Taiwan Futures Exchange. Market Data Transmission Manual

Transcription

1 Taiwan Futures Exchange Market Data Transmission Manual (Market Data Transmission Network) Prepared by TAIFEX Ver. 2.16S (updated on 2017/11/23) This spec is for the feed that symbol format is linked with TWSE stock ID

2 Table of Contents I. Introduction... 4 A. Format development... 4 B. Data transmission... 4 II. Connection Architecture... 6 A. Connection requirements... 6 B. Architecture... 6 III. Data Format... 7 A. Information flow and message format... 7 B. Overview of Market Data C. Message Format and Field Description MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I

3 MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID: I MESSAGE ID:I MESSAGE ID:B MESSAGE ID:B MESSAGE ID:B MESSAGE ID: I MESSAGE ID: I MESSAGE ID:I MESSAGE ID: I MESSAGE ID: I D. Generation of Check-Sum IV. Multicast Group Definition Appendix 1 Summary of Changes... 86

4 Appendix 2 Overview of Message Format Appendix 3 Description of Product Prices Appendix 5 Product ID Appendix 6 Contract Ticker Symbol

5 I. Introduction A. Format development 1. As part of its efforts to internationalize and liberalize Taiwan s futures market and render trading information more transparent, Taiwan Futures Exchange (TAIFEX) plans to implement a policy to disclose the match price of each successful trade starting This policy stays in line with the implementation of continuous matching system in the futures market, which also means that data disclosed will rise sharply. 2. After rounds of discussions and consulting the views of information vendors regarding how to boost the content and frequency of data transfer that takes into account transfer rate, expandability, and market demands, TAIFEX decides to modify the transmission protocol and rates for connection with information vendors (futures commission merchants). Besides adopting UDP/IP protocol and using high-speed transmission of market data, TAIFEX has also looked at and revised the transmission format in the hope to boost data transfer capacity and processing efficiency. 3. After re-examining the current transmission format and content, TAIFEX has expanded and consolidated some data fields, and in consideration of future business development, saved some expandable fields to enhance program maintainability. B. Data transmission With the adoption of UDP/IP protocol and the use of high speed transfer rate, the bandwidth will increase significantly. After giving consideration to future system architecture and the expandability of data items, a HEADER field is added to the transmission format in compliance with UDP/IP protocol, which should help enhance the processing efficiency of vendors after they receive the market information. Revisions made to the message format are summed up as follows: 1. A message length field is added for receiver to tell the length of data packet. 2. To help reduce the costs of information vendors for hardware upgrade and boost the efficiency of line usage, TAIFEX plans to have different markets share the transmission lines and identify the source of transferred data by transmission code. 3. The field of transmission format code is moved to HEADER section. 4. A notation of message version is added so that in the event of format upgrade testing, Copyright 2017,TAIFEX 4

6 the receiver can tell whether the data are old version or new version. 5. The UDP multicast does not have the mechanism to guarantee packet delivery. Thus a field of transfer sequence number (INFORMATION-SEQ) is added, which allows the receiver to check whether complete data are received. Copyright 2017,TAIFEX 5

7 II. Connection Architecture A. Connection requirements 1. Router equipped with IGMP function and connection interface with at least 10M bps wan port (ex: Cisco 1941 or higher) for connection to the Market Data Transmission Network. 2. The transmission lines adopt UDP/IP multicast protocol. 3. Depending on needs, a vendor can use one or two routers to connect respectively to main (Xinyi) and backup (Taichung) data center via leased line for back-up. B. Architecture Copyright 2017,TAIFEX 6

8 III. Data Format A. Information flow and message format Message formats 1 Price limits and basic data (I010) 2 Matched prices and quantitie (I020) 3 Intra-day highs/lows (I021) 4 Opening price and quantity (I023) 5 Sum of order data (I030) 6 Bulletin data (I050) 7 Underlying index data (I060) 8 Closing market data (I070) 9 Closing market data (settlement price included) (I071) 10 Closing market data (settlement price and open interest included) (I072) 11 Combination product closing market data (I073) 12 Order book data (I080) 13 Quote request (I100) 14 Reference of stock options/futures and underlying stocks (I120) 15 Contract adjustment (I130) 16 System message (I140) 17 Contract basic data (I011) 18 Combine product block trade match data (B020) 19 Combine product block trade order book data (B080) 20 Negotiated block trade match data (B021) 21 Calculated opening price and volume (I022) 22 Reference best 5 bid/ask price and volume after calculated (I082) 23 HeartBeat (I000) 24 Calculated opening and closing price for underlying stocks (I064) 25 Underlying index data (I065) Reference data transmitting time: I011, I120, I130 reference data messages will be transmitted from 6:45 AM to 8:30 AM during regular trading period, and from 14:40 PM to 17:10 PM during after-hour trading period. I010 messages will be transmitted from 6:45 AM to 8:30 AM during regular trading period, and from 14:40 PM to market close during after-hour trading period. Because there is no settlement process after after-hour trading closed, I071, I072 messages will not be transmitted in after-hour trading. (1) Price limits and basic data I Message timing: send before market, interval of 60 seconds between messages, disclose for all products. Copyright 2017,TAIFEX 7

