Millennium Exchange - Oslo Børs cash equities and fixed income markets. OSLMIT 401 Reference Data

Transcription

1 Millennium Exchange - Oslo Børs cash equities and fixed income markets OSLMIT 401 Reference Data Issue June 2017

2 Important note This document has been produced by Oslo Børs to assist customers in the use of the Millennium platform on the Oslo Børs market place. Part of the documentation is based on documentation from Millennium IT and the London Stock Exchange Group. Where the document title includes a number (i.e. OSLMIT 201), the number corresponds to similar documentation from The London Stock Exchange and/or from Borsa Italiana. For more details, please see references in the appendix. If you have any general queries relating to this document, please technicalsupport@oslobors.no Further copies of this document can also be downloaded from the Oslo Børs website Disclaimer This document has been prepared on the basis of the best information available. Oslo Børs has taken reasonable efforts to ensure that the information in this publication is correct at the time of publication, but shall not be liable for decisions made in reliance on it. Oslo Børs will seek to provide notice to customers of changes being made to this document, but this notice cannot be guaranteed. Therefore, please note that this publication may be updated at any time. The information contained is therefore for guidance only. This document does not form part of the contractual documentation between the Oslo Børs and its customers. Oslo Børs OSLMIT 401 Reference Data 2

3 Change log This document can be updated at any time, and has been through the following iterations: Issue Date Description June 2016 New release of the document to include all Millennium Exchange Release 9.1 changes. Added one new security type November 2016 Additional fields added to support various changes in Millennium Release 9.1. New fields are added to the instrument and trading parameter record layout January 2017 Corrected possible values and definition for field RFQ Anonymity for Trading Parameters File Record Layout February 2017 Added mapping to trading session for security-type WM April Changes to some field descriptions June 2017 Added description of backup solution for distribution of reference data files Please note that only the latest issue of this document will be available from the Oslo Børs website. Details of the changes made in each issue of the document are described in the appendix. Changes from the previous issue of the document are indicated by a left margin bar. Oslo Børs OSLMIT 401 Reference Data 3

4 Content Important note... 2 Disclaimer... 2 Change log... 3 Content... 4 Introduction Purpose Readership Document series Definitions, Acronyms and Abbreviations File Based Reference Data Service Introduction Access to the Service Service Hours Service Features CSV based Daily Delta Files Intra-Day Changes Files CSV Data Layout CSV Key to Field Type XML File Format CSV File Record Layout Instrument File Record Layout Calendar File Record Layout Post Trade Parameter File Record Layout Trade Type File Record Layout Trading Parameters File Record Layout Price Tick File Record Layout Session Parameters File Record Layout Participant File Record Layout Index Record Layout Customer Testing Enablement Connectivity Appendix 1 Issue updates Issue 5.0 Released 16 June Oslo Børs OSLMIT 401 Reference Data 4

5 Issue 5.1 Released 1 November Issue 5.2 Released 5 January Issue 5.3 Released 3 February Issue 5.4 Released 20 April Issue 5.5 Released XX June Appendix 2 References Oslo Børs OSLMIT 401 Reference Data 5

6 Introduction Since November 2012, the Millennium Exchange trading system has been the trading platform in use for the Oslo Børs equity and fixed income markets. Millennium Exchange is a flexible, highly scalable trading platform with ultra-low latency developed by MillenniumIT, a company in the London Stock Exchange Group. Oslo Børs and its market places for equities and fixed income aims at maintaining its competitive position, and is pleased to offer customers an upgraded release of the state-of-the-art trading system as of April Purpose The purpose of this document is to describe the reference data that clients can download for enrichment and supplement purposes in order to assist trading on the Millennium Exchange platform. 1.2 Readership This document describes how to connect to the Reference Data Service as well as file and content description. 1.3 Document series This document is a part of a series of documents providing a holistic view of full trading and information services available from Oslo Børs post the migration to the Millennium Exchange platform. The current series of documents are outlined below: General OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs Business Parameters - Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT Oslo Børs and Nordic ABM Business Parameters Fixed Income OSLMIT Oslo Børs Market Model Nibor OSLMIT Oslo Børs Business Parameters - Nibor Trading OSLMIT 201 Guide to New Trading System OSLMIT 202 FIX Trading Gateway (5.0 SP2) OSLMIT 203 Native Trading Gateway OSLMIT 204 Post Trade Gateway (FIX 5.0 SP2) OSLMIT 205 Drop Copy Gateway (FIX 5.0 SP2) Market Data OSLMIT 302 FIX/FAST Gateway OSLMIT 303 MITCH Gateway OSLMIT 306 FIX/FAST News and Indices Gateway OSLMIT 401 Reference Data OSLMIT Derived Information Guidelines OSLMIT Mini Futures Daily Values Other OSLMIT 501 Guide to Testing Services OSLMIT 502 Guide to Application Certification Oslo Børs OSLMIT 401 Reference Data 6

7 OSLMIT 504 Guide to Dress Rehearsals (only relevant to migration projects) OSLMIT 505 Guide to Go-live (only relevant to migration projects) OSLMIT 601 Guide to Trading Services Disaster Recovery OSLMIT 602 Network Guide OSLMIT 604 Technical Parameters OSLMIT 605 Live Environment Connectivity OSLMIT 606 CDS Environment Connectivity OSLMIT 808 Reject Codes The latest version of this documentation series can be found on: Definitions, Acronyms and Abbreviations Acronyms/ Abbreviations Nibor IDR IDR Average Finans Norge Panel bank Description Norwegian interbank offered rate Indicative deposit rate. Represents an indicator of the interest rate that panel bank will demand for loans in NOK to another leading bank which is active in the Norwegian money market and foreign exchange market. Indicative deposit rate average. The calculation is based on indicative deposit rates submitted by the Nibor panel banks and follows the same pattern for inclusion/deletion of orders in the calculation as for Nibor. Separate ticker code from the official fixing rates. Association representing Norwegian financial organizations and responsible for the Nibor-rules. A market participant enabled to submit orders to the indicative deposit rate instruments in the Nibor market. Oslo Børs OSLMIT 401 Reference Data 7

