{ "$schema": "./schema.json", "version": 2089, "typeDefinitions": { "marketData": [ { "kind": "Primitive", "name": "bool", "size": 1, "description": "Boolean" }, { "kind": "Primitive", "name": "u8", "size": 1, "description": "Unsigned integer, 8-bit." }, { "kind": "Primitive", "name": "u16", "size": 2, "description": "Unsigned integer, 8-bit." }, { "kind": "Primitive", "name": "u32", "size": 4, "description": "Unsigned integer, 8-bit." }, { "kind": "Primitive", "name": "u64", "size": 8, "description": "Unsigned integer, 64-bit." }, { "kind": "Primitive", "name": "i64", "size": 8, "description": "Signed integer, 64-bit." }, { "kind": "Alias", "name": "AnsiChar", "alias": "u8", "description": "String." }, { "kind": "Alias", "name": "ConnectionId", "alias": "u16", "description": "ID of the connection. Must fit into 14 bits, see OrderId for details." }, { "kind": "Alias", "name": "MsgLength", "alias": "u16", "description": "Length of the message." }, { "kind": "Alias", "name": "MsgVersion", "alias": "u16", "description": "Message version - used to differentiate between messages sent using different versions of the protocol." }, { "kind": "Alias", "name": "SessionId", "alias": "u16", "description": "ID of the session. Must fit into 14 bits, see OrderId for details." }, { "kind": "Alias", "name": "StreamId", "alias": "u8", "description": "ID of the md stream." }, { "kind": "Alias", "name": "OrderCount", "alias": "u16", "description": "Order count (number of orders)." }, { "kind": "Alias", "name": "Date", "alias": "u32", "description": "Date (YYYYMMDD) as integer value." }, { "kind": "Alias", "name": "ElementId", "alias": "u32", "description": "Market structure element ID." }, { "kind": "Alias", "name": "LotSize", "alias": "u32", "description": "Lot size." }, { "kind": "Alias", "name": "SeqNum", "alias": "u32", "description": "Sequence number of the message." }, { "kind": "Alias", "name": "TradeId", "alias": "u32", "description": "ID of the trade (match between buy and sell orders)." }, { "kind": "Alias", "name": "PublicOrderId", "alias": "u64", "description": "ID of a given order." }, { "kind": "Alias", "name": "Timestamp", "alias": "u64", "description": "Timestamp (exact date and time of an event)." }, { "kind": "Alias", "name": "Quantity", "alias": "u64", "description": "Quantity of an instrument." }, { "kind": "Alias", "name": "Number", "alias": "i64", "description": "Number as decimal(18,8) without decimal separator." }, { "kind": "Alias", "name": "Multiplier", "alias": "Number", "description": "Multiplier as decimal(18,8) without decimal separator." }, { "kind": "Alias", "name": "Value", "alias": "i64", "description": "Value as decimal(18,2) without decimal separator." }, { "kind": "Alias", "name": "Bound", "alias": "Number", "description": "Collar bound." }, { "kind": "Alias", "name": "CollarValue", "alias": "Number", "description": "Collar value." }, { "kind": "Alias", "name": "Price", "alias": "Number", "description": "Price of the instrument." }, { "kind": "Alias", "name": "TickSize", "alias": "Number", "description": "Tick size." }, { "kind": "Array", "name": "Weekdays", "type": "bool", "length": 7, "description": "Weekdays counted from Monday, open for trading - true, close for trading - false." }, { "kind": "Array", "name": "MicCode", "type": "AnsiChar", "length": 4, "description": "Market Identifier Code (MIC) as specified in ISO 10383." }, { "kind": "Array", "name": "Name", "type": "AnsiChar", "length": 50, "description": "Name." }, { "kind": "Array", "name": "Code", "type": "AnsiChar", "length": 20, "description": "Type for standard, 20-character long code for market structure messages." }, { "kind": "Array", "name": "Token", "type": "AnsiChar", "length": 8, "description": "Unique token." }, { "kind": "Array", "name": "EncryptionGroupKey", "type": "u8", "length": 32, "description": "Secret Key value." }, { "kind": "Array", "name": "ProductIdentification", "type": "AnsiChar", "length": 30, "description": "Product identification, for example its ISIN