TRAX APA support on Thomson Reuters Elektron

Transcription

1 TRAX APA support on Thomson Reuters Elektron On the effective date, Thomson Reuters will support the TRAX APA data feed on its ultra-low latency data distribution network, Elektron. The Elektron coverage for this venue includes TRAX APA and MarketAxess MTF Level 1 market Price data (for day 1 release) supporting all of the MiFID II Asset Classes. The RIC syntax for TRAX APA and MarketAxess MTF for Level 1 data is as follows: RIC Structure for MP data and MIC Code MASG/SINT/XOFF/Others: <Symbol>+.TRXA RIC Structure for MP data and MIC Code MAEL: <Symbol>+.MAXM TRAX APA will be available via Thomson Reuters ultra-low latency Elektron network. Please see below for the complete field list for TRAX APA on Elektron. TRAX APA Basic Field Population FID Acronym FID # Field Description PROD_PERM 1 Product permissions information. DSPLY_NAME 3 Abbreviated name for the instrument. TRDPRC_1 6 Last trade price or value NETCHNG_1 11 Difference between latest trading price or value and the historical closing value or settlement price HIGH_1 12 Today's highest transaction value - Primary currency only. LOW_1 13 Today's lowest transaction value - Primary currency only. PRCTCK_1 14 The direction of trading from the previous trade - primary currency only CURRENCY 15 Currency in which the price is expressed (vehicle currency) TRADE_DATE 16 The date of the value in the field TRDPRC_1 OPEN_PRC 19 Today's opening price or value - primary currency only. HST_CLOSE 21 Yesterday's unadjusted closing value TRD_UNITS 53 The units of precision for the value in TRDPRC_1 for this instrument

2 PCTCHNG 56 MATUR_DATE 68 COUPN_RATE 69 Percentage change of the latest trade price or value from the historical close The date on which an instrument matures. For bonds when the borrowed amount is due for payback The fixed coupon rate assigned to an instrument when it is issued NUM_MOVES 77 Number of trades in primary currency today. HSTCLSDATE 79 Date of yesterday's closing price as held in HST_CLOSE FID 21 BOND_TYPE 104 Instrument classification for Fixed Income ISSUE_DATE 107 TRDVOL_1 178 RECORDTYPE 259 INSPRC 376 INSVOL 377 The date on which a bond was issued and begins to accrue interest Number of units or notional amount traded at the price reported in TRDPRC_1 Field which indicates the type of record and also the type of data in that record. When an exchange sends a correction report with details of both the cancelled and corrected price this field holds the inserted/corrected price. The volume associated with the price held in the field INSPRC (FID 376). BASE_CCY 544 Base or notional currency PREF_DISP 1080 The 'preferred' display template number. IBOR_SPRD 1471 Spread +/- Index. The difference in basis points above or below the index used for the coupon calculation RDN_EXCHD Venue ID where the trade is reported LIST_DATE 2160 Date of admission to trading or date of first trade TSRY_BENCH 2213 Benchmark price DENOM_INC 2967 Denomination Increment. The minimum incremental amount of the instrument's face value or minimum traded value DELIST_DAT 3232 Termination or delisting date PREV_DISP 3263 Field to hold original (4 digit) display template for DT upgrades. Same FID format as PREF_DISP so can hold any values that FID can. OFF_CLOSE 3372 The official closing price for this market ISIN_CODE 3655 International Security Identification Number PDTRDPRC 3880 PREDAYVOL 3881 PDTRDDATE 3882 The trade price(s) reported today but executed on a previous day The single trade volume(s) reported today but executed on a previous day Date for a trade reported a day or more after it was executed TRADE_ID 3900 Unique trade identification

