEL Yes String Charge model, e.g. PER_LOT. CURRENCY Yes String Currency symbol. FEE_RATE Yes Float Rate to charge for the fee. LME_MEMBER_CATEGORIES No Section for each applicable LME_MEMBER_CATEGORY. LME_MEMBER_CATEGORY No String Member category. CONTRACT_TYPE No String Contract type symbol, e.g. LMEForward. CARRY_TYPE No String Carry type NON_CARRY CARRY SHORT_CARRY VENUE No String Venue of execution INTER-OFFICE RING SELECT BASIS_RING ACCOUNT_TYPES No Section for each applicable ACCOUNT_TYPE. ACCOUNT_TYPE No String Page 34

35 VALID_FROM Yes YYYYMMDD VALID_TO No YYYYMMDD ENABLED Yes Boolean Set to TRUE if this fee rule has been enabled. MARKET Yes String Name of the exchange LME EXEMPTION No Section describing any existing exemptions to the fee rule. EXEMPT_RULE_ID Yes Integer Identifier for the exempt rule. RULE_ID Yes Integer Reference to the parent rule for this exempt rule. OVERRIDE_RULE_NAME No String Rule name. OVERRIDE_FEE_NAME No String Fee name. DESCRIPTION No String Description of the exempt rule. MEMBER No String The exempt rule is applied for this member. UNDERLYING No String The exempt rule is applied for this underlying. OVERRIDE_VALID_FROM No YYYYMMDD OVERRIDE_VALID_TO No YYYYMMDD ENABLED Yes Boolean Set to TRUE is this exempt trade fee rule has been enabled Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= FRP REPORT_NAME= Fee Rule Report /> <DATA> <RULE_ID>14</RULE_ID> <RULE_NAME>LME Forward Ring Data Capture</RULE_NAME> <FEE_NAME>Data Capture</FEE_NAME> <DESCRIPTION>Data Capture Fee Rule</DESCRIPTION> <PROVIDER_NAME>LME</PROVIDER_NAME> <TRANSACTION_TYPE>TRADE</TRANSACTION_TYPE> <FEE_TYPE>EXCHANGE_FEE</FEE_TYPE> <FEE_SUB_TYPE>DATA_CAPTURE</FEE_SUB_TYPE> <CHARGE_MODEL>PER_LOT</CHARGE_MODEL> <CURRENCY>GBP</CURRENCY> <FEE_RATE>0.05</FEE_RATE> <LME_MEMBER_CATEGORIES> <LME_MEMBER_CATEGORY>RING_DEALING</LME_MEMBER_CATEGORY> <LME_MEMBER_CATEGORY>ASSOCIATE_BROKER</LME_MEMBER_CATEGORY> Page 35

36 </LME_MEMBER_CATEGORIES> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <CARRY_TYPE>NON_CARRY</CARRY_TYPE> <VENUE>RING</VENUE> <ACCOUNT_TYPES> <ACCOUNT_TYPE>OMNIBUS DIRECT CLIENT</ACCOUNT_TYPE> <ACCOUNT_TYPE>HOUSE</ACCOUNT_TYPE> </ACCOUNT_TYPES> <VALID_FROM> </VALID_FROM> <VALID_TO> </VALID_TO> <ENABLED>TRUE</ENABLED> <MARKET>LME</MARKET> <EXEMPTION> <EXEMPTION_RULE_ID>4</EXEMPTION_RULE_ID> <RULE_ID>14</RULE_ID> <OVERRIDE_RULE_NAME>AA forwards</override_rule_name> <OVERRIDE_FEE_NAME>AA data capture</override_fee_name> <DESCRIPTION>No fees for AA</DESCRIPTION> <UNDERLYING>AA</UNDERLYING> <OVERRIDE_VALID_FROM> </OVERRIDE_VALID_FROM> <OVERRIDE_VALID_TO> </OVERRIDE_VALID_TO> <ENABLED>TRUE</ENABLED> </EXEMPTION> <EXEMPTION> <EXEMPTION_RULE_ID>5</EXEMPTION_RULE_ID> <RULE_ID>14</RULE_ID> <OVERRIDE_RULE_NAME>APA forwards/override_rule_name> <OVERRIDE_FEE_NAME>APA data capture</override_fee_name> <DESCRIPTION>No fees for APA</DESCRIPTION> <MEMBER>APA</MEMBER> <OVERRIDE_VALID_FROM> </OVERRIDE_VALID_FROM> <OVERRIDE_VALID_TO> </OVERRIDE_VALID_TO> <ENABLED>TRUE</ENABLED> </EXEMPTION>..etc.. </DATA> </REPORT> 5 Market Wide Data 5.1 SPAN File The SPAN File (Market Wide Data type SPF) is a defined format so is not described in this document. Refer to the SPAN Version 3 Parameter File Format document. The SPAN File will be enhanced to include parameters for LMEprecious. One SPAN File will contain parameters for Base and LMEprecious. 5.2 Settlement and Mean Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes type SMP Settlement and Mean Prices. Page 36