8 2. File Based Reference Data Service 2.1 Introduction The amounts of reference data sent by the Millennium Market Data gateways are limited. By using this file based reference data system, customers can enrich their client systems with a broader set of Reference Data. 2.2 Access to the Service The market reference data files can be downloaded via a File Transfer Protocol (FTP) and Secure File Transfer Protocol (SFTP) service. Access to the FTP and SFTP server is offered from all network connections enabled for trading at Oslo Børs Market Place. It will not be possible to access the service via Internet connection. Clients are expected to provide the source IP addresses of the SFTP/FTP request. Oslo Børs will then provide username and password information which will be required to download reference data. 2.3 Service Hours The market reference data files for the next trading day are published each trading day after market close. Under normal circumstances the files are available for download from 19:30 CET the day before next trading day. However clients are advised to check for updated files before trading starts. Before new files as published, previous days files will be moved into individual date stamped folders to keep the current day clear of older files. The individual date stamped folders will hold the five latest trading days reference data files. We anticipate the service being available at all times. However, in the event of a service outage Oslo Børs will distribute the reference files via our web pages. A Technical Service Announcement will be sent out in such cases, with a link to download the files. 2.4 Service Features The reference data service provides a number of separate full market reference data files needed to provide all the necessary data for the Oslo Børs markets on Millennium Exchange. Both CSV files and XML formatted files are available. Clients can choose their preferred format. The structures of the XML files are described in separated XSD files. The table below lists all files that are part of the daily full market reference data files. Subject Type File Name Instrument CSV YYYYMMDD_XOSL_Instrument Calendar CSV YYYYMMDD_XOSL_Calendar Post Trade Parameter CSV YYYYMMDD_XOSL_PostTrade Trade Type CSV YYYYMMDD_XOSL_TradeType Trading Parameter CSV YYYYMMDD_XOSL_Trading Price Tick CSV YYYYMMDD_XOSL_PriceTick Session Parameter CSV YYYYMMDD_XOSL_Session Participant CSV YYYYMMDD_XOSL_Participant Index CSV YYYYMMDD_XOSL_Index Oslo Børs OSLMIT 401 Reference Data 8

9 Instrument XML YYYYMMDD_XOSL_Instrument.xml XOSL_Instrument.xsd Calendar XML YYYYMMDD_XOSL_Calendar.xml XOSL_Calendar.xsd Post Trade Parameter XML YYYYMMDD_XOSL_PostTrade.xml XOSL_PostTrade.xsd Trade Type XML YYYYMMDD_XOSL_TradeType.xml XOSL_TradeType.xsd Trading Parameter XML YYYYMMDD_XOSL_Trading.xml XOSL_Trading.xsd Price Tick XML YYYYMMDD_XOSL_PriceTick.xml XOSL_PriceTick.xsd Session Parameter XML YYYYMMDD_XOSL_Session.xml XOSL_Session.xsd Participant XML YYYYMMDD_XOSL_Participant.xml XOSL_Participant.xsd Index XML YYYYMMDD_XOSL_Index.xml XOSL_Index.xsd In addition to the daily full CSV based files, a daily delta file and intra-day changes files will be published. To ensure integrity of the reference data files there will be one file named FileChecksum.MD5. This file contains the list of all reference data files with their corresponding MD5 hash code. Clients can after downloading the files use a File Checksum Integrity Verifier tool for generating their own hash codes to compare with the checksums generated at the server side in order to ensure a successful download. Oslo Børs OSLMIT 401 Reference Data 9

10 2.5 CSV based Daily Delta Files On a daily basis, a delta file will be published in parallel with the full daily reference CSV file. Deltas from the previous day (additions, modifications and deletes) will be featured, and this will include an additional column called Action to indicate the nature of the change. The Action field can contain the following values: Value A M D Meaning Add. This indicates that the row has been added since yesterday. Modified. The row has been modified. Values in one or several columns have been changed since yesterday. In order to find the changed values, the client must diff this row with corresponding row from previous full reference data file. Delete. This indicates that the row has been removed since yesterday. The daily delta files will be published for each reference data file with the following naming format. Instrument YYYYMMDD_XOSL_Instrument_Delta Calendar YYYYMMDD_XOSL_Calendar_Delta Post Trade Parameter YYYYMMDD_XOSL_PostTrade_Delta Trade Type YYYYMMDD_XOSL_TradeType_Delta Trading Parameter YYYYMMDD_XOSL_Trading_Delta Price Tick YYYYMMDD_XOSL_PriceTick_Delta Session Parameter YYYYMMDD_XOSL_Session_Delta Participant YYYYMMDD_XOSL_Participant_Delta Index YYYYMMDD_XOSL_Index_Delta Delta files will be published as blank if there are no changes from the previous day s complete reference data file. The XML files do not have delta files. The XML based files includes a field called Action which indicates the type of delta since yesterday: 0 Add (Instance is new) 1 Update (One or several fields are updated on instance) 2 Delete (Instance is deleted) 3 Full (No changes. This is the normal status on an instance) Oslo Børs OSLMIT 401 Reference Data 10