number." }, { "kind": "Array", "name": "InstrumentDescription", "type": "AnsiChar", "length": 64, "description": "Type for long, 64-character long description for market structure messages." }, { "kind": "Alias", "name": "PercentageChange", "alias": "Price", "description": "Change to an index expressed in percent." }, { "kind": "Alias", "name": "IndexValue", "alias": "Price", "description": "Value of an index." }, { "kind": "Array", "name": "Issuer", "type": "AnsiChar", "length": 150, "description": "Name of the issuer." }, { "kind": "Array", "name": "CfiCode", "type": "AnsiChar", "length": 6, "description": "Clarification of Financial Instruments as specified in ISO 18774." }, { "kind": "Array", "name": "FisnCode", "type": "AnsiChar", "length": 35, "description": "Financial Instrument Short Name as specified in ISO 10962." }, { "kind": "Array", "name": "Kid", "type": "AnsiChar", "length": 128, "description": "KID text." }, { "kind": "Enum", "name": "AuctionType", "description": "Type of auction.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "NotApplicable." ], [ "AuctionOpening", 2, "Opening auction." ], [ "AuctionClosing", 3, "Closing auction." ], [ "AuctionIntraday", 4, "Intraday auction." ], [ "AuctionVolatilityStatic", 5, "Volatility auction after static collars breach." ], [ "AuctionVolatilityDynamic", 6, "Volatility auction after dynamic collars breach." ], [ "AuctionExtendedVolatilityStatic", 7, "Additional volatility auction after static collar breach. It can be activated independently or as an extension of the previous AuctionVolatilityStatic phase." ], [ "AuctionExtendedVolatilityDynamic", 8, "Additional volatility auction after dynamic collar breach. It can be activated independently or as an extension of the previous AuctionVolatilityDynamic phase." ], [ "UnsuspensionAuction", 9, "A phase triggered whenever an instrument’s changes its status from RegulatorySuspension or MarketOperationSuspension before entering into continuous phase." ] ] }, { "kind": "Enum", "name": "CalendarExceptionType", "description": "Calendar exception type.", "underlying": "u8", "variants": [ [ "Closed", 1, "The day is closed for trading." ], [ "Open", 2, "The day is open for trading." ] ] }, { "kind": "Enum", "name": "ExpressionType", "description": "Expression type (percentage or absolute value).", "underlying": "u8", "variants": [ [ "Percentage", 1, "Percentage." ], [ "AbsoluteValue", 2, "Absolute value." ] ] }, { "kind": "Enum", "name": "CollarMode", "description": "Collar mode (trade price collar or order price collar).", "underlying": "u8", "variants": [ [ "TradePriceCollar", 1, "Trade price collar." ], [ "OrderPriceCollar", 2, "Order price collar." ] ] }, { "kind": "Enum", "name": "CouponType", "description": "A bond's coupon type.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "NotApplicable." ], [ "Zero", 2, "Zero coupon." ], [ "Fixed", 3, "Fixed coupon." ], [ "Floating", 4, "Floating coupon." ], [ "Indexed", 5, "Indexed coupon." ] ] }, { "kind": "Enum", "name": "Currency", "description": "Currency - ISO 4217 code (e.g. PLN)", "underlying": "u16", "variants": [ [ "ALL", 8, "Lek" ], [ "DZD", 12, "Algerian Dinar" ], [ "ARS", 32, "Argentine Peso" ], [ "AUD", 36, "Australian Dollar" ], [ "BSD", 44, "Bahamian Dollar" ], [ "BHD", 48, "Bahraini Dinar" ], [ "BDT", 50, "Taka" ], [ "AMD", 51, "Armenian Dram" ], [ "BBD", 52, "Barbados Dollar" ], [ "BMD", 60, "Bermudian Dollar" ], [ "BTN", 64, "Ngultrum" ], [ "BOB", 68, "Boliviano" ], [ "BWP", 72, "Pula" ], [ "BZD", 84, "Belize Dollar" ], [ "SBD", 90, "Solomon Islands Dollar" ], [ "BND", 96, "Brunei Dollar" ], [ "MMK", 104, "Kyat" ], [ "BIF", 108, "Burundi Franc" ], [ "KHR", 116, "Riel" ], [ "CAD", 124, "Canadian Dollar" ], [ "CVE", 132, "Cabo Verde Escudo" ], [ "KYD", 136, "Cayman Islands Dollar" ], [ "LKR", 144, "Sri Lanka Rupee" ], [ "CLP", 152, "Chilean Peso" ], [ "CNY", 156, "Yuan Renminbi" ], [ "COP", 170, "Colombian Peso" ], [ "KMF", 174, "Comorian Franc " ], [ "CRC", 188, "Costa Rican Colon" ], [ "HRK", 191, "Kuna" ], [ "CUP", 192, "Cuban Peso" ], [ "CZK", 203, "Czech Koruna" ], [ "DKK", 208, "Danish Krone" ], [ "DOP", 214, "Dominican Peso" ], [ "SVC", 222, "El Salvador Colon" ], [ "ETB", 230, "Ethiopian Birr" ], [ "ERN", 232, "Nakfa" ], [ "FKP", 238, "Falkland Islands Pound" ], [ "FJD", 242, "Fiji Dollar" ], [ "DJF", 262, "Djibouti Franc" ], [ "GMD", 270, "Dalasi" ], [ "GIP", 292, "Gibraltar Pound" ], [ "GTQ", 320, "Quetzal" ], [ "GNF", 324, "Guinean Franc" ], [ "GYD", 328, "Guyana Dollar" ], [ "HTG", 332, "Gourde" ], [ "HNL", 340, "Lempira" ], [ "HKD", 344, "Hong Kong Dollar" ], [ "HUF", 348, "Forint" ], [ "ISK", 352, "Iceland Krona" ], [ "INR", 356, "Indian Rupee" ], [ "IDR", 360, "Rupiah" ], [ "IRR", 364, "Iranian Rial" ], [ "IQD", 368, "Iraqi Dinar" ], [ "ILS", 376, "New Israeli Sheqel" ], [ "JMD", 388, "Jamaican Dollar" ], [ "JPY", 392, "Yen" ], [ "KZT", 398, "Tenge" ], [ "JOD", 400, "Jordanian Dinar" ], [ "KES", 404, "Kenyan Shilling" ], [ "KPW", 408, "North Korean Won" ], [ "KRW", 410, "Won" ], [ "KWD", 414, "Kuwaiti Dinar" ], [ "KGS", 417, "Som" ], [ "LAK", 418, "Lao Kip" ], [ "LBP", 422, "Lebanese Pound" ], [ "LSL", 426, "Loti" ], [ "LRD", 430, "Liberian Dollar" ], [ "LYD", 434, "Libyan Dinar" ], [ "MOP", 446, "Pataca" ], [ "MWK", 454, "Malawi Kwacha" ], [ "MYR", 458, "Malaysian Ringgit" ], [ "MVR", 462, "Rufiyaa" ], [ "MUR", 480, "Mauritius Rupee" ], [ "MXN", 484, "Mexican Peso" ], [ "MNT", 496, "Tugrik" ], [ "MDL", 498, "Moldovan Leu" ], [ "MAD", 504, "Moroccan Dirham" ], [ "OMR", 512, "Rial Omani" ], [ "NAD", 516, "Namibia Dollar" ], [ "NPR", 524, "Nepalese Rupee" ], [ "ANG", 532, "Netherlands Antillean Guilder" ], [ "AWG", 533, "Aruban Florin" ], [ "VUV", 548, "Vatu" ], [ "NZD", 554, "New Zealand Dollar" ], [ "NIO", 558, "Cordoba Oro" ], [ "NGN", 566, "Naira" ], [ "NOK", 578, "Norwegian Krone" ], [ "PKR", 586, "Pakistan Rupee" ], [ "PAB", 590, "Balboa" ], [ "PGK", 598, "Kina" ], [ "PYG", 600, "Guarani" ], [ "PEN", 604, "Sol" ], [ "PHP", 608, "Philippine Peso" ], [ "QAR", 634, "Qatari Rial" ], [ "RUB", 643, "Russian Ruble" ], [ "RWF", 646, "Rwanda Franc" ], [ "SHP", 654, "Saint Helena Pound" ], [ "SAR", 682, "Saudi Riyal" ], [ "SCR", 690, "Seychelles Rupee" ], [ "SGD", 702, "Singapore Dollar" ], [ "VND", 704, "Dong" ], [ "SOS", 706, "Somali Shilling" ], [ "ZAR", 710, "Rand" ], [ "SSP", 728, "South Sudanese Pound" ], [ "SZL", 748, "Lilangeni" ], [ "SEK", 752, "Swedish Krona" ], [ "CHF", 756, "Swiss Franc" ], [ "SYP", 760, "Syrian Pound" ], [ "THB", 764, "Baht" ], [ "TOP", 776, "Pa’anga" ], [ "TTD", 780, "Trinidad and Tobago Dollar" ], [ "AED", 784, "UAE Dirham" ], [ "TND", 788, "Tunisian Dinar" ], [ "UGX", 800, "Uganda Shilling" ], [ "MKD", 807, "Denar" ], [ "EGP", 818, "Egyptian Pound" ], [ "GBP", 826, "Pound Sterling" ], [ "TZS", 834, "Tanzanian Shilling" ], [ "USD", 840, "US Dollar" ], [ "UYU", 858, "Peso Uruguayo" ], [ "UZS", 860, "Uzbekistan Sum" ], [ "WST", 882, "Tala" ], [ "YER", 886, "Yemeni Rial" ], [ "TWD", 901, "New Taiwan Dollar" ], [ "SLE", 925, "Leone" ], [ "VED", 926, "Bolívar Soberano" ], [ "UYW", 927, "Unidad Previsional" ], [ "VES", 928, "Bolívar Soberano" ], [ "MRU", 929, "Ouguiya" ], [ "STN", 930, "Dobra" ], [ "CUC", 931, "Peso Convertible" ], [ "ZWL", 932, "Zimbabwe Dollar" ], [ "BYN", 933, "Belarusian Ruble" ], [ "TMT", 934, "Turkmenistan New Manat" ], [ "GHS", 936, "Ghana Cedi" ], [ "SDG", 938, "Sudanese Pound" ], [ "UYI", 940, "Uruguay Peso en Unidades Indexadas (URUIURUI)" ], [ "RSD", 941, "Serbian Dinar" ], [ "MZN", 943, "Mozambique Metical" ], [ "AZN", 944, "Azerbaijan Manat" ], [ "RON", 946, "Romanian Leu" ], [ "CHE", 947, "WIR Euro" ], [ "CHW", 948, "WIR Franc" ], [ "TRY", 949, "Turkish Lira" ], [ "XAF", 950, "CFA Franc BEAC" ], [ "XCD", 951, "East Caribbean Dollar" ], [ "XOF", 952, "CFA Franc BCEAO" ], [ "XPF", 953, "CFP Franc" ], [ "XBA", 955, "Bond Markets Unit European Composite Unit (EURCO)" ], [ "XBB", 956, "Bond Markets Unit European Monetary Unit (E.M.U.-6)" ], [ "XBC", 957, "Bond Markets Unit European Unit of Account 9 (E.U.A.-9)" ], [ "XBD", 958, "Bond Markets Unit European Unit of Account 17 (E.U.A.