9 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (2) Matched prices and quantities I Message timing: Intra-day 125ms disclose interval. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (3) Intra-day highs/lows I Message timing: TAIFEX sends intra-day real-time changes of highs and lows. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (4) Opening price and quantity I Message timing: TAIFEX sends the first match price and quantity of the day when it takes place three times at one minute apart between each time. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (5) Sum of order data I Message timing: TAIFEX adds up the number of orders and sends real-time information. before market and intra-day display, interval of 5 seconds between messages, display of all products. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (6) Bulletin data I050 Copyright 2017,TAIFEX 8

10 1. Message timing: TAIFEX posts bulletin; interval between messages depends on the classification of the bulletin information. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (7) Underlying index data I Message timing: TAIFEX sends underlying data when there are changes to the contents except time. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (8) Closing market data I Message timing: TAIFEX sends closing market data of all products after market closing. The messages are 180 seconds apart; all products are disclosed. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (9) Closing market data (settlement price included) I Message timing: TAIFEX sends settlement prices in about 15 minutes after market closing. The messages are 180 seconds apart; all products are disclosed. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (10) Closing market data (settlement price and open interest included) I Message timing: The messages are 180 seconds apart; all products are disclosed. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve Copyright 2017,TAIFEX 9

11 the transferred data and display it. (2) wait for the next message. (11) Combination product closing market data I Message timing: TAIFEX sends the closing market data of combination product after market closing. The messages are 180 seconds apart; only combination product with trading activities in the day are disclosed. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (12) Order book data I Message timing: TAIFEX sends order book data for all products during market hours. The messages are 125ms apart; disclose only when there are changes to the quantity and/or price of the best five bid/ask prices (include order and quote). 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (13) Quote request I100 (display starts on 2004/05/31) 1. Message timing: TAIFEX sends real-time quote request messages during market hours. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (14) Reference of stock options/futures and underlying stocks I Message timing: TAIFEX sends reference of stock options/futures and underlying stock before market. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. Copyright 2017,TAIFEX 10

12 (15) Contract adjustment I Message timing: TAIFEX sends the message when there is adjustment to futures or options contract. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (16) System message: I Message timing: TAIFEX sends this message to FCM when there is special circumstance concerning its system. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (17) Contract basic data I Message timing: send before market, interval of 60 seconds between messages, disclose for all contracts. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (18) Combine product block trade match data B Message timing: Intra-day real-time disclose for combine product block trade. 2. Message format and content: Message ID B Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (19) Combine product block trade order book data B Message timing: TAIFEX sends order book data for combine product block trade during market hours. 2. Message format and content: Message ID B Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve Copyright 2017,TAIFEX 11

13 the transferred data and display it. (2) wait for the next message. (20) Negotiated block trade match data B Message timing: Intra-day real-time disclose for combine product block trade. 2. Message format and content: Message ID B Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (21) Calculated opening price and volume I Message timing: During the pre-opening session, disclose the calculated opening price and volume of call auction simulation. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (22) Reference best 5 bid/ask price and volume after calculated I Message timing: During the pre-opening session, disclose the reference best 5 bid/ask price and volume after call auction simulation. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (23) HeartBeat I Message timing: TAIFEX trading system will sent out heartbeat message periodically on every multicast group about every 30 seconds. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: The sole purpose of the heartbeat message is to keep routing trees alive. The dectect of missing hearbeat may mean encounter some network or system problem. However, whether other messages can still be sent or not is depend on the situation. (24) Calculated opening and closing price for underlying stocks I Message timing: TAIFEX sends calculated opening and closing price for underlying stocks when there are changes to the contents except time. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: Copyright 2017,TAIFEX 12

14 (1)refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. (25) Underlying index data I Message timing: TAIFEX sends underlying data when there are changes to the contents except time. 2. Message format and content: Message ID I Contracted vendors and FCM (clearing members) should: (1) refer to section "C. Message Format and Field Description" to accurately retrieve the transferred data and display it. (2) wait for the next message. Copyright 2017,TAIFEX 13

15 B. Overview of Market Data Futures MESSAGE-KIND TRANSMISSION-CODE I010 Price limits and basic data I020 Matched prices and quantities I070 Closing market data B020 Combine product block trade match data I030 I080 I071 B080 Sum of order data Order book data Closing market data Combine product (settlement price block trade order included) book data I011 I140 I072 B021 Contract basic data System message Closing market data Negotiated block (settlement price and trade match data open interest included) I050 I100 I073 Bulletin data Quote request Combination product closing market data I060 I021 Underlying index or Intra-day highs/lows stock data I120 I023 Reference of stock Opening price and futures and quantity underlying stock I130 I022 Contract adjustment Calculated opening price and volume I064 I082 Calculated opening Reference best 5 bid/ask and closing price for price and volume after underlying stocks calculated I065 Underlying index or stock data Copyright 2017,TAIFEX 14