37 As there is no strict relationship between a price set and a contract type, prices data is at underlying and currency level Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. PRICE_TYPE Yes String Price type associated with the market dataset. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. PRICE Yes Float Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= SMP REPORT_NAME= Base Metal Settlement and Mean Prices /> <DATA> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>FS</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <PRICE> </PRICE> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>FS</PRICE_TYPE> <UNDERLYING>CA</UNDERLYING> <PRICE> </PRICE> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>MA</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <PRICE> </PRICE> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>MS</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <PRICE> </PRICE> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>M3</PRICE_TYPE> <UNDERLYING>NI</UNDERLYING> <PRICE> </PRICE> Page 37

38 <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>MC</PRICE_TYPE> <UNDERLYING>AA</UNDERLYING> <PRICE> </PRICE>..etc.. </DATA> </REPORT> Precious File: <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>FC</PRICE_TYPE> <UNDERLYING>AU</UNDERLYING> <PRICE>1338.7</PRICE> <REPORT_DATE> </REPORT_DATE> <PRICE_TYPE>FC</PRICE_TYPE> <UNDERLYING>AG</UNDERLYING> <PRICE> </PRICE> Example CSV Equivalent Base File: REPORT_DATE,PRICE_TYPE,UNDERLYING,CURRENCY,PRICE ,FS,AH,USD, ,FS,CA,USD, ,MA,AH,USD, ,MS,AH,USD, ,M3,NI,USD, ,MC,AA,USD, Precious File: REPORT_DATE,PRICE_TYPE,UNDERLYING,CURRENCY,PRICE ,FC,AU,USD, ,FC,AG,USD, Settlement Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes type SET Settlement Prices Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. Page 38

39 UNDERLYING Yes String Underlying symbol. CONTRACT Yes String Contract symbol. CONTRACT_TYPE Yes String Contract type symbol. SUB_CONTRACT_TYPE No String FORWARD_DATE No YYYYMMDD Not for monthly contract types. FORWARD_MONTH No YYYYMM For monthly contract types. STRIKE No Float Options only. PRICE Yes Float Price or premium. PRICE_TYPE Yes String SETTLEMENT VOLATILITY No Float Options only. DELTA No Float Options only Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= SET REPORT_NAME= Market Prices /> <DATA> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AH</UNDERLYING> <CONTRACT>AHD</CONTRACT> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>SETTLEMENT</PRICE_TYPE> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>CA</UNDERLYING> <CONTRACT>OCD</CONTRACT> <CONTRACT_TYPE>LMESwap</CONTRACT_TYPE> <FORWARD_MONTH>201409</FORWARD_MONTH> <PRICE> </PRICE> <PRICE_TYPE>SETTLEMENT</PRICE_TYPE>..etc.. </DATA> </REPORT> Page 39

