CURRENCY DERIVATIVES SEGMENT Circular No. 015/2011 Subject: Change in Format of Daily Reports in CDS Date: Jun 02, 2011 Download No: 17950 Vikramaditya Delima Vikas Mishra Sonali Karnik 022-26598131 022-26598164 022-26598325 cdtrade@nse.co.in No of Pages: 7 Dear Members, With reference to Circular No. 009/2008, ref. No. 11259, dated September 09, 2008, providing the format of Trade Report and Circular No. 016/2009, ref. No. 12310 dated April 23, 2009, providing the format of Normal Order Log and Spread Order Log (Interactive Reports); the Exchange is in the process of updating the End of Day Reports with additional details. Trade and Interactive reports are provided to members at the end of each trading day on FTP Extranet path /cdsftp/x<tm code>/onlinebackup The detailed file structure for the revised Trade report is enclosed as Annexure 1 The detailed file structure for the revised Interactive reports are enclosed as Annexure 2 The Updated fields are marked in Red. Members may kindly note that, the Trade Report will not be available for download if there are no trades executed by the member for that day. The date from which the aforesaid changes in the reports, are made applicable to the members, shall be intimated in a separate circular. For and on behalf of National Stock Exchange of India Ltd. Suprabhat Lala Vice President
Annexure I Trade Report Format X_DDMMYYYY_<MEMBER CODE>.TXT.GZ Sl Fields Length Field Description 1 Trade ID Num(16) Trade Number 2 Activity type Num(2) 11 Original Trade 12 Modified Trade 13 Cancelled Trade 14 Rejected Trade 15 Trade Modification Rejected 16 Trade Cancellation Rejected 17 Give Up Trade Approved 18 Give Up Trade Rejected 3 Symbol Char(10) Underlying asset 4 Instrument Type Char(6) Instrument type 5 Expiry Date Char(13) DDMMMYYYY Expiry date 6 Strike Price Num(11,2) Strike Price 7 Option Type Char(2) Option Type 8 Contract Name Char(25) Contract Name 9 Book Type Num(2) 1 Regular Lot 3 Stop Loss 7 Auction 10 Market Type Num(2) 1 Normal 4 Auction 11 User Id Num(5) Dealer Id 12 Branch Id Num(3) Branch code 13 Buy/Sell Char(1) 1 Buy 2 Sell 14 Quantity Num(9) Traded Quantity 15 Price Num(11,7) Trade Price 16 Pro/Cli Flag Num(1) 1 CLI 2 PRO 17 Account number Char(10) Client Code 18 Participant Char(12) Participant Id/Settler 19 Settlement Num(2) Settlement Days 20 Trade Date/Time Char(20) DD MMM YYYY HH:MI:SS Trade Execution Date/Time 21 Modified Date/Time Char(20) DD MMM YYYY Trade Modification Date/Time
HH:MI:SS 22 Order Number Num(16) Order Number 23 CP ID Char(7) Counter Party ID 24 Entry Date/Time Char(20) Order Entry Date/Time DD MMM YYYY HH:MI:SS 25 CTCLID Char(15) CTCL ID
Annexure 2 Interactive Reports a) Normal order log for the day: CD_ORD_LOG_<DDMMYYYY>_<TMID>.CSV Data Width Sl Field Name Type Field Description 1 Trading Member ID *5 Trading Member Id 2 Trading Member Branch ID Num *4 Branch Id 3 User ID Num *5 User Id 4 Market Type 7 NORMAL. AUCTION 1 - Regular Lot Book 3 - Stop Loss Book 5 Book Type Num *2 7 Auction Book On Stop Y - Stop Loss order 6 Indicator Character *1 N - Normal order 7 Order Number Num *16 Order number Buy / Sell B - Buy order 8 Indicator *1 S - Sell order Instrument 9 Name 6 Instrument type 10 Symbol 10 Symbol Date in the format DD-Mon-YY example 02-Sep-08 Auction Market 11 Expiry Date 11 This field is blank Strike Price (in Rs.) of the options contract (Zero is 12 Strike Price Num *11 displayed as blank). For USDINR format is XXX.XXXX 13 Option Type *2 Option Type of the contract CA, CE, PA, PE 14 Original Num *9 Original quantity 15 Disclosed Num *9 Disclosed quantity Disclosed 16 Remaining Num *9 Disclosed quantity remaining Minimum Fill/ 17 All or None Num *9 Currently displayed as blank Market Price Y - If Market order 18 Indicator Character *1 N - If limit order Blank in case of market order Price (in Rs.) in case of Limit Order. For USDINR format is XXX.XXXX 19 Limit Price Num *11 Auction Market
