BENCHMARKS TRADE ANALYTICS FOR REFERENCE - DATAFEEDS MARCH 20, 2018
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TABLE OF CONTENTS Questions? 4 Related Documents and Training 4 Introduction 4 How Do I Use the Datafeed Site? 5 Time Formats: Trade Analytics 5 Raw Data Report - Trade Analytics 7 Datafeed File for Brokers 7 Datafeed File for Investment Managers 11
Questions? The Client Contact Center (CCC) provides general assistance and technical help. Visit www.omgeo.com/servicecentral to: Enter a service request or check the status of an existing service request Search the DTCC knowledge base Access the DTCC documentation library Obtain contact information Related Documents and Training For related documents and training in the DTCC Learning Center related to the CTM service, go to Institutional Trade Processing CTM.For related documents and training in the DTCC Learning Center related to the service, go to Institutional Trade Processing. Introduction TheBenchmarks service is DTCC's performance measurement solution for broker/dealers and investment managers. The Benchmarks service allows you to monitor and analyze your operational performance against industry standards and to evaluate the timeliness and performance of your counterparties. The Benchmarks service includes the following components: Trade Analytics Business Intelligence Reports Trade Analytics, available at https://www.omgeobenchmarks.com, provides you with a flexible and efficient way to analyze your trading performance across debt and equity asset classes. This is the recommended reporting that DTCC offers. As an optional add-on, you can alternatively choose to use the raw data analyzed by Trade Analytics. This raw data is designed for sophisticated users who have their own analytical abilities. It is available as a downloadable file at https://www.omgeobenchmarks.com/datafeed. The file comes in standard formats, available either weekly or monthly. It includes data such as: o Allocations the service o Acceptances the service o Market Close to OU Receipt Hours o Acceptance Time Bandings o Same Day Allocations and Acceptance o Fixed Security s Note DTCC is unable to advise on any downstream usage of the datafeed beyond a description of its content and ensuring delivery of and ability to download the file. Find more documentation on the service in the Institutional Trade Processing - Learning Center. For descriptions and formats of the fields in the file., see Raw Data Report - Trade Analytics on page 7. DTCC Internal (Green) Page 4
How Do I Use the Datafeed Site? To use the Benchmarks datafeed site: 1. Log onto the Benchmarks service using your Benchmarks user \name and password. Note These credentials may be distinct from your Benchmarks Trade Analytics username and password. 2. Click the report to download. a. Monthly report file names have the form YYYY.MM.DefaultM.Tab.zip. YYYY represents the Year MM is 01-12, and represents the month of the data contained within the file. Default is the name of the template available. The final M indicates that the file is monthly file. The.zip extension indicates that the files is zipped (compressed). b. Weekly report files names have the form YYYY.MM.DD.DefaultW.zip. YYYY represents the Year. M is 01-12, and represents the month of the data contained within the file. DD are the days for the weekly data starts. Default is the name of the template available. W indicates that the file is a weekly file. The.zip extension indicates that the file is zipped (compressed). Note The Benchmarks service aims to keep datafeed files for a minimum of one year. However, use local storage as the primary backup for all files prior to the current period. 3. Analyze the data in the report, as desired. DTCC does not advise on usage of the datafeed, but recommends the Trade Analytic Reports. Time Formats: Trade Analytics To ease the mathematical operations that you perform on the data, the Benchmarks Trade Analytics serviceuses fractions of hours for all measures of time duration. Table 1 describes the most common time fractions, presented from smallest to largest. Table 1 Time Formats - Trade Analytics Hours (Fraction) Minutes Long Form 0.01 0.5 30 Seconds 0.02 1 1 minute 0.03 2 2 minutes 0.05 3 3 minutes 0.07 4 4 minutes DTCC Internal (Green) Page 5
Table 1 Time Formats - Trade Analytics (continued) Hours (Fraction) Minutes Long Form 0.08 5 5 minutes 0.17 10 10 minutes 0.25 15 15 minutes 0.33 20 20 minutes 0.42 25 25 minutes 0.50 30 30 minutes 0.58 35 35 minutes 0.67 40 40 minutes 0.75 45 45 minutes 0.83 50 50 minutes 0.92 55 55 minutes 1.00 60 1 hour 1.08 65 1 hour 5 minutes 1.17 70 1 hour 10 minutes 1.25 75 1 hour 15 minutes 1.33 80 1 hour 20 minutes 1.42 85 1 hour 25 minutes 1.50 90 1 hour 30 minutes 1.58 95 1 hour 35 minutes 1.67 100 1 hour 40 minutes 1.75 105 1 hour 45 minutes 1.83 110 1 hour 50 minutes 1.92 115 1 hour 55 minutes 2.00 120 2 hours DTCC Internal (Green) Page 6