16 Options 1 TRANSMISSION-CODE I010 Price limits and basic data I020 Matched prices and quantities I070 Closing market data I030 I080 I071 2 Sum of order data Order book information Closing market data (settlement price included) I011 I140 I072 3 Contract basic data System message Closing market data (settlement price and open interest included) 4 I050 Bulletin data I100 Quote request 5 I060 Underlying index or stock I021 Intra-day highs/lows MESSAGE-KIND 6 7 data I120 Reference of stock options and underlying stock I130 Contract adjustment I023 Opening price and quantity I022 Calculated opening price and volume I064 I082 Calculated opening and Reference best 5 bid/ask price closing price for and volume after calculated underlying stocks Every Multicast Group Transmission code 0 Message kind 0 I000 HeartBeat Copyright 2017,TAIFEX 15

17 C. Message Format and Field Description 1. MESSAGE ID: I010 MESSAGE NAME: Rise/fall limit and basic information HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "1": Futures "4": Options Disclosure of price limits, reference price, order quantity, match quantity, bulletin, and underlying index of individual product. MESSAGE-KIND X(1) 1 "1": Price limits and basic data of individual product INFORMATION-TIME 9(12) 6 Time of data () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I010 message VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version : 6 BODY-LENGTH 9(4) 2 Body length () BODY PROD-ID-S X(20) 20 Product ID RISE-LIMIT-PRICE1 9(9) 5 First upper price limit REFERENCE-PRICE 9(9) 5 Reference price PACK BCD FALL-LIMIT-PRICE1 9(9) 5 First lower price limit RISE-LIMIT-PRICE2 9(9) 5 Second upper price limit FALL-LIMIT-PRICE2 9(9) 5 Second lower price limit RISE-LIMIT-PRICE3 9(9) 5 Third upper price limit FALL-LIMIT-PRICE3 9(9) 5 Third lower price limit Refer to Refer to Refer to Refer to Refer to Refer to Refer to Copyright 2017,TAIFEX 16

18 PROD-KIND X(1) 1 Type of contract DECIMAL-LOCATOR 9(1) 1 Number of decimal digits in Refer to price fields STRIKE-PRICE-DECIMAL-L 9(1) 1 Number of decimal digits in Refer to OCATOR strike price of options product (Always 0 for futures) Appendix 5 BEGIN-DATE 9(8) 4 Listed date of product (YYYYMMDD) END-DATE 9(8) 4 Expiry date of product (YYYYMMDD) FLOW-GROUP 9(2) 1 Flow group DELIVERY-DATE 9(8) 4 Delivery date of product CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I010 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-KIND: Type of contract. I: Index R: Interest rate B: Bond C: Commodity S: Stock E:Currency DECIMAL-LOCATOR: Read the product price in related field based on the number of decimal digits provided in this field. For detailed description and example, please refer to. STRIKE-PRICE-DECIMAL-LOCATOR: Parse the 5-digit strike price for option expressed by PROD-ID based on the number of decimal digits provided in this field. For detailed description and example, please refer to Appendix 5. Message I010 transferred in the morning includes rise and fall limits for each stage and uses 0 if there are no rise and fall limit prices for the stage. FLOW-GROUP definition: FLOW-GROUP Open Time Close Time 1 08:45 13: :45 12: :45 13:30 Copyright 2017,TAIFEX 17

19 4 08:45 11: :45 16: :00 16: :45 18: :45 18: :45 14: :00 5:00 next day 11 17:25 5:00 next day CHECKSUM: Please see section D. Generation of Check-Sum. Because some reference data will not available until regular trading close, for after-hour trading I010 start transmitting time of each products will be different. Copyright 2017,TAIFEX 18

20 2. MESSAGE ID: I020 MESSAGE NAME: Matched prices and quantities HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "2": Futures. "5": Options. MESSAGE-KIND X(1) 1 "1": Display of matched trades (prices and quantities) INFORMATION-TIME 9(12) 6 Time of data () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I020 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 4 BODY-LENGTH 9(4) 2 Body length () PROD-ID X(40) 40 Product ID BODY MATCH-TIME 9(12) 6 Time of matched trade (PACK BCD) SIGN X(1) 1 Sign of price FIRST-MATCH-PRICE 9(9) 5 Price of first matched trade () FIRST-MATCH-QNTY 9(8) 4 Quantity of first matched trade () MATCH-DISPLAY-ITE X(01) 1 Notation to match data (BIT M MAP) MATCH-DATA OCCURS SIGN X(1) 1 Sign of price Price and quantity of matched trade hhmmssxxxxxx Refer to TY MATCH-PRICE 9(9) 5 Match price () Refer to MATCH-QUANTI 9(4) 2 Match quantity () MATCH-TOTAL-QTY 9(8) 4 Total match quantity (PACK BCD) MATCH-BUY-CNT 9(8) 4 Total number of matched buy orders () Copyright 2017,TAIFEX 19