11 2.6 Intra-Day Changes Files In certain circumstances it may be necessary for Oslo Børs to publish intraday changes to reference data. In these situations a notification will be issued to the market confirming the change and the republished files. Intraday created instruments will cause a new Symbol Directory message with status S (suspended) on the MITCH Market Data Gateway followed by an additional Symbol Directory message with status active. Before trading can start, the instrument will be placed into a halt session so clients can download the updated reference data. Similarly, a halt session will be imposed if a change is needed to other reference data parameters that previously have been distributed. The halt session is identified by a Symbol Status message with trading status = H (halt) and halt reason = 6 (Updated reference data). When clients receive this status message they are advised to download updated reference data. The FIX/FAST gateway delivers the same logic trough the Security Definition and the Security Status message. The instrument will be held in the halt status for a reasonable time until it is changed to a tradable status. An intra-day change will be published via the production of a Changes file for each of the impacted data sets outlined in Section 2.4. For CSV files the format is identical to the original daily file with the exception of an additional field indicating if the change is an add (A), modified (M), delete (D) or no changes (F). XML files will indicate the change within the action field. A Changes file can be identified by the addition of _Changes_Timestamp to the original filename. The timestamp will be in format HHMMSS CSV Data Layout The files are created in accordance to the following specifications: File format Fields delimiter Decimal symbol Digit grouping symbol (thousands separator) Date Fields format CSV ; (semicolon). (point) none yyyymmdd The field lengths identified in the record layout below are maximum lengths. As the data is delimited, fields can be shorter than the maximum length defined. The first row in each CSV file will contain a header for each field. The fieldnames in the header will not contain any blanks or whitespaces. Note: Oslo Børs may amend these values at any time following one week's prior written notice. Any changes will be communicated via Service Announcement. Oslo Børs OSLMIT 401 Reference Data 11

12 2.6.2 CSV Key to Field Type Type ENUM F64 I32 I10 Description A look-up value against a table of options Floating point 64-bit number encoded as ASCII 32-bit Integer number encoded as ASCII 10-bit Integer number encoded as ASCII 2.7 XML File Format All XML content are described in the XSD files available from the SFTP/FTP server. The XML files will have two (2) node levels, no internal relations. They will typically have a structure like this (equity sample): <?xml version="1.0" encoding="utf-8" standalone="yes"?> <OB_MillenniumInstrumentList validdate=" z" runno="1" generated=" t18:28:37.958z" xmlns:xsi=" xsi:nonamespaceschemalocation=" <Instrument> <InstrumentID>15578</InstrumentID> <CalendarID>OB</CalendarID> <SegmentCode>OBX</SegmentCode> <MarketID>1</MarketID> <PostTradeParameterID>OBEQ_PTP01</PostTradeParameterID> <TradingParameterID>OBEQ_TP01</TradingParameterID> <ISIN>NO </ISIN> <FirstTradingDate> </FirstTradingDate> <InstrumentStatus>0</InstrumentStatus> <ClearingType>1</ClearingType> <ExchangeMarketSize>50</ExchangeMarketSize> <MinReserveOrderValue> </MinReserveOrderValue> <MinOrderSize>0.0000</MinOrderSize> <LotSize>1.0000</LotSize> <SecurityType>SH</SecurityType> <Ticker>STL</Ticker> <AverageDailyTurnover> </AverageDailyTurnover> <Currency>NOK</Currency> <IssuerCode>1309</IssuerCode> <IssuerName>Statoil ASA</IssuerName> <Ratio/> <SettlementType/> <InstrumentName>Statoil</InstrumentName> <UnitOfQuotation>1</UnitOfQuotation> <CountryOfRegister>NO</CountryOfRegister> <StaticCircuitBreakerPercentage>0.0000</StaticCircuitBreakerPercentage> <DynamicCircuitBreakerPercentage>0.0000</DynamicCircuitBreakerPercentage> <PrimaryBook>0</PrimaryBook> <MIC>XOSL</MIC> <CSD>VPSNNOKK</CSD> <MTCH-FD-MarketDataGroup>A</MTCH-FD-MarketDataGroup> <MTCH-FDP-MarketDataGroup>P</MTCH-FDP-MarketDataGroup> <MTCH-TO-MarketDataGroup>B</MTCH-TO-MarketDataGroup> <FIX-FAST-AppID>OBE20</FIX-FAST-TO-AppID> <Action>3</Action> <TargetBook/> <MicroAuction>0</MicroAuction> <Load ID>1</Load ID> </Instrument> </Instrument> </OB_MillenniumInstrumentList> Oslo Børs OSLMIT 401 Reference Data 12

13 2.8 CSV File Record Layout Instrument File Record Layout The following section provides details on the instrument data available within the service. Field Type Description Instrument ID I32 Instrument ID, unique identifier across the system. Calendar ID STRING(30) Unique key used to link the instrument to the market calendar to be used. The details of the calendar are maintained in the Calendar file. The system utilizes several trading calendars. Segment Code STRING (4) The code identifying the segment. Available codes are listed in the market model documents: OSLMIT Oslo Børs Market Model Equities OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income OSLMIT Oslo Børs Market Model Nibor Market ID I3 The market the Instrument is traded under. Possible values: 1 Oslo Børs Equities and related 2 Oslo Børs Fixed Income 7 Norwegian Inter Bank Offered Rate Post Trade Parameter ID Trading Parameter ID STRING(30) STRING(30) Unique key used to link the instrument to the post trade parameters to be used. These details are contained in the post trade parameters table. Unique key used to link the instrument to the trading parameters to be used. These details are contained in the trading parameters table. ISIN Code STRING(12) The International Security Identification Number (ISIN). This will be in line with ISO Deletion Date STRING(8) Date on which the instrument will be deleted. Format is yyyymmdd. This field may be blank. First Trading Date STRING(8) Instrument s first trading date. Format is yyyymmdd. Oslo Børs OSLMIT 401 Reference Data 13