40 5.4 Closing Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes type CLO Closing Prices Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. UNDERLYING Yes String Underlying symbol. CONTRACT Yes String Contract symbol. CONTRACT_TYPE Yes String Contract type symbol. SUB_CONTRACT_TYPE No String FORWARD_DATE No YYYYMMDD Not for monthly contract types. FORWARD_MONTH No YYYYMM For monthly contract types. STRIKE No Float Options only. PRICE Yes Float Price or premium. PRICE_TYPE Yes String CLOSING VOLATILITY No Float Options only. DELTA No Float Options only Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= CLO REPORT_NAME= Market Prices /> <DATA> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AH</UNDERLYING> <CONTRACT>AHD</CONTRACT> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>NI</UNDERLYING> <CONTRACT>NID</CONTRACT> <CONTRACT_TYPE>LMETAPO</CONTRACT_TYPE> <SUB_CONTRACT_TYPE>C</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201410</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>342.22</PRICE> Page 40

41 ..etc.. </DATA> </REPORT> <PRICE_TYPE>CLOSING</PRICE_TYPE> <VOLATILITY>20.31</VOLATILITY> <DELTA> </DELTA> Precious File: <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AG</UNDERLYING> <CONTRACT>AGD</CONTRACT> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AU</UNDERLYING> <CONTRACT>AUD</CONTRACT> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE>4651.6</PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> Combined File: <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AA</UNDERLYING> <CONTRACT>AAD</CONTRACT> <CONTRACT_TYPE>LMEForward</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AG</UNDERLYING> <CONTRACT>AGD</CONTRACT> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> <REPORT_DATE> </REPORT_DATE> <UNDERLYING>AU</UNDERLYING> <CONTRACT>AUD</CONTRACT> <CONTRACT_TYPE>LMEPreciousFuture</CONTRACT_TYPE> <FORWARD_DATE> </FORWARD_DATE> <PRICE>4651.6</PRICE> <PRICE_TYPE>CLOSING</PRICE_TYPE> Page 41

42 5.4.3 Example CSV Equivalent Base File: REPORT_DATE,UNDERLYING,CONTRACT,CONTRACT_TYPE,SUB_CONTRACT_TYPE,FORWARD_DATE,FORWARD_M ONTH,STRIKE,PRICE,PRICE_TYPE,VOLATILITY,DELTA ,AH,AHD,LMEForward,, ,,, ,CLOSING,, ,NI,NID,LMETAPO,C,,201410, ,342.22,CLOSING,20.31, Precious File: REPORT_DATE,UNDERLYING,CONTRACT,CONTRACT_TYPE,SUB_CONTRACT_TYPE,FORWARD_DATE,FORWARD_M ONTH,STRIKE,PRICE,PRICE_TYPE,VOLATILITY,DELTA ,AG,AGD,LMEPreciousFuture,, ,,, ,CLOSING,, ,AU,AUD,LMEPreciousFuture,, ,,,4701.3,CLOSING,, ,AU,AUD,LMEPreciousFuture,, ,,,4701.1,CLOSING,, Combined File: REPORT_DATE,UNDERLYING,CONTRACT,CONTRACT_TYPE,SUB_CONTRACT_TYPE,FORWARD_DATE,FORWARD_M ONTH,STRIKE,PRICE,PRICE_TYPE,VOLATILITY,DELTA ,AA,AAD,LMEForward,, ,,, ,CLOSING,, ,AG,AGD,LMEPreciousFuture,, ,,, ,CLOSING,, ,AU,AUD,LMEPreciousFuture,, ,,,4701.1,CLOSING,, 5.5 Futures Closing Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes type FCP Futures Closing Prices. As there is no strict relationship between a price set and a contract type, prices data is at underlying and currency level Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. PRICE_TYPE Yes String Price type associated with the market dataset. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. FORWARD_DATE Yes YYYYMMDD PRICE Yes Float Example Output Base File: <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= FCP REPORT_NAME= Futures Closing Prices /> <DATA> Page 42

43 <PRICE_TYPE>FC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE> <PRICE_TYPE>FC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <FORWARD_DATE> </FORWARD_DATE> <PRICE> </PRICE>..etc.. </DATA> </REPORT> Example CSV Equivalent Base File: REPORT_DATE,PRICE_TYPE,UNDERLYING,CURRENCY,FORWARD_DATE,PRICE ,FC,AH,USD, , ,FC,AH,USD, , Notional Average Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes type NAP Notional Average Prices. As there is no strict relationship between a price set and a contract type, prices data is at underlying and currency level Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. PRICE_TYPE Yes String Price type associated with the market dataset. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. FORWARD_MONTH Yes YYYYMM LME forward tradable month. PRICE Yes Float Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= NAP REPORT_NAME= Notional Average Prices /> Page 43