21 MATCH-SELL-CNT 9(8) 4 Total number of matched sell orders () STATUS-CODE 9(2) 1 Status code 00: Normal CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE : 0D 0A) PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. SIGN: The match prices of a combination product can be positive or negative. Thus this field identifies the positive/negative sign of the price. '0 : Positive '-': Negative Notation to display items: Use individual bit to indicate display item (expressed in binary value) Bit 7 = 1 means the first packet sent this time 0 means the continuation of the last packet Bit 6-0 = (range ): number of match price and match quantity sent INFORMATION-SEQ:The serial number of I020 message sent, which is assigned based on Explanation: market (futures or options) and message version No., and increments from The body has variable length. The content of body may have three conditions: (1) In case of 1 order and 1 matched trade MATCH-TIME, FIRST-MATCH-PRICE and FIRST-MATCH-QNTY disclose the time, price and quantity of the matched trade; in MATCH-DISPLAY-ITEM, Bit 7=1, Bit 6-0= (2) In case of 1 order and 97 matched trades FIRST-MATCH-PRICE and FIRST-MATCH-QNTY disclose the price and quantity of the first matched trade; in MATCH-DISPLAY-ITEM, Bit 7=1, Bit 6-0= , followed by 96 sets of MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 2 nd to the 97 th matched trades, and MATCH-TIME is the match time of the 97 th trade. (3) In case of 1 order and 200 matched trades, the message is divided into 2 packets Copyright 2017,TAIFEX 20

22 First packet: MATCH-TIME discloses the match time of 128 th trade; FIRST-MATCH-PRICE and FIRST-MATCH-QNTY are the price and quantity of the first matched trade; in MATCH-DISPLAY-ITEM, Bit 7=1, Bit 6-0= , followed by followed by 127 sets of MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 2 nd to the 128 th matched trades. Second packet: MATCH-TIME discloses the match time of the 200 th trade, FIRST-MATCH-PRICE and FIRST-MATCH-QNTY are the price and quantity of the 129 th matched trade; in MATCH-DISPLAY-ITEM, Bit 7=0, Bit 6-0= , followed by 71 sets of MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 130 th to the 200 th matched trades. 2. In fact, each packet will contain up to 70 match prices and quantities in addition to the price and quantity of the first match. Copyright 2017,TAIFEX 21

23 3. MESSAGE ID: I021 MESSAGE NAME: Intra-day highs and lows HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "2": Futures "5": Options MESSAGE-KIND X(1) 1 "5": Intra-day high/low INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I021 message () VERSION-NO 9(2) 1 Message version No. Current version: 3 BODY-LENGTH 9(4) 2 Body length () BODY PROD-ID X(40) 40 Product ID SIGN X(1) 1 Positive/negative sign 9(9) 5 Day s highest match price DAY-HIGHT-PRICE SIGN X(1) 1 Positive/negative sign DAY-LOW-PRICE SHOW_TIME 9(9) 5 Day s lowest match price Refer to Refer to 9(12) 6 Time when the last price hhmmssxxxxxx shows up () CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I021 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. SIGN: The match prices of a combination product can be positive or negative. Thus this field identifies the positive/negative sign of the price. '0': Positive '-': Negative CHECKSUM:Please see section D. Generation of PROD-ID (Check-Sum). Copyright 2017,TAIFEX 22

24 4. MESSAGE ID: I023 MESSAGE NAME: Opening price and quantity HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "2": Futures "5": Options MESSAGE-KIND X(1) 1 "6": Opening price and quantity INFORMATION-TIME 9(12) 6 Data time ( hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I023 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 3 BODY-LENGTH 9(4) 2 Body length () PROD-ID X(40) 40 Product ID MATCH-TIME 9(12) 6 Time of matched trade (PACK BCD) hhmmssxxxxxx BODY SIGN X(1) 1 Positive/negative sign FIRST-MATCH-PRICE 9(9) 5 Opening price () Refer to FIRST-MATCH-QNTY 9(8) 4 Opening quantity () CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE : 0D 0A) INFORMATION-SEQ: The serial number of I023 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. SIGN: The match prices of a combination product can be positive or negative. Thus this field identifies the positive/negative sign of the price. '0': Positive '-': Negative CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 23

25 5. MESSAGE ID: I030 MESSAGE NAME: Sum of order information HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "1": Futures "4": Options MESSAGE-KIND X(1) 1 "2": Individual product order quantity INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of message I030 () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 2 BODY-LENGTH 9(4) 2 Body length () BODY PROD-ID X(40) 40 Product ID BUY-ORDER 9(8) 4 Total number of buy order () BUY-QUANTITY 9(8) 4 Total number of buy contracts ordered () SELL-ORDER 9(8) 4 Total number of sell orders () SELL-QUANTITY 9(8) 4 Total number of sell contracts ordered ( CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I030 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 24

26 INFORMATION-SEQ: The serial number of I030 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 25

27 6. MESSAGE ID: I050 MESSAGE NAME: Bulletin information HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "1": futures "4": options Market data MESSAGE-KIND X(1) 1 "4": Bulletin INFORMATION-TIME 9(12) 6 Data time hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I050 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version : 1 BODY-LENGTH 9(4) 2 Body length () BODY BUILTIN-KEY 9(4) 2 No. of the bulletin (key value) () BUILTIN-DATA X(80) 80 Bulletin data CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I050 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 26