14 Field Type Description Instrument ENUM Whether the instrument is active for trading, suspended from trading, Status not available for trading (inactive) or halted. Possible values: 0 Active 1 Suspended 2 Inactive 3 Halted Please note that any intraday disseminated instrument status will override this status. Instrument status is published by the market data gateways in the Security Definition (FIX/FAST) and Symbol Directory (MITCH) messages. Clearing Type ENUM Indicates whether the instrument is cleared or not. Exchange Market Size I32 Possible values: 0 Not Cleared 1 Cleared Exchange Market Size (EMS). The EMS is defined for each share and primary capital certificate to a rounded number of shares which equals a value of approx. NOK/DKK/SEK 10,000 or EUR 1,000. For Exchange Traded Products (ETPs) the EMS is 100 units. For warrants the EMS is 10,000 contracts. The EMS is reviewed and adjusted quarterly effective from every third Friday in December, March, June, September. Min Reserve Order value Minimum Order Size F64 F64 For Bonds EMS will be the same as Lot size. The minimum consideration value (price x order quantity) for an order to be hidden. Minimum order size allowed for that instrument. This value is expressed as a percentage of EMS. If this field is zero, Minimum Size field on the trading parameter for this instrument will be used. For Equities there are some exceptions to the minimum size for orders. Please consult the market model document for details: OSLMIT Oslo Børs Market Model Equity Last Trading Day STRING(8) For Bonds the value will be 100. Minimum order size for bonds is equal to lot size. Last Trading Day of the instrument. Format is yyyymmdd. This can also be blank. Oslo Børs OSLMIT 401 Reference Data 14

15 Field Type Description Lot Size F64 This field defines the size increment of an order entered by a participant. Orders may be entered only in multiples of the order lot size for a particular instrument ID. For equity related instruments lot size is 1. The lot size of a bond is related to the bond type. Please consult the market model document for details: OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income Security Type STRING(2) Provides more granular groupings of instruments. BO Bonds CE Certificates RG Subscription Rights SH Shares EC Equity Certificates WA Warrants (Plain vanilla) WT Warrants (turbo) WM Mini-future EF Exchange Traded Funds EN Exchange Traded Notes IR Indicative deposit rate SP Structured Products Please note that a single instrument can be disseminated on one or several market data channels. Which channels an instrument is disseminated on can be found in the dedicated ApplID/Market Data Group fields. Ticker STRING(16) This field is assigned by Oslo Børs to uniquely identify a tradable instrument. ADT F64 The Average Daily Turnover (ADT) is defined by Finanstilsynet (The Financial Supervisory Authority of Norway) or by equivalent foreign authority for foreign shares, and reflects the average daily turnover value across all European markets, calculated in accordance with MiFID rules. The ADT is used to calculate the minimum value for hidden orders, and to calculate for how long the publication of a manual trade may be delayed. This is blank for non MiFID instruments. Currency STRING(3) This field contains the currency in which prices for a tradable instrument must be expressed. A list of all codes is contained in ISO Issuer Code STRING(16) A code defined by Oslo Børs to identify the issuer of a tradable instrument. Issuer Name STRING(35) The full name of the issuer of a tradable instrument. Oslo Børs OSLMIT 401 Reference Data 15

16 Field Type Description Normal Market Size I10 Normal Market Size will now become the MiFID defined threshold that is used on an EU wide basis. NMS will not be controlled by Oslo Børs and will be set at an EU level. This field will be set for MiFID instruments only. The field is currently not in use and will be blank. Ratio STRING(16) This is a free format field used to provide the ratio of Warrants/Subscription Rights to the underlying. The format will be presented as security_count:warrant_count, e.g. 1:4. This field may be blank. Settlement Type Standard Market Size Instrument Name Unit of Quotation Country of Register Warrant Strike Price STRING(8) I10 STRING(40) I10 STRING(2) STRING(8) This is a free format field which holds an indicator showing what the Warrant is settled for on expiry. Typical value is CASH. Field is only used for warrants otherwise blank. Standard Market Size (SMS) is the MiFID average order size threshold for firms conducting in-house business (internalization). SMS will not be controlled by Oslo Børs, but will be set at an EU level. This field will be set for MiFID instruments only. The field is currently not in use and will be blank. The description of a tradable instrument. This is commonly known as the Long Name. The unit of quotation for an asset. For bonds this equals Face value. This specifies the country of register for a specific tradable instrument. The country code identifies the home state of the financial reporting rules to which the issuer must comply. If this information is unknown the location of the issuer s main office will be used instead. This will be in line with ISO This field will provide the price at which the warrant can be exercised. Field is relevant for the Security Types WA, RG and possibly EN Warrant Expiry STRING(8) This is the date at which a warrant expires. Field is relevant for the Security Types WA, RG and EN Warrant Strike Currency STRING(3) This field contains the currency in which the warrant strike price is expressed. Field is relevant for the Security Types WA, RG and EN. Warrant Type STRING(30) This field will provide the type of warrant. Typical values are CALL or PUT. Field is only used for Warrants otherwise blank. Warrant Style STRING(30) This field will provide the exercise style of warrant. Typical values are EUROPEAN or AMERICAN. Field is only used for Warrants otherwise blank. Warrant Underlying ISIN STRING(12) The International Security Identification Number (ISIN). Note that this field will only be populated if the underlying ISIN is listed at Oslo Børs. Format will be in line with ISO Field is relevant for the Security Types WA, RG and EN. Oslo Børs OSLMIT 401 Reference Data 16