Raw Data Report - Trade Analytics The Benchmarks service can format your datafeed file for the Raw Data report in either of two formats, tab or csv delimited. It can contain any acronyms that are part of your Trade Analytics subscription. Datafeed File for Brokers Table 2 describes the available datafeed file fields, in the datafeed file format that DTCC recommends for brokers. The only difference between the broker and investment manager versions is the order of the identifiers in columns two through ten. This datafeed extends and complements the data available in the Trade Analytics Downloadable Detail Report. Table 2 table displays the data elements in logical groupings. Table 2 Datafeed File for Broker/Dealers Number Column 1 Time Period The time period of the report. 2 Broker Worldwide Org 3 Broker Local Org 4 Broker Acronym The broker s worldwide organization that contains all their identifiers. The broker's local organization that contains all their identifiers for a given country. The broker's acronym. 5 Broker Name The broker s name. 6 Inst Worldwide Org 7 Inst Local Org 8 Institution Acronym 9 Institution Name 10 Institution Timezone 11 Instrument Type The institution's worldwide organization that contains all their identifiers. The institution's local organization that contains all their identifiers for a given country. The institution's acronym. The institution's name. The institution's time zone. The type of instrument: E Equity or F Fixed Income. 12 Market Code US. 13 Market Close (GMT) 14 Trade Currency GMT Time of US Market Close 21:00. USD. DTCC Internal (Green) Page 7
Table 2 Datafeed File for Broker/Dealers (continued) Number Column 15 OU Reference Number. Reference Number 16 Version Version of the trade (1 means original version, 2 or greater means the trade has been modified). 17 Entered Date the trade was entered on the trade record by the broker. Trade Date 18 Settlement Settlement date entered on the trade record by the broker. Date 19 Buy/Sell Indicates if the security was bought or sold: B Buy S Sell. 20 Number of Number of shares for the trade. Shares 21 Security Describes this security. 22 Security Code Security code and identifier (such as SEDOL or CUSIP) entered on the trade record by the broker. 23 Price per Share Price entered on the trade record by the broker. 24 Maturity Date For fixed income instruments, the maturity date entered on the trade record by the broker. 25 Gross Calculated as Number of Shares multiplied by Price. Amount 26 Net Amount Net amount entered on the trade record by the broker. 27 No of Number of allocations (if applicable) for the trade. Allocations 28 Trade Date and time (EST) of trade entered on the trade record by the investment manager. Date/Time by IM 29 Allocations Date and time (EST) that the service received the Allocation Detail Messages (ADMs). 30 Acceptances Date and time (EST) that service received the Acceptances. 31 First Reject Date and time (EST) that service received a rejection (REJ) for the trade. 32 Cancellation Date and time (EST) that service received a cancellation (CAN) for the trade. DTCC Internal (Green) Page 8
Table 2 Datafeed File for Broker/Dealers (continued) Number Column 33 Market Close to OU Receipt Hours (MCTOR) 34 Allocation to Acceptance Hours (AllTA) 35 Market Close to Acceptance Hours (MCTA) 36 Accept up to 10 Minutes 37 Accept 10 to 30 Minutes 38 Accept 30 to 60 Minutes 39 Accept 60 to 180 minutes 40 Accept more than 180 minutes 41 Is Accepted Flag 42 Is Cancelled Flag 43 Same Day Allocations 44 Same Day Acceptance 45 Next Day Accept 46 Current Status The average time difference from US market close to when institutions sent or broker received all trades during the time period. A negative number indicates trades were sent or received prior to market close, while a positive number indicates trade submission or receipt after market close. The average allocation to accept time for all of your trades during the measured time period. The average time difference from market close to when the broker accepted the trades during the time period. Allocations Accepted up to 10 minutes from when the service received them. Allocations Accepted 10-30 minutes from when the service received them. Allocations Accepted 30 to 60 minutes from when the service received them. Allocations Accepted 60 to 180 minutes from when the service received them. Allocations Accepted more than 180 minutes from when the service received them. Was the trade Accepted (1 or 0). Was the trade Cancelled (1 or 0). Were the trade allocations sent Same Day (1 or 0). Same Day is defined before midnight EST/EDT. Were the trade allocations accepted Same Day (1 or 0) Were the trade allocations accepted Next Day (1 or 0) Status of the trade at the time the report was generated: Accd - Accepted, Cncl CANCELED, Open OPEN. DTCC Internal (Green) Page 9
Table 2 Datafeed File for Broker/Dealers (continued) Number Column 47 Fixed Security Type 48 Fixed Security For Fixed Income Instrument Types only a three-digit code (for example, ABS). For a list see the 7.0, Document: Common Reference Data, Table 5: Enrichment of Security Types section on the Institutional Trade Processing - Learning Center. For Fixed Income Instrument Types only a description of the instrument type in the Asset Class field for Fixed Income Security Types. (for example, Asset Backed Securities). DTCC Internal (Green) Page 10