28 7. MESSAGE ID: I060 MESSAGE NAME: Underlying index or stock data HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "1": futures "4": options Market data MESSAGE-KIND X(1) 1 "5": Underlying index information INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I060 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version:3 BODY-LENGTH 9(4) 2 Body length () BODY KIND X(8) 8 Index or stock symbol STATUS-ITEM X(2) 2 Status notation (BIT MAP) Following fields depend on STATUS-ITEM VALUE 9(7)V Value () TIME 9(12) 6 Time hhmmssxxxxxx () DATE X(8) 8 Date YYYYMMDD CHECK-SUM X(01) 1 Check-sum TL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I060 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. CHECKSUM: Please see section D. Generation of Check-Sum. STATUS-ITEM:Following fields depend on STATUS-ITEM Bit 6-15 = 0 reserved Bit 5: DATE data date 1:exist 0:not exist Copyright 2017,TAIFEX 27

29 Bit 4: TIME date time 1:exist 0: not exist zero value presents reference price Bit 3: VALUE fixing price 1: exist 0: not exist Bit 2: VALUE ask price 1: exist 0: not exist Bit 1: VALUE bid price 1: exist 0: not exist Bit 0: VALUE match price 1: exist 0: not exist example: STATUS-ITEM Bit values of are 1,other values are 0,decode the follow data: VALUE match price (Bit 0) VALUE bid price (Bit 1) VALUE ask price (Bit 2) TIME date time (Bit 4) Note: 1. No underlying for Taiwan 50, Gold, Bond, EUR/USD, USD/JPY, DJIA, S&P 500, AUD/USD, GBP/USD, TOPIX, Nifty 50 Index. 2. bid price, ask price, fixing price, data date is only used by currency now Copyright 2017,TAIFEX 28

30 8. MESSAGE ID: I070 MESSAGE NAME: Closing market data HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "3": futures "6": options Closing market data MESSAGE-KIND X(1) 1 "1": Market data INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxxx INFORMATION-SEQ 9(8) 4 Serial number of I070 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 2 BODY-LENGTH 9(4) 2 Body length () BODY PROD-ID-S X(20) 20 Product ID TERM-HIGH-PRICE 9(9) 5 Highest price of the term Refer to () TERM-LOW-PRICE 9(9) 5 Lowest price of the term Refer to () HIGH-PRICE 9(9) 5 highest price () Refer to LOW-PRICE 9(9) 5 lowest price () Refer to OPEN-PRICE 9(9) 5 Opening price () Refer to BUY-PRICE 9(9) 5 Final buy (bid) price (PACK BCD) Refer to SELL-PRICE 9(9) 5 Final sell (ask) price (PACK BCD) Refer to CLOSE-PRICE 9(9) 5 Closing price () Refer to BO_COUNT_TAL 9(8) 4 Total number of buy orders () Copyright 2017,TAIFEX 29

31 BO_QNTY_TAL 9(8) 4 Total quantity of buy contracts ordered (PACK BCD) SO_COUNT_TAL 9(8) 4 Total number of sell orders () SO_QNTY_TAL 9(8) 4 Total quantity of sell contracts ordered (PACK BCD) TOTAL_COUNT 9(8) 4 Total number of matched trades () TOTAL_QNTY 9(8) 4 Total quantity of contracts matched () COMBINE_BO_COUNT_T AL 9(8) 4 Combined total of buy orders () COMBINE_BO_QNTY_TA L 9(8) 4 Combined total quantity of buy contracts ordered (PACK BCD) COMBINE_SO_COUNT_T AL 9(8) 4 Combined total of sell orders () COMBINE_SO_QNTY_TA L 9(8) 4 Combined total quantity of sell contracts ordered (PACK BCD) COMBINE_TOTAL_QNTY 9(8) 4 Combined total of matched contracts () CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I070 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. In I070, all statistics except TERM-HIGH-PRICE and TERM-LOW-PRICE only contain information from single trading period ( regular or after-hour trading). The statistical values in five fields of "Combined total of buy orders", "Combined total quantity of buy contracts ordered", "Combined total of sell orders", "Combined total quantity of sell contracts ordered", and "Combined total of matched contracts" include the entries in combination order book. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 30

32 9. MESSAGE ID: I071 MESSAGE NAME: Closing market data (settlement price included) HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "3": futures "6": options Closing market data MESSAGE-KIND X(1) 1 "2": Market data INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I071 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 2 BODY-LENGTH 9(4) 2 Body length () x BODY PROD-ID-S X(20) 20 Product ID TERM-HIGH-PRICE 9(9) 5 Highest price of the term Refer to () TERM-LOW-PRICE 9(9) 5 Lowest price of the term Refer to () HIGH-PRICE 9(9) 5 highest price () Refer to LOW-PRICE 9(9) 5 lowest price () Refer to OPEN-PRICE 9(9) 5 Opening price () Refer to BUY-PRICE 9(9) 5 Final buy (bid) price (PACK BCD) Refer to SELL-PRICE 9(9) 5 Final sell (ask) price (PACK BCD) Refer to CLOSE-PRICE 9(9) 5 Closing price () Refer to BO_COUNT_TAL 9(8) 4 Total number of buy orders () Copyright 2017,TAIFEX 31