-17)" ], [ "XAU", 959, "Gold" ], [ "XDR", 960, "SDR (Special Drawing Right)" ], [ "XAG", 961, "Silver" ], [ "XPT", 962, "Platinum" ], [ "XTS", 963, "Codes specifically reserved for testing purposes" ], [ "XPD", 964, "Palladium" ], [ "XUA", 965, "ADB Unit of Account" ], [ "ZMW", 967, "Zambian Kwacha" ], [ "SRD", 968, "Surinam Dollar" ], [ "MGA", 969, "Malagasy Ariary" ], [ "COU", 970, "Unidad de Valor Real" ], [ "AFN", 971, "Afghani" ], [ "TJS", 972, "Somoni" ], [ "AOA", 973, "Kwanza" ], [ "BGN", 975, "Bulgarian Lev" ], [ "CDF", 976, "Congolese Franc" ], [ "BAM", 977, "Convertible Mark" ], [ "EUR", 978, "Euro" ], [ "MXV", 979, "Unidad de inversion (UDI)" ], [ "UAH", 980, "Hryvnia" ], [ "GEL", 981, "Lari" ], [ "BOV", 984, "Mvdol" ], [ "PLN", 985, "Zloty" ], [ "BRL", 986, "Brazilian Real" ], [ "CLF", 990, "Unidad de Fomento" ], [ "XSU", 994, "Sucre" ], [ "USN", 997, "US Dollar (next day)" ], [ "XXX", 999, "The codes assigned for transactions where no currency is involved" ] ] }, { "kind": "Enum", "name": "NominalValueType", "description": "Type of the product's nominal value (no nominal, constant or unknown).", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable." ], [ "Constant", 2, "Indicates that the security has a constant nominal value." ] ] }, { "kind": "Enum", "name": "OrderSide", "description": "Indicates order side (buy or sell).", "underlying": "u8", "variants": [ [ "Buy", 1, "Buy order." ], [ "Sell", 2, "Sell order." ] ] }, { "kind": "Enum", "name": "PriceExpressionType", "description": "Price expression type for the financial instrument.", "underlying": "u8", "variants": [ [ "NotApplicable", 3, "Not applicable." ], [ "Price", 1, "Price expressed as absolute value." ], [ "Percentage", 2, "Price expressed as percentage." ] ] }, { "kind": "Enum", "name": "PriorityFlag", "description": "Priority loss flag.", "underlying": "u8", "variants": [ [ "Lost", 1, "Order modification caused loss of priority." ], [ "Retained", 2, "Order modification did not cause loss of priority." ] ] }, { "kind": "Enum", "name": "ProductIdentificationType", "description": "Type of product identification (for example ISIN or SEDOL).", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable" ], [ "ISIN", 2, "Financial instrument's ISIN." ] ] }, { "kind": "Enum", "name": "ProductType", "underlying": "u8", "variants": [ [ "Equity", 1, "Equity" ], [ "FixedIncome", 2, "Fixed income" ], [ "DerivativeFutures", 3, "Derivative Futures" ], [ "DerivativeOptions", 4, "Derivative Options" ], [ "Index", 5, "Index" ], [ "Currency", 6, "Currency" ], [ "StructuredProduct", 7, "Structured Product" ], [ "Tracker", 9 ] ] }, { "kind": "Enum", "name": "ProductSubtype", "description": "Product Subtype.", "underlying": "u8", "variants": [ [ "Share", 1, "Share" ], [ "AllotmentRight", 2, "Allotment Right" ], [ "SubscriptionRight", 3, "Subscription Right" ], [ "TenderOffer", 4, "Tender Offer" ], [ "IssueRight", 5, "Issue Right" ], [ "SubscriptionWarrant", 6, "Subscription Warrant" ], [ "BankSecurities", 7, "Bank Securities" ], [ "Bond", 8, "Bond" ], [ "TreasuryBond", 9, "Treasury Bond" ], [ "AgencyBond", 10, "Bond issued by a government institution" ], [ "MunicipalBond", 11, "Municipal Bond" ], [ "CorporateBankBond", 12, "Corporate Bond - bank" ], [ "CorporateFirmBond", 13, "Corporate Bond - firm" ], [ "ConvertibleBond", 14, "Convertible Bond" ], [ "MortgageBond", 15, "Mortgage Bond" ], [ "MortgageBackedBond", 16, "Mortgage Backed Bond" ], [ "PublicMortgageBond", 17, "Public Mortgage Bond" ], [ "Bill", 18, "Bill" ], [ "TreasuryBill", 19, "Treasury Bill" ], [ "CommercialBill", 20, "Commercial Bill" ], [ "ExchangeTradedFund", 21, "ETF - Exchange Traded Fund" ], [ "ExchangeTradedNote", 22, "ETN - Exchange Traded Note" ], [ "ExchangeTradedCommodity", 23, "ETC - Exchange Traded Commodity" ], [ "InvestmentCertificate", 24, "Investment Certificate" ], [ "IndexFutures", 25, "Index Futures" ], [ "StockFutures", 26, "Stock Futures" ], [ "CurrencyFutures", 27, "Currency Futures" ], [ "BondFutures", 28, "Bond