28 Participant Id 12 Order Entry/User Modification 29 Time *8 ATA will be displayed for market orders 20 Trigger Price Num *11 Trigger price (in Rs.). For USDINR format is XXX.XXXX Pro / Client CLI - Client order 21 Indicator *3 PRO - Proprietary order 22 Client Account number 10 Client account number 23 Open / Close Indicator 6 Indicator flag for open/close 24 Remaining Num *9 Remaining Quantity 25 Special Terms 8 Currently displayed as blank 26 Good Till Date *8 Good Till Days/Date 27 Day Indicator Character *1 Y - If day order N - If IOC order Participant ID - for participant order Trading Member ID - for non participant orders HH:MM:SS Last update date time or order entry time Order cancellation - OCXL Order modification - OMOD Batch order Cancellation - SYSCXL Price Freeze -PRFRZ Price Freeze Cancellation -PRFRCXL Quantity Freeze - QTYFRZ Quantity Freeze Cancellation - QTYFRZCXL Stop loss trigger -SLTRIG 30 Activity type 10 31 CTCL Id Num *15 CTCL ID Note- * means right aligned
b) Spread order log for the day: CD_SPD_LOG_<DDMMYYYY>_<TMID>.CSV Sl Field Name Data Type Width Field Description Trading 1 Member ID *5 Trading Member Id Trading Num 2 Member Branch ID *4 Branch Id 3 User ID Num *5 User Id 4 Market Type 7 NORMAL 5 Book Type Num *2 1 - Regular Lot Book Order Num 6 Number *16 Order number Buy / Sell B - Buy spread order 7 Indicator *1 S - Sell spread order Instrument 8 Name 6 Instrument type 9 Symbol 10 Symbol 10 Expiry Date 11 Date in the format DD-Mon-YY example 02-Sep-08 Num Strike Price (in Rs) of the options contract (Zero is displayed as 11 Strike Price *11 blank). For USDINR format is XXX.XXXX Option Type of the contract CA, CE, PA, PE. Blank 12 Option Type *2 will be printed instead of XX for Futures. Open / Close O Open 13 Indicator 6 C Close Instrument 14 Name 6 Instrument type 15 Symbol 10 Symbol 16 Expiry Date 11 Date in the format DD-Mon-YY example 02-Sep-08 Leg 2 Strike Num Strike Price (in Rs) of the options contract for leg 2 (Zero is 17 Price *11 displayed as blank). For USDINR format is XXX.XXXX Leg 2 Option Type of the contract for leg 2 CA, CE, PA, PE. 18 Option Type *2 Blank will be printed instead of XX for Futures. Leg 2 Open / Close O Open 19 Indicator 6 C Close Num 20 Original *9 Original quantity (Zero is displayed as blank) Num 21 Disclosed *9 Disclosed quantity (Zero is displayed as blank) Num 22 Disclosed Remaining *9 Disclosed quantity remaining (Zero is displayed as blank) Minimum Num 23 Fill/ All or *9 Currently displayed as blank
24 None Market Price Indicator 25 Limit Price 26 27 28 29 30 31 32 33 Pro / Client Indicator Client Account number Remaining Special Terms Good Till Date Day Indicator Participant Id Order Entry/User Modification Time Character Num Num Character *1 *11 *3 Y - If Market order N - If limit order Blank in case of market order Price (in Rs.) in case of Limit Order. For USDINR format is XXX.XXXX CLI - Client order PRO - Proprietary order 10 Client account number Activity 34 Type 35 CTCL Id Num *15 CTCL ID Note- * means right aligned *9 Remaining Quantity (Zero is displayed as blank) 8 Currently displayed as blank *6 Date in format DDMMYY. Currently this field is zero. Y - If day order *1 N - If IOC order Participant ID - for participant order 12 Trading Member ID - for non participant orders *8 Last update date time or order entry time HH:MM:SS Order cancellation - OCXL Order modification - OMOD Batch order Cancellation - SYSCXL Price Freeze - PRFRZ Freeze Cancellation - PRFRCXL Quantity Freeze - QTYFRZ Quantity Freeze Cancellation - QTYFRZCXL 10 Stop loss trigger -SLTRIG Price