33 BO_QNTY_TAL 9(8) 4 Total quantity of buy contracts ordered () SO_COUNT_TAL 9(8) 4 Total number of sell orders () SO_QNTY_TAL 9(8) 4 Total quantity of sell contracts ordered () TOTAL_COUNT 9(8) 4 Total number of matched trades () TOTAL_QNTY 9(8) 4 Total number of contracts matched () COMBINE_BO_COUNT_T AL 9(8) 4 Combined total of buy orders () COMBINE_BO_QNTY_TA L 9(8) 4 Combined total quantity of buy contracts ordered (PACK BCD) COMBINE_SO_COUNT_T AL 9(8) 4 Combined total of sell orders () COMBINE_SO_QNTY_TA L 9(8) 4 Combined total quantity of sell contracts ordered (PACK BCD) COMBINE_TOTAL_QNTY 9(8) 4 Combined total of matched contracts () SETTLEMENT-PRICE 9(9) 5 Settlement price () See Appendix 4 CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I071 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. In I071, all statistics except TERM-HIGH-PRICE and TERM-LOW-PRICE only contain information from single trading period ( regular or after-hour trading). The statistical values in five fields of "Combined total of buy orders", "Combined total quantity of buy contracts ordered", "Combined total of sell orders", "Combined total quantity of sell contracts ordered", and "Combined total of matched contracts" include the entries in combination order book. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 32

34 Note: For the product whose delivery date is the same as its expiry date, settlement price will be transmitted with a value of "0" on the day of expiration. Upon receiving this message, vendors should disclose the daily settlement price for expired contract as blank. Copyright 2017,TAIFEX 33

35 10. MESSAGE ID: I072 MESSAGE NAME: Closing market data (settlement price and open interest included) HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "3": futures "6": options Closing market data MESSAGE-KIND X(1) 1 "3": Market data INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I072 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 3 BODY-LENGTH 9(4) 2 Body length () x BODY PROD-ID-S X(20) 20 Product ID TERM-HIGH-PRICE 9(9) 5 Highest price of the term Refer to () TERM-LOW-PRICE 9(9) 5 Lowest price of the term Refer to () HIGH-PRICE 9(9) 5 highest price () Refer to LOW-PRICE 9(9) 5 lowest price () Refer to OPEN-PRICE 9(9) 5 Opening price () Refer to BUY-PRICE 9(9) 5 Final buy (bid) price (PACK BCD) Refer to SELL-PRICE 9(9) 5 Final sell (ask) price (PACK BCD) Refer to CLOSE-PRICE 9(9) 5 Closing price () Refer to BO_COUNT_TAL 9(8) 4 Total number of buy orders () Copyright 2017,TAIFEX 34

36 BO_QNTY_TAL 9(8) 4 Total quantity of buy contracts ordered () SO_COUNT_TAL 9(8) 4 Total number of sell orders () SO_QNTY_TAL 9(8) 4 Total quantity of sell contracts ordered () TOTAL_COUNT 9(8) 4 Total number of matched trades () TOTAL_QNTY 9(8) 4 Total number of contracts matched () COMBINE_BO_COUNT_T AL 9(8) 4 Combined total of buy orders () COMBINE_BO_QNTY_TA L 9(8) 4 Combined total quantity of buy contracts ordered (PACK BCD) COMBINE_SO_COUNT_T AL 9(8) 4 Combined total of sell orders () COMBINE_SO_QNTY_TA L 9(8) 4 Combined total quantity of sell contracts ordered (PACK BCD) COMBINE_TOTAL_QNTY 9(8) 4 Combined total of matched contracts () SETTLEMENT-PRICE 9(9) 5 Settlement price () Refer to OPEN-INTEREST 9(8) 4 Open interest () BLOCK_TRADE_QNTY 9(8) 4 Total matched contracts of block trade () CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I072 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. The statistical values in the following 6 fields: "HIGH-PRICE", "LOW-PRICE", "OPEN-PRICE", "BUY-PRICE", "SELL-PRICE" and "CLOSE-PRICE" will only contain information from single trading period ( regular or after-hour trading). The statistical values in the following 12 fields: "BO_COUNT_TAL", "BO_QNTY_TAL", Copyright 2017,TAIFEX 35

37 "SO_COUNT_TAL", "SO_QNTY_TAL", "TOTAL_COUNT", "TOTAL_QNTY", "COMBINE_BO_COUNT_TAL", "COMBINE_BO_QNTY_TAL", "COMBINE_SO_COUNT_TAL", "COMBINE_SO_QNTY_TAL", "COMBINE_TOTAL_QNTY" and "OPEN-INTERES" will contain information of normal and block trade from both regular and after-hour trading period. The statistical values in the following 5 fields: "COMBINE_BO_COUNT_TAL", "COMBINE_BO_QNTY_TAL", "COMBINE_SO_COUNT_TAL", "COMBINE_SO_QNTY_TAL" and "COMBINE_TOTAL_QNTY" will contain the entries in combination order book from both regular and after-hour trading period. Value of "BLOCK_TRADE_QNTY" field will contain block trade volume from both regular and after-hour trading period. CHECKSUM: Please see section D. Generation of Check-Sum. Note: For the product whose delivery date is the same as its expiry date, settlement price will be transmitted with a value of "0" on the day of expiration. Upon receiving this message, vendors should disclose the daily settlement price for expired contract as blank. About opening price in I070, I071, and I072 (1) When the orders are matched on a aggregate auction basis, the opening price is the price so matched, also the First-Match-Price in the product s first I020 packet. (2) When there is no aggregate auction, but continuous matching, the opening price is the last match price in the session, which will fall on a certain price level in the first I020 packet of the product. (3) When there is no aggregate auction, nor continuous matching, the opening reference price is equal to the closing price; in such event, the opening prices of options are equal to zero and equal to the closing prices. Copyright 2017,TAIFEX 36