Futures" ], [ "InterestRateFutures", 29, "Interest Rate Futures" ], [ "IndexOptions", 30, "Index Options" ], [ "StockOptions", 31, "Stock Options" ], [ "OptionWarrants", 32, "Option warrants" ], [ "FactorCertificates", 33, "Factor certificates" ], [ "TurboCertificates", 34, "Turbo certificates" ], [ "CapitalProtectionCertificates", 35, "Capital protection certificates" ], [ "BonusCertificates", 36, "Bonus certificates" ], [ "ReverseConvertibleCertificates", 37, "Reverse convertible certificates" ], [ "ExpressCertificates", 38, "Express certificates" ], [ "DiscountCertificates", 39, "Discount certificates" ], [ "IndexTrackerCertificates", 40, "Index/tracker certificates" ], [ "OtherInvestmentCertificates", 41, "Other investment certificates (non leveraged)" ], [ "StructuredNotes", 42, "Structured notes" ], [ "ReferenceRate", 43, "Reference rate" ], [ "InterestRate", 44, "Interest rate" ], [ "ExchangeRate", 45, "Exchange rate" ], [ "PriceIndex", 46, "Price index" ], [ "TotalReturnIndex", 47, "Total return index" ], [ "SectorPriceIndex", 48, "Sector price index" ], [ "SectorTotalReturnIndex", 49, "Sector total return index" ], [ "DividendIndex", 50, "Dividend index" ], [ "StrategyPriceIndex", 51, "Strategy price index" ], [ "StrategyTotalReturnIndex", 52, "Strategy total return index" ], [ "CommodityIndex", 53, "Commodity index" ], [ "BondTotalReturnIndex", 54, "Bond total return index" ], [ "SupranationalBond", 55, "Supranational Bond" ], [ "WarrantWithKnockOut", 56, "Warrant with Knock Out" ] ] }, { "kind": "Enum", "name": "InstrumentStatus", "description": "Financial instrument status.", "underlying": "u8", "variants": [ [ "Active", 1, "Financial instrument is active." ], [ "Inactive", 2, "Financial instrument is inactive and is not trading." ], [ "MarketOperationsSuspension", 3, "Manual suspension by Market Operations." ], [ "OutsideCollarsStatic", 4, "Outside static trade price collars." ], [ "OutsideCollarsDynamic", 5, "Outside dynamic trade price collars." ], [ "RegulatorySuspension", 6, "Regulatory suspension" ], [ "HybridNoQuotes", 8, "Hybrid no valid quotes." ], [ "HybridKnockout", 9, "Hybrid knockout." ], [ "HybridKnockoutByIssuer", 10, "Hybrid knockout by issuer." ] ] }, { "kind": "Enum", "name": "TradingPhaseType", "description": "Type of matching algorithm.", "underlying": "u8", "variants": [ [ "ContinuousPriceTime", 1, "Continuous price and time." ], [ "ContinuousRefPriceTime", 2, "Continuous time at reference price." ], [ "ContinuousLastAuctionTime", 3, "Trade at last." ], [ "AuctionOpening", 4, "Opening auction." ], [ "BlockExactMatching", 5, "Block transaction, exact matching." ], [ "NoTradingClosed", 6, "Trading disabled, no matching." ], [ "Uncrossing", 7, "Uncrossing." ], [ "AuctionClosing", 8, "Closing auction." ], [ "AuctionIntraday", 9, "Intraday auction." ], [ "AuctionVolatilityStatic", 10, "Volatility auction after static collars breach." ], [ "AuctionVolatilityDynamic", 11, "Volatility auction after dynamic collars breach." ], [ "AuctionExtendedVolatilityStatic", 12, "Additional volatility auction after static collar breach. It can be activated independently or as an extension of the previous AuctionVolatilityStatic phase." ], [ "AuctionExtendedVolatilityDynamic", 13, "Additional volatility auction after dynamic collar breach. It can be activated independently or as an extension of the previous AuctionVolatilityDynamic phase." ], [ "NoTradingEarlyMonitoring", 14, "Early Monitoring" ], [ "NoTradingLateMonitoring", 15, "Late Monitoring" ], [ "Hybrid", 16, "Hybrid normal trading" ], [ "HybridBuyOnly", 17, "Hybrid buy only phase" ], [ "HybridPreTrade", 18, "Hybrid pre trade phase" ], [ "UnsuspensionAuction", 19, "A phase triggered whenever an instrument’s changes its status from RegulatorySuspension or MarketOperationSuspension before entering into continuous phase." ], [ "Ipo", 20, "Initial public offering phase" ], [ "TenderOffer", 21, "Tender offer phase" ], [ "HybridPreTradeBuyOnly", 22, "Hybrid pre trade BuyOnly phase" ], [ "Distribution", 23, "Instrument distribution