FDS File Content Specification

Transcription

1 FDS File Content Specification TIP

2 1 Of This Document This document specifies the content of TIP files (files based on GCF data feed) distributed via File Delivery Service (FDS). Content has been described by listing the messages per each file. For other possibly required and related information, like included markets per file, please see the Chapter 3 (Related Material). For further information please contact: DataProducts@nasdaq.com Latest update February 5 th 2018 (Juha Riipinen). 2 General All the basic data and close files are in TIP format i.e. consist of TIP messages. TIP is the message protocol used in Genium Consolidated Feed (GCF) and these files are directly generated of the GCF feed. Therefore, any change in TIP protocol may have an impact on TIP files, subject to changed message being used in a file. Additions or removals of messages will be updated accordingly to this document. This document is being updated per each TIP release. Information about GCF/TIP and FDS service related changes is distributed via IT Notices and GCF and FDS web pages, only occasionally via direct letters to our technical contacts. IT Notices can be subscribed here: 2(14)

3 3 Related Material 3.1 Message details (TIP protocol) In this document file content is specified on message level. Message details (item level) has been specified in current TIP specification available on GCF web page: Market mapping Each file contains data of several markets. Market vs file mapping document describes which markets belong to each file. Mapping document is available on FDS web page: File Delivery Service (FDS) FDS is a web based file format and size independent NASDAQ solution, used for distributing files from several source systems. FDS is owned and managed by NASDAQ Global Data Products team. Systems details and documentation is available on FDS web page: Products and services For the files product information, please see the other documents available here: 3(14)

4 4 4.1 Basic Data Basic data files contain asset specific basic data details organized per exchange Equity Basic Data files XCSE_Stock_BasicData.tip XHEL_Stock_BasicData.tip XICE_Stock_BasicData.tip XLIT_Stock_BasicData.tip XRIS_Stock_BasicData.tip XSTO_Stock_BasicData.tip XTAL_Stock_BasicData.tip BasicDataTableEntry (BDTe) BasicDataSector (BDs) BasicDataShare (BDSh) BasicDataList (BDLi) Equity Related Basic Data files Equity related = Warrants, Certificates, Rights, Covered Warrants, ETNs and Convertibles XCSE_EquityRelated_BasicData.tip XHEL_EquityRelated_BasicData.tip XICE_EquityRelated_BasicData.tip XLIT_EquityRelated_BasicData.tip XSTO_EquityRelated_BasicData.tip BasicDataTableEntry (BDTe) BasicDataSector (BDs) BasicDataUnderlyingInfo (BDUi) BasicDataList (BDLi) 4(14)

5 4.1.3 Derivatives Basic Data files NOMX_Deriv_BasicData.tip XCSE_Deriv_BasicData.tip XHEL_Deriv_BasicData.tip XSTO_Deriv_BasicData.tip BasicDataUnderlyingInfo (BDUi) Commodities Basic Data NOMX_Comm_BasicData.tip Fixed Income Basic Data XCSE_Bond_BasicData.tip XHEL_Bond_BasicData.tip XICE_Bond_BasicData.tip XLIT_Bond_BasicData.tip XRIS_Bond_BasicData.tip XSTO_Bond_BasicData.tip XTAL_Bond_BasicData.tip BasicDataBond (BDBo) BasicDataList (BDLi) 5(14)

6 4.1.6 Fixed Income Derivatives Basic Data NOMX_BondDeriv_BasicData.tip XCSE_BondDeriv_BasicData.tip XSTO_DondDeriv_BasicData.tip 4.2 Close Close files contain asset specific basic data and closing information details organized per exchange. Some markets have 2 close files (Close1 and Close2) Equity Close files XCSE_Stock_Close2.tip XHEL_Stock_Close2.tip XICE_Stock_Close2.tip XLIT_Stock_Close2.tip XRIS_Stock_Close2.tip XSTO_Stock_Close2.tip XTAL_Stock_Close2.tip BasicDataTableEntry (BDTe) BasicDataSector (BDs) BasicDataShare (BDSh) BasicDataList (BDLi) OrderBookSummary (m) Equity Related Close Equity related = Warrants, Certificates, Rights, Covered Warrants, ETNs and Convertibles 6(14)

7 XCSE_EquityRelated_Close2.tip XHEL_EquityRelated_Close2.tip XICE_EquityRelated_Close2.tip XLIT_EquityRelated_Close2.tip XSTO_EquityRelated_Close2.tip BasicDataTableEntry (BDTe) BasicDataSector (BDs) BasicDataUnderlyingInfo (BDUi) BasicDataList (BDLi) IndicativeClosePrice (ICp) OrderBookSummary (m) Derivatives Close files NOMX_Deriv_Close2.tip XCSE_Deriv_Close2.tip XHEL_Deriv_Close2.tip XSTO_Deriv_Close2.tip BasicDataUnderlyingInfo (BDUi) OrderBookSummary (m) SettlementPrice (p) OpenInterest (Oi) Commodities Close NOMX_Comm_Close1.tip NOMX_Comm_Close2.tip OrderBookSummary (m) SettlementPrice (p) OpenInterest (Oi) 7(14)