Datafeed File for Investment Managers Table 3 describes the available datafeed file fields, in the datafeed file format that DTCC provides for investment managers. The only difference between the investment manager and broker versions is the order of the identifiers in columns two through ten. This datafeed extends and complements the data available in the Trade Analytics Downloadable Detail Report. Table 3 table displays the data elements in logical groupings. Table 3 Datafeed File for Investment Managers Number Column 1 Time Period The time period of the report. 2 Inst. Worldwide Org The institution's worldwide organization that contains all their identifiers. 3 Inst. Local Org The institution's local organization that contains all their identifiers for a given country. 4 Institution Acronym The institution's acronym. 5 Institution Name The institution s name. 6 Institution Timezone 7 Broker Worldwide Org 8 Broker Local Org The institution's time zone. 9 Broker Acronym The broker's acronym. 10 Broker Name The broker's name. The broker's worldwide organization that contains all their identifiers. The broker's local organization that contains all their identifiers for a given country. 11 Instrument Type The type of instrument: E Equity or F Fixed Income. 12 Market Code US. 13 Market Close (GMT) 14 Trade Currency USD. 15 OU Reference Number GMT Time of US Market Close 21:00. Reference Number. 16 Version Version of the trade (1 means original version, 2 or greater means the trade has been 17 Entered Trade Date modified). Date the trade was entered on the trade record by the broker. 18 Settlement Date Settlement date entered on the trade record by the broker. 19 Buy/Sell Indicates if the security was bought or sold: B Buy S Sell. 20 Number of Shares Number of shares for the trade. DTCC Internal (Green) Page 11
Table 3 Datafeed File for Investment Managers (continued) Number Column 21 Security Describes this security. 22 Security Code Security code and identifier (such as SEDOL or CUSIP) entered on the trade record by the broker. 23 Price per Share Price entered on the trade record by the broker. 24 Maturity Date For fixed income instruments, the maturity date entered on the trade record by the broker. 25 Gross Amount Calculated as Number of Shares multiplied by Price. 26 Net Amount Net amount entered on the trade record by the broker. 27 No of Number of allocations (if applicable) for the trade. Allocations 28 Trade Date and time (EST) of trade entered on the trade record by the investment manager. Date/Time by IM 29 Allocations Date and time (EST) that the service received the Allocation Detail Messages (ADMs). 30 Acceptances Date and time (EST) that the service received the Acceptances. 31 First Reject Date and time (EST) that the service received a rejection (REJ) for the trade. 32 Cancellation Date and time (EST) that the service received a cancellation (CAN) for the trade. 33 Market Close to OU Receipt Hours (MCTOR) The average time difference from US market close to when institutions sent or broker received all trades during the time period. A negative number indicates trades were sent or received prior to market close, while a positive number indicates trade submission or receipt after market close. 34 Allocation to Acceptance The average allocation to accept time for all of your trades during the measured time period. Hours (AllTA) 35 Market Close to Acceptance The average time difference from market close to when the broker accepted the trades during the time period. Hours (MCTA) 36 Accept up to 10 Allocations Accepted up to 10 minutes from when the service received them. Minutes 37 Accept 10 to 30 Minutes Allocations Accepted 10-30 minutes from when the service received them. DTCC Internal (Green) Page 12
Table 3 Datafeed File for Investment Managers (continued) Number Column 38 Accept 30 to 60 Allocations Accepted 30 to 60 minutes from when the service received them. Minutes 39 Accept 60 to Allocations Accepted 60 to 180 minutes from when the service received them. 180 minutes 40 Accept more than 180 Allocations Accepted more than 180 minutes from when the service received them. minutesutesutes 41 Is Accepted Was the trade Accepted (1 or 0). Flag 42 Is Cancelled Was the trade Cancelled (1 or 0). Flag 43 Same Day Allocations Were the trade allocations sent Same Day (1 or 0). Same Day is defined before midnight EST/EDT. 44 Same Day Were the trade allocations accepted Same Day (1 or 0) Acceptance 45 Next Day Were the trade allocations accepted Next Day (1 or 0) Accept 46 Current Status Status of the trade at the time the report was generated: Accd - Accepted, Cncl CANCELED, Open OPEN. 47 Fixed Security Type For Fixed Income Instrument Types only a 3 Digit code (for example, ABS). For a list see the 7.0, Document: Common Reference Data, Table 5: Enrichment of Security Types section on the Institutional Trade Processing - Learning Center. 48 Fixed Security For Fixed Income Instrument Types only a description of the instrument type in the Asset Class field for Fixed Income Security Types. (for example, Asset Backed Securities). DTCC Internal (Green) Page 13
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