phase" ] ] }, { "kind": "Enum", "name": "IndexParamsPresenceFlags", "underlying": "u8", "description": "Indicates presence of values within IndexParams fields.", "bitflags": true, "variants": [ [ "None", "0b00000000" ], [ "HasDaysSinceLastPublication", "0b00000001" ], [ "HasNumberOfDividends", "0b00000010" ] ] }, { "kind": "Enum", "name": "RealTimeIndexPresenceFlags", "underlying": "u8", "description": "Indicates presence of values within RealTimeIndex fields.", "bitflags": true, "variants": [ [ "None", "0b00000000" ], [ "HasTradingValue", "0b00000001" ], [ "HasIndexValueBid", "0b00000010" ], [ "HasIndexValueAsk", "0b00000100" ], [ "HasMidSpreadIndex", "0b00001000" ], [ "HasDifferenceCentralSpread", "0b00010000" ] ] }, { "kind": "Enum", "name": "IndexPortfolioEntryPresenceFlags", "underlying": "u8", "description": "Indicates presence of values within IndexPortfolioEntry fields.", "bitflags": true, "variants": [ [ "None", "0b00000000" ], [ "HasInstrumentId", "0b00000001" ] ] }, { "kind": "Enum", "name": "IndexSummaryPresenceFlags", "underlying": "u8", "description": "Indicates presence of values within IndexSummary fields.", "bitflags": true, "variants": [ [ "None", "0b00000000" ], [ "HasSessionAvg", "0b00000001" ] ] }, { "kind": "Enum", "name": "IndexLevelCode", "description": "Enumeration of index levels.", "underlying": "u8", "variants": [ [ "PreviousClosingValue", 1, "Closing index value from previous session (reference index)." ], [ "TheoreticalValueBeforeOpening", 2, "Theoretical opening index before opening the session." ], [ "ValueBeforeOpening", 3, "Theoretical value of the index before its opening." ], [ "OpeningValue", 4, "Index opening value." ], [ "CurrentValue", 5, "Current index value." ], [ "PreClosingValue", 6, "Preliminary closing value." ], [ "ClosingValue", 7, "Closing index value." ], [ "ValueWithoutOpening", 8, "Index value without opening." ] ] }, { "kind": "Enum", "name": "IndexPublicationSchedule", "description": "Mode of index dissemination.", "underlying": "u8", "variants": [ [ "Continuous", 1, "Index is quoted in determined time intervals." ], [ "Fixing", 2, "Index is quoted on determined hours." ], [ "Closing", 3, "Index is quoted on closing." ] ] }, { "kind": "Enum", "name": "IndexType", "description": "Type of index.", "underlying": "u8", "variants": [ [ "W", 1, "WSE index from the main or alternative markets." ], [ "Z", 2, "External index." ], [ "V", 3, "Another WSE information product." ], [ "M", 4, "WSE strategy dividend point index." ], [ "S", 5, "WSE strategy index of short type." ], [ "L", 6, "WSE strategy index of leverage type." ] ] }, { "kind": "Enum", "name": "ClosingPriceType", "description": "Closing Price Type", "underlying": "u8", "variants": [ [ "InitialPrice", 1, "Initial price of the instrument" ], [ "LTP", 2, "Last traded price" ], [ "LastACP", 3, "Last adjusted closing price" ], [ "FairValue", 4, "Fair value" ], [ "DailySettlementPrice", 5, "Daily Settlement Price" ], [ "FinalSettlementPrice", 6, "Final Settlement Price" ] ] }, { "kind": "Enum", "name": "AdjustedClosingPriceReason", "description": "Adjusted Closing Price Reason", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable." ], [ "Dividend", 2, "Dividend" ], [ "IssueRight", 3, "Issue Right" ], [ "Split", 4, "Split" ], [ "ReverseSplit", 5, "Reverse Split" ], [ "Bonus", 6, "Bonus" ], [ "SpinOff", 7, "Spin-Off" ], [ "TickSizeChange", 8, "Tick Size Change" ], [ "OrderPurge", 9, "Order Purge" ], [ "OtherReason", 10, "Other reason" ] ] }, { "kind": "Enum", "name": "ChangeIndicator", "description": "Defines a value change indicator (e.g. market price).", "underlying": "u8", "variants": [ [ "Increase", 1, "Increase." ], [ "Decrease", 2, "Decrease." ], [ "NoChange", 3, "No change." ], [ "NotApplicable", 4, "Not Applicable." ] ] }, { "kind": "Enum", "name": "QuotationSystem", "description": "Quotation system", "underlying": "u8", "variants": [ [ "NA", 1, "Not Applicable." ], [ "SinglePriceSingleFixing", 2, "Single price quotation system with a single fixing." ], [ "ContinuousTrading", 