3 UN_ISIN 4196 ISIN of underlying instrument or index/benchmark UN_ISIN 4196 ISIN of underlying instrument or index/benchmark PRICE_METH 4396 Price Method. How an instrument is quoted/traded, e.g. price, yield, discount, spread, volatility CONTEXT_ID 5357 The numeric identifier for the context of field usage. DDS_DSO_ID 6401 SPS_SP_RIC 6480 CFI_CODE 6512 DDS equivalent of the IDN FID DSO_ID. Has its own set of values. Populated in each underlying instrument by the provider as a reference to the appropriate SPS sub-provider level RIC CFI Code - Code indicating the ISO1962 standard for the security classification. CAN_PRC 6583 Price of the most recent cancelled trade CAN_VOL 6584 Volume of the most recent cancelled trade CAN_COND_N 6586 CAN_TRD_ID 6587 trade cancellation flag (native condition code - alphanumeric 4 chars long) Trade ID of a Cancelled Trade. This should be same the identifier as found in field TRADE_ID for the executed trade that is now cancelled. MIC_CODE 6589 APA's Segment Market Identification Code OFF_CLS_DT 6762 Date associated with OFF_CLOSE CAN_DATE 6775 INSTRD_DT 6810 DELBY_DT 6835 The original trade date of a cancelled trade populated in CAN_PRC. The date associated with trade cancellation and/or correction event The earliest date this RIC will be removed from Elektron distribution BCASTREF Contains the "primary RIC" used for accessing News XMIC_CODE 8493 APA's Operating Market Identification Code TRD_P_XID 8519 U_CUSIP 8543 MMT_CLASS 8582 RCS_AS_CL PD_TRDID 8644 MIC segment code or other identifier of the venue where the last update of TRDPRC_1 originated from Issue-level code assigned by CUSIP for identifying North American Securities for the underlying RIC of an instrument MMT Classification v3 or higher MiFID II compliant trade qualifier Alphabetical identifier for an RCS Asset Classification. Replaces RCS_AS_CLA(#4238) Unique trade identification for a trade reported more than one day after the trade was transacted INS_TRDID 8649 Unique trade identification for inserted/corrected trades PDSINT_IND 8684 Systematic internaliser indicator MiFID II for previous days trades

4 BAS_IDX_CD 8705 TRD_P_CCY 8993 SENIOR_CD 9014 Name of the index/benchmark of a floating rate bond or swap leg Currency code that the last update TRDPRC_1 originated from. Code representing the type of seniority the facility has in the company's overall debt structure ADM_APR_DT 9297 Date of approval of the admission to trading ADM_REQ_DT 9298 Date of request for admission to trading SRC_ES_DT 9302 Publication date PRETRD_LIS Pre Trade Large In Scale (LIS) Threshold PRETRDSSTI Pre Trade Size Specific To Instrument (SSTI) Threshold PSTTRD_LIS Post Trade Large In Scale (LIS) Threshold PSTTRDSSTI Post Trade Size Specific To Instrument (SSTI) Threshold TRD_BMKSPD Benchmark Spread - calculation based on trade value(s) CANVOL_DEC Volume of the most recent cancelled trade with decimal fraction INSVOL_DEC Volume in INSPRC (FID 376) with decimal fraction PDVOL_DEC ISS_LEI The single trade volume with decimal fraction reported today but executed on a previous day Legal Entity Identifier (LEI) of issuer or trading venue operator CURVE_PT Curve point of yield curve MMT_VER Provides the version of MMT that the value in MMT_CLASS is mapped from MIFIR_ID MiFIR identifier for non-equity instruments UN_TENOR PDTRDP_XID Term of the index/benchmark of a floating rate bond or swap leg MIC segment code or other identifier of the venue where the last update of PDTRDPRC originated from SINT_IND Systematic internaliser indicator MiFID II CURVE_NM Curve name for the yield curve of the instrument FISN Financial instrument short name in accordance with ISO ADM_TRD_RQ Request for admission to trading by issuer LIQIND_INS MiFID II Liquidity Indicator instrument LIQIND_SCL MiFID II Liquidity Indicator sub-class MIFD_AS_CL MiFID II Asset Class RPT_BS_CCY RPT_P_METH PD_P_CCY Base or notional currency as reported in the trade or quote message Price method of instrument as reported in the trade or quote message Currency code for the last update of the previous days price PDTRDPRC

5 SALTIM_NS INSTIM_NS CAN_TIM_NS Time of the last update to the field TRDPRC_1 (FID 6). Timestamp supporting up to nanosecond granularity Time of last trade cancellation and/or correction event - self describing timestamp supporting up to nanosecond granularity Time of original trade being cancelled - self describing timestamp supporting up to nanosecond granularity PDTRDTM_NS Time of previous day trade SRC_ES_NS Publication time stamp OFF_CLS_NS The time when OFF_CLOSE field was last updated AMTOS_UN The unscaled value for the total amount outstanding allowing for decimal fraction RPT_NOTNL Reported notional value for trade VEH_PERMID Vehicle Perm ID ISSAMT_UNS Un-scaled total amount of debt instruments at issue LTNOV_UNS ACVOL_UNS AMT_OS_UNS Value of the latest unscaled single trade turnover (TRDVOL_1 x TRDPRC_1) Unscaled accumulated number of shares, lots or contracts traded according to the market convention The unscaled value for the total number of shares or nominal value of bonds outstanding Thomson Reuters. All rights reserved. Republication or redistribution of Thomson Reuters content, including by framing or similar means, is prohibited without the prior written consent of Thomson Reuters. 'Thomson Reuters' and the Thomson Reuters logo are registered trademarks and trademarks of Thomson Reuters and its affiliated companies.