8 4.2.5 Fixed Income Close XCSE_Bond_BasicData.tip XHEL_Bond_BasicData.tip XICE_Bond_BasicData.tip XLIT_Bond_BasicData.tip XRIS_Bond_BasicData.tip XSTO_Bond_BasicData.tip XTAL_Bond_BasicData.tip BasicDataBond (BDBo) BasicDataList (BDLi) OrderBookSummary (m) Fixed Income Derivatives Close NOMX_BondDeriv_BasicData.tip XCSE_BondDeriv_BasicData.tip XSTO_DondDeriv_BasicData.tip OrderBookSummary (m) SettlementPrice (p) 4.3 Reference Data Reference data files are trading member targeted files containing INET basic data. Content is for most parts overlapping with basic data files on INET markets. 8(14)

9 4.3.1 Equity Reference Data Baltic_Equity_RefData.tip Nordic_Equity_RefData.tip BasicDataBankDays (BDBd) BasicDataBond (BDBo) BasicDataBusinessDate (BDBu) BasicDataClearingVenue (BDCv) BasicDataFund (BDEt) BasicDataList (BDLi) BasicDataNonTradable (BDNt) BasicDataParticipant (BDp) BasicDataParticipantPermissions (BDPp) BasicDataRate (BDv) BasicDataRight (BDRi) BasicDataSector (BDs) BasicDataSectorMember (BDSm) BasicDataSettlementArrangements (BDSa) BasicDataShare (BDSh) BasicDataSource (BDSr) BasicDataTableEntry (BDTe) BasicDataTrader (BDTr) BasicDataTradeType (BDTt) BasicDataTradingDays (BDTd) BasicDataTradingScheme (BDTm) BasicDataTranslationTable (ATb) BasicDataUnderlyingInfo (BDUi) BasicDataUTC (BDUt) OrderbookReferencePrice (OBRf) Icelandic Bonds Reference Data ICE_Bond_RefData.tip BasicDataBankDays (BDBd) BasicDataBond (BDBo) BasicDataClearingVenue (BDCv) BasicDataFund (BDEt) BasicDataNonTradable (BDNt) BasicDataParticipant (BDp) BasicDataParticipantPermissions (BDPp) BasicDataRate (BDv) 9(14)

10 BasicDataRight (BDRi) BasicDataSector (BDs) BasicDataSectorMember (BDSm) BasicDataSettlementArrangements (BDSa) BasicDataShare (BDSh) BasicDataSource (BDSr) BasicDataTableEntry (BDTe) BasicDataTrader (BDTr) BasicDataTradeType (BDTt) BasicDataTradingDays (BDTd) BasicDataTradingScheme (BDTm) BasicDataTranslationTable (ATb) BasicDataUnderlyingInfo (BDUi) BasicDataUTC (BDUt) Index Reference Data Index_RefData.tip BasicDataIndex (BDIn) IndexMember (Im) 4.4 Daily Commodities Trading Statistics Commodities specific intra-day updated files providing trade statistics and open interest details, a.k.a TSTAT files. Commodities markets have also the regular basic data and closing files (see and 4.2.4). NOMX_Comm_TSTAT.tip TradeReport (b) Orderbook (o) OpenInterest (Oi) Rate (RAt) Trade (t) TradeStatistics (w) 10(14)

11 4.5 Other Fixed Income Bond Analytics Data BondAnalytics.tip BondAnalytics (BAn) Nordic Fixings Data Nordic_FI_Fixing.tip BasicDataRate (BDv) OrderMBO (n) Rate (RAt) Additional Danish Bonds End-of-day File XCSE_Bond_Add_EOD.tip BasicDataBondSupplementary (ABOn) InstrumentStatisticsExtended (INSb) InstrumentStatistics (INSs) 4.6 LMI files All LMI data LMI_All.tip ImplicitCost (Ic) OrderbookCoverage (OBc) OrderPriceStatistics (OPs) RoundTripCost (RTc) 11(14)

12 4.6.2 Implicit Cost LMI_ImplicitCost.tip ImplicitCost (Ic) Order Price Statistics LMI_OrderPriceStatistics.tip OrderPriceStatistics (OPs) Order Book Coverage LMI_OrderbookCoverage.tip OrderbookCoverage (OBc) Round Trip Cost LMI_RoundTripCost.tip RoundTripCost (RTc) 4.7 Other Corporate Actions File CAADS_FULL_DAY.tip CorporateActionMeta (CDCm) CorporateActionText (CDCt) CorporateActionLink (CDCl) 12(14)

13 4.7.2 Issuer Data File Issuers.tip BasicDataSector (BDs) BasicDataSource (BDSr) Exchange Traded Product Intraday updated reference data for mini futures. MF_FULL_DAY.tip ExchangeTradedProduct (Mf) Index End-of-day file Nordic_Index_EOD.tip BasicDataIndex (BDIn) IndexSummary (ICl) 13(14)

14 The NASDAQ OMX Group, Inc. is the world s largest exchange company. It delivers trading, exchange technology and public company services across six continents, with over 3,700 listed companies. NASDAQ OMX Group offers multiple capital raising solutions to companies around the globe, including its U.S. listings market; NASDAQ OMX Nordic, NASDAQ OMX Baltic, including NASDAQ OMX First North; and the U.S. 144A sector. The company offers trading across multiple asset classes including equities, derivatives, debt, commodities, structured products and ETFs. NASDAQ OMX Group technology supports the operations of over 70 exchanges, clearing organizations and central securities depositories in more than 50 countries. NASDAQ OMX Nordic and NASDAQ OMX Baltic are not legal entities but describe the common offering from NASDAQ OMX Group exchanges in Helsinki, Copenhagen, Stockholm, Iceland, Tallinn, Riga, and Vilnius. For more information about NASDAQ OMX, 14(14)