3, "Continuous trading." ], [ "SinglePriceTwoFixings", 4, "Single price quotation system with two fixings." ] ] }, { "kind": "Enum", "name": "ExerciseType", "description": "Dictionary with option exercise styles", "underlying": "u8", "variants": [ [ "AMER", 1, "AMER" ], [ "EURO", 2, "EURO" ], [ "NA", 3, "Not applicable" ] ] }, { "kind": "Enum", "name": "Country", "description": "Coutry codes based on ISO 3166", "underlying": "u16", "variants": [ [ "AFG", 4, "Afghanistan" ], [ "ALB", 8, "Albania" ], [ "ATA", 10, "Antarctica" ], [ "DZA", 12, "Algeria" ], [ "ASM", 16, "American Samoa" ], [ "AND", 20, "Andorra" ], [ "AGO", 24, "Angola" ], [ "ATG", 28, "Antigua and Barbuda" ], [ "AZE", 31, "Azerbaijan" ], [ "ARG", 32, "Argentina" ], [ "AUS", 36, "Australia" ], [ "AUT", 40, "Austria" ], [ "BHS", 44, "Bahamas" ], [ "BHR", 48, "Bahrain" ], [ "BGD", 50, "Bangladesh" ], [ "ARM", 51, "Armenia" ], [ "BRB", 52, "Barbados" ], [ "BEL", 56, "Belgium" ], [ "BMU", 60, "Bermuda" ], [ "BTN", 64, "Bhutan" ], [ "BOL", 68, "Bolivia" ], [ "BIH", 70, "Bosnia and Herzegovina" ], [ "BWA", 72, "Botswana" ], [ "BVT", 74, "Bouvet Island" ], [ "BRA", 76, "Brazil" ], [ "BLZ", 84, "Belize" ], [ "IOT", 86, "British Indian Ocean Territory" ], [ "SLB", 90, "Solomon Islands" ], [ "VGB", 92, "Virgin Islands (British)" ], [ "BRN", 96, "Brunei Darussalam" ], [ "BGR", 100, "Bulgaria" ], [ "MMR", 104, "Myanmar" ], [ "BDI", 108, "Burundi" ], [ "BLR", 112, "Belarus" ], [ "KHM", 116, "Cambodia" ], [ "CMR", 120, "Cameroon" ], [ "CAN", 124, "Canada" ], [ "CPV", 132, "Cabo Verde" ], [ "CYM", 136, "Cayman Islands" ], [ "CAF", 140, "Central African Republic" ], [ "LKA", 144, "Sri Lanka" ], [ "TCD", 148, "Chad" ], [ "CHL", 152, "Chile" ], [ "CHN", 156, "China" ], [ "TWN", 158, "Taiwan" ], [ "CXR", 162, "Christmas Island" ], [ "CCK", 166, "Cocos (Keeling) Islands" ], [ "COL", 170, "Colombia" ], [ "COM", 174, "Comoros" ], [ "MYT", 175, "Mayotte" ], [ "COG", 178, "Congo" ], [ "COD", 180, "Democratic Republic of the Congo" ], [ "COK", 184, "Cook Islands" ], [ "CRI", 188, "Costa Rica" ], [ "HRV", 191, "Croatia" ], [ "CUB", 192, "Cuba" ], [ "CYP", 196, "Cyprus" ], [ "CZE", 203, "Czechia" ], [ "BEN", 204, "Benin" ], [ "DNK", 208, "Denmark" ], [ "DMA", 212, "Dominica" ], [ "DOM", 214, "Dominican Republic" ], [ "ECU", 218, "Ecuador" ], [ "SLV", 222, "El Salvador" ], [ "GNQ", 226, "Equatorial Guinea" ], [ "ETH", 231, "Ethiopia" ], [ "ERI", 232, "Eritrea" ], [ "EST", 233, "Estonia" ], [ "FRO", 234, "Faroe Islands" ], [ "FLK", 238, "Falkland Islands (Malvinas)" ], [ "SGS", 239, "South Georgia and the South Sandwich Islands" ], [ "FJI", 242, "Fiji" ], [ "FIN", 246, "Finland" ], [ "ALA", 248, "AlandIslands" ], [ "FRA", 250, "France" ], [ "GUF", 254, "French Guiana" ], [ "PYF", 258, "French Polynesia" ], [ "ATF", 260, "French Southern Territories" ], [ "DJI", 262, "Djibouti" ], [ "GAB", 266, "Gabon" ], [ "GEO", 268, "Georgia" ], [ "GMB", 270, "Gambia" ], [ "PSE", 275, "Palestine" ], [ "DEU", 276, "Germany" ], [ "GHA", 288, "Ghana" ], [ "GIB", 292, "Gibraltar" ], [ "KIR", 296, "Kiribati" ], [ "GRC", 300, "Greece" ], [ "GRL", 304, "Greenland" ], [ "GRD", 308, "Grenada" ], [ "GLP", 312, "Guadeloupe" ], [ "GUM", 316, "Guam" ], [ "GTM", 320, "Guatemala" ], [ "GIN", 324, "Guinea" ], [ "GUY", 328, "Guyana" ], [ "HTI", 332, "Haiti" ], [ "HMD", 334, "Heard Island and McDonald Islands" ], [ "VAT", 336, "Holy See" ], [ "HND", 340, "Honduras" ], [ "HKG", 344, "Hong Kong" ], [ "HUN", 348, "Hungary" ], [ "ISL", 352, "Iceland" ], [ "IND", 356, "India" ], [ "IDN", 360, "Indonesia" ], [ "IRN", 364, "Iran" ], [ "IRQ", 368, "Iraq" ], [ "IRL", 372, "Ireland" ], [ "ISR", 376, "Israel" ], [ "ITA", 380, "Italy" ], [ "CIV", 384, "Cote d'Ivoire" ], [ "JAM", 388, "Jamaica" ], [ "JPN", 392, "Japan" ], [ "KAZ", 398, "Kazakhstan" ], [ "JOR", 400, "Jordan" ], [ "KEN", 404, "Kenya" ], [ "PRK", 408, "Democratic People's Republic of Korea" ], [ "KOR", 410, "Republic of Korea" ], [ "KWT", 414, "Kuwait" ], [ "KGZ", 417, "Kyrgyzstan" ], [ "LAO", 418, "Lao People's Democratic