38 11. MESSAGE ID: I073 MESSAGE NAME: Combination product closing market data HEADER BODY FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "3": Futures Closing market data MESSAGE-KIND X(1) 1 "4": Combination product market data INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I073 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 1 BODY-LENGTH 9(4) 2 Body length () PROD-ID X(40) 40 Product ID SIGN X(1) 1 Positive/negative sign 9(9) 5 Highest price of the term Refer to TERM-HIGH-PRICE () SIGN X(1) 1 Positive/negative sign 9(9) 5 Lowest price of the term Refer to TERM-LOW-PRICE () SIGN X(1) 1 Positive/negative sign HIGH-PRICE 9(9) 5 highest price () Refer to SIGN X(1) 1 Positive/negative sign LOW-PRICE x 9(9) 5 lowest price () Refer to SIGN X(1) 1 Positive/negative sign OPEN-PRICE 9(9) 5 Opening price () Refer to SIGN X(1) 1 Positive/negative sign BUY-PRICE 9(9) 5 Final buy (bid) price (PACK Refer to BCD) SIGN X(1) 1 Positive/negative sign Copyright 2017,TAIFEX 37

39 SELL-PRICE 9(9) 5 Final sell (ask) price (PACK Refer to BCD) SIGN X(1) 1 Positive/negative sign CLOSE-PRICE 9(9) 5 Closing price () Refer to BO_COUNT_TAL 9(8) 4 Total number of buy orders () BO_QNTY_TAL 9(8) 4 Total quantity of buy contracts ordered () SO_COUNT_TAL 9(8) 4 Total number of sell orders () SO_QNTY_TAL 9(8) 4 Total quantity of sell contracts ordered () TOTAL_COUNT 9(8) 4 Total number of matched trades () TOTAL_QNTY 9(8) 4 Total number of contracts matched () CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I073 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 20 bytes. SIGN: The match prices of a combination product can be positive or negative. Thus this field identifies the positive/negative sign of the price. '0': Positive '-': Negative Because the price of combination product can be 0, we can not use 0 to represent the NULL value of price fields in I073. We use the special value to represent the NULL value of price fields in I073. Example: In some day if one combination product does not have any match data, it's DAY-HIGH-PRICE, DAY-LOW-PRICE, OPEN-PRICE, CLOSE-PRICE will be represented by In I073, all statistics except TERM-HIGH-PRICE and TERM-LOW-PRICE only contain information from single trading period ( regular or after-hour trading). CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 38

40 This format is used to display the closing market data on combination product. Only combination product with trading activities in the day are displayed. Copyright 2017,TAIFEX 39

41 12. MESSAGE ID: I080 MESSAGE NAME: Order book information HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "2": futures "5": options Market data MESSAGE-KIND X(1) 1 "2": Order book disclosure INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I080 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version: 2 BODY-LENGTH 9(4) 2 Body length () x BODY PROD-ID X(40) 40 Product ID OCCURS 5 50 Best five bid prices and BUY-ORDER-BOOK quantities () SIGN X(1) 1 Positive/negative sign BUY-PRICE BUY-QUANTITY 9(9) 5 Best bid price () Refer to 9(8) 4 Quantity at this bid price () OCCURS 5 50 Best five ask prices and SELL-ORDER-BOOK quantities () SIGN X(1) 1 Positive/negative sign SELL-PRICE SELL-QUANTITY DERIVED-FLAG 9(9) 5 Best ask price () Refer to 9(8) 4 Quantity at this ask price () 9(2) 1 Flag for derived orders? 01: Read the following four fields 00: The following four fields are not present Copyright 2017,TAIFEX 40

42 9(9) 5 The first bid price for the Refer to FIRST-DERIVED-BUY-PRIC E derived order 9(8) 4 Quantity at the first bid price FIRST-DERIVED-BUYfor the derived order QUANTITY 9(9) 5 The first ask price for the Refer to FIRST-DERIVED-SELL-PRI CE derived order 9(8) 4 Quantity at the first ask price FIRST-DERIVED-SELL-QU ANTITY for the derived order CHECK-SUM X(01) 1 Check sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) INFORMATION-SEQ: The serial number of I080 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 40 bytes. SIGN: The match prices of a combination product can be positive or negative. Thus this field identifies the positive/negative sign of the price. '0': Positive '-': Negative DERIVED-FLAG: The presence or absence of derived flag indicates whether there are derived orders, but only the best buy (bid) and sell (ask) prices and quantities are displayed. 01: Read the following four fields 00: The following four fields are not present The presentation form of market price is canceled. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 41