17 Field Type Description Warrant Underlying Description STRING(40) The name or description of the underlying security. Field is relevant for the Security Types WA, RG and EN. Price Band Outer Limit Percentage F64 Price band tolerance (%) of the instrument. If a value is present here this will override the price band outer limit percentage defined in the trading parameters connected to this instrument. If the value is changed intraday this will be reflected in a Symbol Directory message on the MITCH Market Data Gateway. Some instrument types does not use price band. Static Circuit Breaker Percentage F64 Percentage value for the static circuit breaker. Static Circuit Breaker Percentage defines the maximum price change allowed from a static reference price which is the price of the previous call, or yesterday s closing price. If a value is present here this will override the static circuit breaker percentage defined in the session or trading parameters. If the value is changed intraday this will be reflected in a Symbol Directory message on the MITCH Market Data Gateway. Some instrument types do not use static circuit breaker. Dynamic Circuit Breaker Percentage F64 Percentage value for the dynamic circuit breaker. Dynamic price monitoring percentage defines the maximum price change allowed from the previous trade price today. If a value > 0, this will override the dynamic circuit breaker percentage defined in the session or trading parameters. If the value is changed intraday this will be reflected in a Symbol Directory message on the MITCH Market Data Gateway. Some instrument types do not use dynamic circuit breaker. Oslo Børs OSLMIT 401 Reference Data 17

18 Field Type Description Primary Book ENUM Primary book for combined statistics. Some instruments disseminates combined on and off book market data statistics for High/Low/Last/VWAP on the FIX/FAST Gateway. This field indicates under which MDSubbooktype the combined official statistics are published. Possible values: 0 Disabled 1 Bulletin book 2 Normal Order book (default on equity market) 3 Off Book If combined statistics are used, please discard statistics published under other order books except for the book defined by this field. Tick Size F64 Tick Size for a fixed income instrument can be set in this field, but if the value is zero the tick size will be fetched from the Price Tick Table defined by the Price TickTable ID field. If not populated, the tick size definition table connected to the instrument trading parameters will be used. Price Tick Table ID STRING(30) If a value is stamped, the tick size from Price Tick Table defined by the Price Tick Table ID will be used. If not populated, the tick size definition table connected to the instrument trading parameters will be used. MIC STRING(4) ISO MIC code used to identify the underlying listing venue. List of corresponding MIC codes: MTF-MIC STRING(4) If this instrument is traded by a multilateral trading facility (MTF), this field will be populated with the MIC code of the MTF. This field is only populated for MTF traded instruments. CSD STRING(11) The SWIFT code of the Central Securities Depository (CSD) to which the instrument is registered. Oslo Børs OSLMIT 401 Reference Data 18

19 Field Type Description MITCH-FD- Market Data Group STRING(1) MITCH Full Depth Market Data Channel to which this instrument is assigned. This field may be blank if the instrument is not distributed on this service. This ID can be used in conjunction with the gateway lists in OSLMIT 605 Live Environment Connectivity or OSLMIT 606 CDS Environment Connectivity to determine the actual market data gateway. MITCH-FDP- Market Data Group STRING(1) ID of the MITCH Full Depth Prime Market Data Channel to which this instrument is assigned. The prime market data channels are a low latency service mainly for use with the most liquid instruments. This field may be blank if the instrument is not distributed on this service. This ID can be used in conjunction with the gateway lists in OSLMIT 605 Live Environment Connectivity or OSLMIT 606 CDS Environment Connectivity to determine the actual market data gateway. MITCH-TO- Market Data Group STRING(1) ID of the MITCH Trade Only Market Data Channel to which this instrument is assigned. This field may be blank if the instrument is not distributed on this service. This ID can be used in conjunction with the gateway lists in OSLMIT 605 Live Environment Connectivity or OSLMIT 606 CDS Environment Connectivity to determine the actual market data gateway. FIX-FAST-AppID STRING(5) ID of the FIX-FAST Channel to which this instrument is assigned. This field may be blank if the instrument is not distributed on this service. This ID should be used in conjunction with the gateway lists in OSLMIT 605 Live Environment Connectivity or OSLMIT 606 CDS Environment Connectivity to determine the actual market data gateway. Oslo Børs OSLMIT 401 Reference Data 19

20 Field Type Description FIX-FAST-TO- STRING(5) ID of the FIX-FAST Trade Only Channel to which this instrument is AppID assigned. This field may be blank if the instrument is not distributed on this service. This ID can be used in conjunction with the gateway lists in OSLMIT 605 Live Environment Connectivity or OSLMIT 606 CDS Environment Connectivity to determine the actual market data gateway. Knockout Level F64 Stop Loss Level. Barrier price level of the underlying instrument that triggers expiry of the contract. Field is currently not populated. Max Level F64 Underlying price level where the investment product reaches its maximum payoff. Field is only relevant for certain types of warrants and ETNs. Target Book STRING(1) Indicates if additional liquidity pools are available for the instrument. If only Lit Order Book is available the field will be blank. Value M Meaning Dark Midpoint Order Book Load ID I32 Identifies the matching engine partition the instrument belongs to. Details about matching engine partitions are described in OSLMIT 604 Technical Parameters Micro Auction ENUM Specifies if Micro Auction is enabled for the instrument. Possible values: 0 Disabled 1 Enabled RFQ Min Quantity RFQ BID-ASK Price F64 F64 Defines the minimum quantity allowed in a RFQ submitted for an instrument as a multiple of Lot Size. If this value is set to 0, the validation is turned off. This field is only relevant for bonds. Defines the maximum percentage deviation between quote and bid/ask prices of the normal order book. When set to 0 the spread validation is turned off. This field is only relevant for bonds. Oslo Børs OSLMIT 401 Reference Data 20

21 Field Type Description Financing Level F64 This field provides the current level of the underlying asset value that forms the loan component of the instrument. Field is only relevant to Security Type WM. Field is currently not populated. Leverage Ratio F64 Indicative leverage ratio of the instrument versus the underlying asset. Field is only relevant to Security Type WM. Field is currently not populated. Instruments Per Underlying F64 This field provides the number of instruments per underlying asset. Field is only relevant for warrants. Oslo Børs OSLMIT 401 Reference Data 21