44 <DATA> <PRICE_TYPE>NA</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <FORWARD_MONTH>201504</FORWARD_MONTH> <PRICE> </PRICE> <PRICE_TYPE>NA</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <FORWARD_MONTH>201505</FORWARD_MONTH> <PRICE> </PRICE>..etc.. </DATA> </REPORT> Example CSV Equivalent REPORT_DATE,PRICE_TYPE,UNDERLYING,CURRENCY,FORWARD_MONTH,PRICE ,NA,AH,USD,201504, ,NA,AH,USD,201505, Traded Average Price Option Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes types ACP Traded Average Price Option Prices. As there is no strict relationship between a price set and a contract type, prices data is at underlying and currency level Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. PRICE_TYPE Yes String Price type associated with the market dataset. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. SUB_CONTRACT_TYPE Yes String FORWARD_MONTH Yes YYYYMM LME forward tradable month. STRIKE Yes Float PRICE Yes Float DELTA Yes Float Page 44

45 VOLATILITY Yes Float Expressed as a percentage Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= ACP REPORT_NAME= Traded Average Price Option Prices /> <DATA> <PRICE_TYPE>AC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <SUB_CONTRACT_TYPE>C</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201504</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>134.00</PRICE> <DELTA>0.9082</DELTA> <VOLATILITY>19.00</VOLATILITY> <PRICE_TYPE>AC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <SUB_CONTRACT_TYPE>P</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201504</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>4.60</PRICE> <DELTA>0.4082</DELTA> <VOLATILITY>21.00</VOLATILITY> <PRICE_TYPE>AC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <SUB_CONTRACT_TYPE>P</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201504</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>4.70</PRICE> <DELTA>0.5</DELTA> <VOLATILITY>21.00</VOLATILITY>..etc.. </DATA> </REPORT> Example CSV Equivalent REPORT_DATE,PRICE_TYPE,UNDERLYING,CURRENCY,SUB_CONTRACT_TYPE,FORWARD_MONTH,STRIKE,PRICE,DE LTA,VOLATILITY ,AC,AH,USD,C,201504, ,134.00,0.9082, ,AC,AH,USD,P,201504, ,4.60,0.4082, ,AC,AH,USD,P,201504, ,4.70,0.5,21.00 Page 45

46 5.8 Traded Option Prices There is one Market Data file for each Market Dataset defined in section 4.9. This section describes types TCP Traded Option Prices. It shares the same format as that for TAPO Prices (section 5.7). As there is no strict relationship between a price set and a contract type, prices data is at underlying and currency level Data Item Description REPORT_DATE Yes YYYYMMDD Business date for the data. PRICE_TYPE Yes String Price type associated with the market dataset. UNDERLYING Yes String Underlying symbol. CURRENCY Yes String Currency symbol. SUB_CONTRACT_TYPE Yes String FORWARD_MONTH Yes YYYYMM LME forward tradable month. STRIKE Yes Float PRICE Yes Float DELTA Yes Float VOLATILITY Yes Float Expressed as a percentage Example Output <?xml version= 1.0?> - <REPORT> <IDENTIFICATION REPORT_CODE= TCP REPORT_NAME= Traded Option Prices /> <DATA> <PRICE_TYPE>TC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <SUB_CONTRACT_TYPE>C</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201504</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>134.00</PRICE> <DELTA>0.9082</DELTA> <VOLATILITY>20.00</VOLATILITY> <PRICE_TYPE>TC</PRICE_TYPE> <UNDERLYING>AH</UNDERLYING> <SUB_CONTRACT_TYPE>P</SUB_CONTRACT_TYPE> <FORWARD_MONTH>201504</FORWARD_MONTH> <STRIKE> </STRIKE> <PRICE>4.60</PRICE> Page 46