43 13. MESSAGE ID: I100 MESSAGE NAME: Quote request HEADER FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "2": Futures "5": Options Market data MESSAGE-KIND X(1) 1 "4": Request for quote data INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx INFORMATION-SEQ 9(8) 4 Serial No. of I100 message () VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version : 2 BODY-LENGTH 9(4) 2 Body length () x BODY PROD-ID-S X(20) 20 Product ID DISCLOSURE-TIME 9(12) 6 Request disclosure time 9(3) 2 Request duration (SSS DURATION-TIME (seconds)) CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE:OD OA) hhmmssxxxxx x INFORMATION-SEQ: The serial number of I100 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. CHECKSUM: Please see section D. Generation of Check-Sum. Copyright 2017,TAIFEX 42

44 14. MESSAGE ID: I120 MESSAGE NAME: Reference of stock options/futures and underlying stock FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-CODE X(1) 1 "1": Market data of HEADER futures "4": Market data of options MESSAGE-KIND X(1) 1 "6": Information of underlying INFORMATION-TIME 9(12) 6 Data time hhmmssxxxxxx BODY INFORMATION-SEQ 9(8) 4 Serial No. of I120 message ( ) VERSION-NO 9(2) 1 Message version No. () Current version : 1 BODY-LENGTH 9(4) 2 Body length (PACK BCD) INDEX-KIND X(8) 8 Ticker symbol of stock options INDEX-NUMBER X(6) 6 Stock code INDEX-VALUE 9(5)V999 4 Reference opening price of underlying () INDEX-STATUS X(01) 1 Status code (P/N) CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE : 0D 0A) INFORMATION-SEQ: The serial number of I120 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. CHECKSUM: Please see section D. Generation of Check-Sum. Example: TSMC INDEX-KIND=AAO INDEX-NUMBER=2330 Copyright 2017,TAIFEX 43

45 15. MESSAGE ID: I130 MESSAGE NAME: Stock options/futures contract adjustment FIELD NAME FORMAT LENG CONTENTS COMMENT ESC-CODE X(1) 1 (ASCII 27) TRANSMISSION-COD X(1) 1 "1": Futures HEADER E "4": Options MESSAGE-KIND X(1) 1 "7": Stock options/futures contract adjustment INFORMATION-TIME 9(12) 6 Data time () hhmmssxxxxx x BODY INFORMATION-SEQ 9(8) 4 Serial No. of I130 message() VERSION-NO 9(2) 1 Message version No. (PACK BCD) Current version : 2 BODY-LENGTH 9(4) 2 Body length () CADJ_BASE_DATE 9(8) 4 Contract adjustment base date () CADJ_BF_KIND_ID X(08) 8 CADJ_BF_STOCK_ID X(06) 6 CADJ_BF_STOCK_Q NTY CADJ_BF_STOCK_CA SH2 CADJ_BF_STOCK_CA SH3 CADJ_BF_STOCK_ID 4 CADJ_BF_STOCK_Q NTY4 9(6)V (8)V99 5 9(6)V X(06) 6 9(6)V CADJ_AF_KIND_ID X(08) 8 Before-adjustment contract symbol Before-adjustment underlying 1 - stock ID Before-adjustment underlying1- number of shares () Before-adjustment underlying 2 - cash () Before-adjustment underlying 3 - cash capital increase value () Before-adjustment underlying 4 - stock ID Before-adjustment underlying 4- number of shares (PACK BCD) After-adjustment symbol contract Copyright 2017,TAIFEX 44

46 CADJ_AF_STOCK_ID X(06) 6 CADJ_AF_STOCK_Q NTY CADJ_AF_STOCK_CA SH2 CADJ_AF_STOCK_PR ICE3 CADJ_AF_STOCK_Q NTY3 CADJ_AF_STOCK_DA TE3 CADJ_AF_STOCK_ID 4 CADJ_AF_STOCK_Q NTY4 9(6)V (8)V99 5 9(6)V (6)V (8) 4 X(06) 6 9(6)V After-adjustment underlying 1 - stock ID After-adjustment underlying 1 - change in number of shares () After-adjustment underlying 2 - cash () After-adjustment underlying 3 - subscription price () After-adjustment underlying 3 - number of shares subscribed () Payment deadline for cash capital increase () After-adjustment underlying 4 -stock ID After-adjustment underlying 4 - change in number of shares () CADJ_DIVIDEND_DA Ex-right/ex-dividend date 9(8) 4 TE () CHECK-SUM X(01) 1 Check-sum TERMINAL-CODE X(02) 2 (HEXACODE : 0D 0A) INFORMATION-SEQ: The serial number of I130 message sent, which is assigned based on market (futures or options) and message version No., and increments from 1. CHECKSUM: Please see section D. Generation of Check-Sum. CADJ_AF_STOCK_QNTY:The format of this field is 9(6)V9999, where the figure at farthest left is used to express positive or negative sign; 0 means positive, and 1 means negative. Example: (1) CADJ_AF_STOCK_QNTY = means capital decrease of shares. If expressed in PACD BCD format after compression, it is 0X100X540X000X120X34. (2) CADJ_AF_STOCK_QNTY = means capital increase of shares. If expressed in PACD BCD format after compression, it is 0X000X540X00X120X34. Copyright 2017,TAIFEX 45