22 2.8.2 Calendar File Record Layout The following section provides details on the calendar reference data available within the reference data service. Field Type Description Calendar ID STRING(30) Unique code used to identify the calendar. This code is used to link the calendar to the instrument. Calendar Date STRING(8) Calendar date, format is yyyymmdd. Description STRING(30) Name used to identify the calendar Early Closing ENUM Whether the calendar allows early closing or not. Possible values: 0 No 1 Yes Trading Allowed ENUM Whether trading is allowed on this day. Possible values: 0 No 1 Yes Oslo Børs OSLMIT 401 Reference Data 22

23 2.8.3 Post Trade Parameter File Record Layout The following section provides details on the post trade parameter available within the reference data service. Field Type Description Post Trade Parameter ID Trade Type Table ID Settlement Cycle Trade Reporting Model STRING(30) STRING(30) I32 ENUM Unique key used to link the post trade parameters to files Unique key used to link the post trade parameters file to the Trade Type file. The number of business days for standard settlement Trade reporting model enabled for the instrument. Possible values: Price Validation Ratio F64 2 Single sided 3 Dual sided - Alleged 5 None Off book trade price validation tolerance. Lowest entry price = previous closing price / price validation ratio Highest entry price = previous closing price x price validation ratio Late Trade Time Limit I32 A value of 0 indicates that Price Validation Ratio tolerance check is not enabled. Defines the maximum delay (in minutes) from the time of executing the trade to reporting it to the system. A value of 0 indicates that Late Trade Time Limit check is not enabled. Oslo Børs OSLMIT 401 Reference Data 23

24 2.8.4 Trade Type File Record Layout The following sections provide details on trade type data available within the reference data service. More information about trade types can be found in the OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income documents. Field Type Description Trade Type STRING(30) Unique key used to link the Trade Type to files. Table ID Short Code STRING(4) Short code of the trade type. FIX Value I32 Corresponding FIX value of the short code. Publication Type ENUM Type of the trade publication applied to the instrument. Possible values: 0 Do not publish 1 Immediate publication 2 Delayed Execution Venue STRING(10) Identifies the venue of the trade. Possible values: XOSL On exchange (Oslo Børs) XOAS On exchange (Oslo Axess) XOFF Off exchange MERK Merkur Market SI Systematic internalizer Oslo Børs OSLMIT 401 Reference Data 24

25 2.8.5 Trading Parameters File Record Layout The following section provides details on trading parameters available within the reference data service. Field Type Description Trading Parameters ID Price Tick Table ID Session Parameter Table ID Allow Named Orders STRING(30) STRING(30) STRING(30) ENUM Unique identifier for the trading parameter that links the data in the file to other reference data files. Unique identifier that links this data to the price tick file. Unique identifier that links this data to the session parameter file. Indicates whether named orders are enabled Possible values: Max Random Time Maximum Order Duration Allow Stop Orders I32 I32 ENUM 0 No 1 Yes Maximum random time in milliseconds between scheduled end of auction call and uncrossing. Maximum time an order can stay on the order book. The duration for a GFD orders must be less than this value. When the maximum order duration is set to any value other than 0, GTC orders are rejected. Indicates whether stop orders are enabled. Possible values: AESP Auction Duration Minimum Disclosed Size EMS Price Band Outer Limit Percentage (trading parameter level) I32 F64 F64 0 No 1 Yes Determines a fixed duration (in milliseconds) of the Automatic Execution Suspension Period (AESP). Minimum disclosed size is a percentage of EMS and relates to the iceberg peak refresh. The peak size (i.e. the first, visible portion) of an Iceberg order must be greater than this value. Price band tolerance (%) of the instrument. To be used if no Price Band is defined on the instrument or at the session parameter level. Field can be blank. This indicates that Price Band is not used. Oslo Børs OSLMIT 401 Reference Data 25

26 Field Type Description Static Circuit Breaker Percentage (trading parameter level) Dynamic Circuit Breaker Percentage (trading parameter level) F64 F64 Percentage value for the static circuit breaker. To be used if Static Circuit Breaker Limit defined on the instrument = 0 and no value is defined at the session level. A value of 0 means that Static Circuit Breaker Percentage is not used at this level. Percentage value for the dynamic circuit breaker. To be used if Dynamic Circuit Breaker Limit defined on the instrument = 0 and no value is defined at the session level. A value of 0 means that Dynamic Circuit Breaker Percentage is not used at this level. Fixed Income Info on Execution Report ENUM Possible values: 0 Both Yield and Price are included in the Execution Report published for trades only. 1 Both Yield and Price are included in the Execution Report for any order submission, amendment, reinstatement or execution 2 Execution Reports published for orders or trades should not have a conversion yield or price value Fixed Income Info on Market Data ENUM Possible values: 0 No 1 Both Yield and Price are published by the Market Data system. MinimumSize F64 Minimum order size. Used if Minimum size is not set at the Instrument level. Oslo Børs OSLMIT 401 Reference Data 26

27 Field Type Description Inverse Order Book ENUM Possible values: 0 No (default) 1 Yes. (For instruments traded in yield, ranking is inverted because a lower bid price is ranked higher than a high bid price, and vice versa for the ask prices) Trade Method ENUM Possible values: 1 On Price (default) 2 On Yield Post Trade Anonymity ENUM Whether counterparty information is filled in on trades disseminated on marketdata. Possible values: 0 No 1 Yes PassiveOnlyOrd ers ENUM Whether a new order may be entered with a Passive only indicator. Possible values: 0 No 1 Yes Oslo Børs OSLMIT 401 Reference Data 27

28 Field Type Description RFQ Type ENUM Indicates whether submission of RFQs are allowed on instruments using this trading parameter. A value of 0 indicates that RFQs are not available. 0 None (RFQ not enabled) 1 Public 2 Private 3 Public and private This field is only relevant for bonds. RFQ Anonymity ENUM Determine whether the private quote negotiation process is anonymous or not. 0 Named 1 Anonymous 2 N/A 3 Both This field is only relevant for bonds with RFQ enabled RFQ Duration I32 The default duration of private quote negotiation RFQs. The parameter is specified in seconds and effectively sets the maximum respond time to RFQs. Expire time set on Private RFQs can t exceed this duration. A value of 0 will disable the respond time validation. This field is only relevant for bonds with RFQ enabled. RFQ Execution Policy I32 Possible execution policy for RFQ orderbook. 1 Best execution 2 Select and match 3 Best execution or select and match RFQ Max Quantity F64 Defines the maximum quantity allowed in a RFQ submitted for an instrument as a multiple of Lot size. If this value is set to 0, the validation is turned off. Oslo Børs OSLMIT 401 Reference Data 28

29 2.8.6 Price Tick File Record Layout The following sections provide details on price tick sizes available within the reference data service. More information about price tick can be found in the OSLMIT Oslo Børs Market Model Equities and OSLMIT Oslo Børs and Nordic ABM Market Model Fixed Income documents. Field Type Description Price Tick Table ID STRING(30) Unique identifier for the price tick that links the data in the file to other reference data files. Decimals I32 Number of decimals supported by the tick structure. Description STRING(100) Name used to identify the price tick. Max Value F64 Upper price band value for that tick size. Min Value F64 Lower price band value for that tick size. Tick Value F64 The code to identify the valid format in which prices can be entered/ displayed. The price must be a multiple of this tick value. Oslo Børs OSLMIT 401 Reference Data 29

30 2.8.7 Session Parameters File Record Layout The following section provides details on session parameters available within the reference data service. Field Type Description Session Parameter Table ID Trading Session ID STRING (30) ENUM Unique identifier for the session parameter that links the data in the file to other reference data files. Indicates as to which session the parameters are applicable. Please note different values are used for different instrument types/segments. Code Mapped segment (indication Security Type only) EQ OBX, OBMA, OBNW, OBPC RG,SH,EC EQ-IA OBST, OAX, MERK RG,SH,EC ETN/ETF OBEF, OBEN, OBWR EF,EN,WA, WM ETN/ETF-IA N/A N/A AM OBAU, OBRA BO, CE CALL OBOC BO, CE Bulletin Board OABM, NIBO, OBUL BO, CE, IR Issuing/ Buyback OBIA, OBBA, OBUB BO, CE Possible values: (Code) 132 Pre Trading (EQ) 133 Opening Auction Call (EQ) 134 Regular Trading (EQ) 135 Closing Auction call (EQ) 136 Closing Price Publication (EQ) 137 Post Close (EQ) 138 Re-opening Auction Call (EQ) 139 Halt (EQ) 140 Halt and Close (EQ) 163 Pre Trading (ETN/ETF) 164 Opening Auction Call (ETN/ETF) 165 Regular Trading (ETN/ETF) 167 Post Close (ETN/ETF) 168 Re-Opening Auction Call (ETN/ETF) 169 Halt (ETN/ETF) 142 Pre Trading (AM) 143 Pre Open Entry (AM) 144 Opening Auction Call (AM) 145 Regular Trading (AM) Oslo Børs OSLMIT 401 Reference Data 30

31 Field Type Description 146 Post Close (AM) 147 Re-Opening Auction Call (AM) 148 Halt (AM) 150 Pre Trading (Call) 151 Pre Open Entry (Call) 152 Opening Auction Call (Call) 153 Pre Close Entry (Call) 154 Closing Auction Call (Call) 155 Post Close (Call) 156 Re-Opening Auction Call (Call) 157 Halt (Call) 159 Order Entry (Bulletin Board) 160 Post Close (Bulletin Board) 161 Halt (Bulletin Board) 172 Pre Trading (Issuing/Buyback) 173 Issuing_Buyback Auction Call 174 Admin (Issuing/Buyback) 175 Issuing_Buyback Special Entry 176 Post Close (Issuing/Buyback) 177 Halt (Issuing/Buyback) 242 Pre Trading (EQ-IA) 243 Opening Auction Call (EQ-IA) 244 Regular Trading 1 (EQ-IA) 245 Intra-Day Auction 1 (EQ-IA) 246 Regular Trading 2 (EQ-IA) 247 Intra-Day Auction 2 (EQ-IA) 248 Regular Trading 3 (EQ-IA) 249 Intra-Day Auction 3 (EQ-IA) 250 Regular Trading 4 (EQ-IA) 251 Intra-Day Auction 4 (EQ-IA) 252 Regular Trading 5 (EQ-IA) 253 Closing Auction Call (EQ-IA) 254 Closing Price Publication (EQ-IA) 255 Post Close (EQ-IA) 256 Re-Opening Auction Call (EQ-IA) 257 Halt (EQ-IA) 258 Halt and Close (EQ-IA) 260 Pre Trading (ETN/ETF-IA ) 261 Opening Auction Call (ETN/ETF-IA ) 262 Regular Trading 1 (ETN/ETF-IA ) 263 Intra-Day Auction 1 (ETN/ETF-IA ) 264 Regular Trading 2 (ETN/ETF-IA ) 265 Intra-Day Auction 2 (ETN/ETF-IA ) 266 Regular Trading 3 (ETN/ETF-IA ) 267 Intra-Day Auction 3 (ETN/ETF-IA ) 268 Regular Trading 4 (ETN/ETF-IA ) 269 Intra-Day Auction 4 (ETN/ETF-IA ) 270 Regular Trading 5 (ETN/ETF-IA ) 271 Closing Price Publication (ETN/ETF-IA ) 272 Post Close (ETN/ETF-IA ) 273 Re-Opening Auction Call (ETN/ETF-IA ) 274 Halt (ETN/ETF-IA ) 275 Halt and Close (ETN/ETF-IA ) Oslo Børs OSLMIT 401 Reference Data 31

32 Field Type Description Duration to Auction Market Order Extension Market Order Extension Duration Minimum Volume Check I32 I32 I32 ENUM Duration to auction in seconds. Number of market order extensions. Market order extension duration in seconds. Whether the minimum auction volume check is applied during an auction. Possible values: Price Monitoring Extension Price Monitoring Extension Duration Price Band Outer Limit Percentage (session level) Static Circuit Breaker Percentage (session level) Dynamic Circuit Breaker Percentage (session level) I32 I32 F64 F64 F64 0 No 1 Yes Number of price monitoring extensions. Duration of price monitoring extension in seconds. Price band tolerance (%) of the session related to an instrument. If no value is for the Price Band Outer Limit at the Instrument level and this value is >, then this will be the actual limit to use. If both values at Instrument level and session level are not set, then use the value from the Instruments trading parameters. Percentage value for the static circuit breaker. If no value is set at the Instrument level, and this value is > 0 then this will be the actual percentage to use. If both values at Instrument level and session level = 0 then use the value set in the Instruments trading parameters. Percentage value for the dynamic circuit breaker. If no value is set at the Instrument level, and this value is > 0 then this will be the actual percentage to use. If both values at Instrument level and session level = 0 then use the value set in the Instruments trading parameters. Oslo Børs OSLMIT 401 Reference Data 32

33 2.8.8 Participant File Record Layout The following section provides details on participants available within the reference data service. Field Type Description Member ID STRING(11) Internal Oslo Børs code identifying the member firm. This code is not unique and not mandatory. Member STRING(4) A unique code that identifies the member firm. Mnemonic Member Name STRING(100) This field holds the full name of the member firm. TradingArea STRING(2) Indicates the asset class categories enabled for the member. Value E F EF N Meaning Member can trade Equities and related instruments Member can trade Fixed Income instruments Member can trade both Fixed income, Equities and Equity related instruments Member is not enabled for trading RFQ Enabled I32 Indicates if the member is configured to participate in Fixed Income RFQ Trade Negotiation. 0 No (Default) 1 Yes (Can only set for RFQ enabled Fixed Income trading members) Oslo Børs OSLMIT 401 Reference Data 33

34 2.8.9 Index Record Layout The following sections provide map between the ISIN and the name of an index. Field Type Description ISIN STRING(12) The ISIN of the index. Symbol STRING(16) The symbol (ticker) of the index. Index Name STRING(40) The long name of the index. Index Type ENUM Possible values: 1 Equity, fixed income and money market indices 2 Nibor Fixing value (The official Norwegian Interbank Offered Rate) 3 IDR Average (Indicative deposit rate average) Oslo Børs OSLMIT 401 Reference Data 34

35 3. Customer Testing All customers using the Customer Development Service (CDS) environment provided by Oslo Børs for the migration to Millennium Exchange are encouraged to use the reference data files provided from the SFTP/FTP server. There are no testing requirements for customers to certify against the new reference data service. 4. Enablement Access to the reference data service can be obtained via request to the address Upon request, customers will be provided with a username and password specifically for their use and will have their USAP given permission for access. Note: Any IP address from the USAP Subnet will be allowed access to the service. Usernames and passwords will be documented in the customer enablement/request forms. The username and password will be valid for both test and production in order to limit administration. 4.1 Connectivity Connectivity to the reference data services is provided via Oslo Børs proprietary network Extranex, FNN, VPNETT. Parameters for the reference data FTP services can be found in OSLMIT 604 Technical Parameters. Oslo Børs OSLMIT 401 Reference Data 35

36 Appendix 1 Issue updates This appendix describes the details of the changes made in each issue of this document. Issue 5.0 Released 16 June 2016 New issue of the document to include all Millennium Exchange Release 9.1 changes. Changes are made to the following sections: Section Instrument File Record Layout Description Deleted fields (all bond related): Maturity Date Dated Date First Coupon Date Coupon Discounting Frequency Coupon Coupon Type Penultimate coupon date New fields: Load ID. The matching engine itself can be split into multiple partitions, where the listed instruments are divided among the available partitions. This number will identify which partition the instrument belongs to. Micro Auction. Some instruments can be configured to have Micro Auctions (Reopening Auction Call Sessions configured to last for less than a second). RFQ Min Quantity. Can be used to set minimum quantity restrictions for RFQs. Only relevant for the bond instruments with RFQ support. RFQ BID-ASK Price. Can be used to set maximum percentage deviation between bid/ask in RFQs. Only relevant for bond instruments with RFQ enabled Trading Parameters File Record Layout New Security Type: Structured Products Updated fields: Max Random Time field is now expressed in milliseconds. Previously this was given in seconds. AESP Auction Duration is now expressed in milliseconds. Previously this was given in minutes. New fields: RFQ Type. This field indicates RFQ usage. RFQ is only relevant for the bond instruments. RFQ Anonymity. This field determines whether the RFQ requesters and receivers are known to each other. Only relevant for bond instruments with RFQ enabled. RFQ Duration. This sets the default and maximum duration (respond time) for private RFQs. Only relevant for bond instruments with RFQ enabled. Oslo Børs OSLMIT 401 Reference Data 36