Republic" ], [ "LBN", 422, "Lebanon" ], [ "LSO", 426, "Lesotho" ], [ "LVA", 428, "Latvia" ], [ "LBR", 430, "Liberia" ], [ "LBY", 434, "Libya" ], [ "LIE", 438, "Liechtenstein" ], [ "LTU", 440, "Lithuania" ], [ "LUX", 442, "Luxembourg" ], [ "MAC", 446, "Macao" ], [ "MDG", 450, "Madagascar" ], [ "MWI", 454, "Malawi" ], [ "MYS", 458, "Malaysia" ], [ "MDV", 462, "Maldives" ], [ "MLI", 466, "Mali" ], [ "MLT", 470, "Malta" ], [ "MTQ", 474, "Martinique" ], [ "MRT", 478, "Mauritania" ], [ "MUS", 480, "Mauritius" ], [ "MEX", 484, "Mexico" ], [ "MCO", 492, "Monaco" ], [ "MNG", 496, "Mongolia" ], [ "MDA", 498, "Republic of Moldova" ], [ "MNE", 499, "Montenegro" ], [ "MSR", 500, "Montserrat" ], [ "MAR", 504, "Morocco" ], [ "MOZ", 508, "Mozambique" ], [ "OMN", 512, "Oman" ], [ "NAM", 516, "Namibia" ], [ "NRU", 520, "Nauru" ], [ "NPL", 524, "Nepal" ], [ "NLD", 528, "Netherlands (the)" ], [ "CUW", 531, "Curacao" ], [ "ABW", 533, "Aruba" ], [ "SXM", 534, "Sint Maarten (Dutch part)" ], [ "BES", 535, "Bonaire, Sint Eustatius and Saba" ], [ "NCL", 540, "New Caledonia" ], [ "VUT", 548, "Vanuatu" ], [ "NZL", 554, "New Zealand" ], [ "NIC", 558, "Nicaragua" ], [ "NER", 562, "Niger" ], [ "NGA", 566, "Nigeria" ], [ "NIU", 570, "Niue" ], [ "NFK", 574, "Norfolk Island" ], [ "NOR", 578, "Norway" ], [ "MNP", 580, "Northern Mariana Islands" ], [ "UMI", 581, "United States Minor Outlying Islands" ], [ "FSM", 583, "Micronesia, Federated States of" ], [ "MHL", 584, "Marshall Islands" ], [ "PLW", 585, "Palau" ], [ "PAK", 586, "Pakistan" ], [ "PAN", 591, "Panama" ], [ "PNG", 598, "Papua New Guinea" ], [ "PRY", 600, "Paraguay" ], [ "PER", 604, "Peru" ], [ "PHL", 608, "Philippines" ], [ "PCN", 612, "Pitcairn" ], [ "POL", 616, "Poland" ], [ "PRT", 620, "Portugal" ], [ "GNB", 624, "Guinea-Bissau" ], [ "TLS", 626, "Timor-Leste" ], [ "PRI", 630, "Puerto Rico" ], [ "QAT", 634, "Qatar" ], [ "REU", 638, "Réunion" ], [ "ROU", 642, "Romania" ], [ "RUS", 643, "Russian Federation" ], [ "RWA", 646, "Rwanda" ], [ "BLM", 652, "Saint Barthélemy" ], [ "SHN", 654, "Saint Helena, Ascension and Tristan da Cunha" ], [ "KNA", 659, "Saint Kitts and Nevis" ], [ "AIA", 660, "Anguilla" ], [ "LCA", 662, "Saint Lucia" ], [ "MAF", 663, "Saint Martin (French part)" ], [ "SPM", 666, "Saint Pierre and Miquelon" ], [ "VCT", 670, "Saint Vincent and the Grenadines" ], [ "SMR", 674, "San Marino" ], [ "STP", 678, "Sao Tome and Principe" ], [ "SAU", 682, "Saudi Arabia" ], [ "SEN", 686, "Senegal" ], [ "SRB", 688, "Serbia" ], [ "SYC", 690, "Seychelles" ], [ "SLE", 694, "Sierra Leone" ], [ "SGP", 702, "Singapore" ], [ "SVK", 703, "Slovakia" ], [ "VNM", 704, "Viet Nam" ], [ "SVN", 705, "Slovenia" ], [ "SOM", 706, "Somalia" ], [ "ZAF", 710, "South Africa" ], [ "ZWE", 716, "Zimbabwe" ], [ "ESP", 724, "Spain" ], [ "SSD", 728, "South Sudan" ], [ "SDN", 729, "Sudan" ], [ "ESH", 732, "Western Sahara" ], [ "SUR", 740, "Suriname" ], [ "SJM", 744, "Svalbard and Jan Mayen" ], [ "SWZ", 748, "Eswatini" ], [ "SWE", 752, "Sweden" ], [ "CHE", 756, "Switzerland" ], [ "SYR", 760, "Syrian Arab Republic" ], [ "TJK", 762, "Tajikistan" ], [ "THA", 764, "Thailand" ], [ "TGO", 768, "Togo" ], [ "TKL", 772, "Tokelau" ], [ "TON", 776, "Tonga" ], [ "TTO", 780, "Trinidad and Tobago" ], [ "ARE", 784, "United Arab Emirates" ], [ "TUN", 788, "Tunisia" ], [ "TUR", 792, "Türkiye" ], [ "TKM", 795, "Turkmenistan" ], [ "TCA", 796, "Turks and Caicos Islands" ], [ "TUV", 798, "Tuvalu" ], [ "UGA", 800, "Uganda" ], [ "UKR", 804, "Ukraine" ], [ "MKD", 807, "North Macedonia" ], [ "EGY", 818, "Egypt" ], [ "GBR", 826, "United Kingdom of Great Britain and Northern Ireland (the)" ], [ "GGY", 831, "Guernsey" ], [ "JEY", 832, "Jersey" ], [ "IMN", 833, "Isle of Man" ], [ "TZA", 834, "Tanzania, United Republic of" ], [ "USA", 840, "United States of America (the)" ], [ "VIR", 850, "Virgin Islands (U.S.)" ], [ "BFA", 854, "Burkina Faso" ], [ "URY", 858, "Uruguay" ], [ "UZB", 860, "Uzbekistan" ], [ "VEN", 862, "Venezuela" ], [ "WLF", 876, "Wallis and Futuna" ], [ "WSM", 882, "Samoa" ], [ "YEM", 887, "Yemen" ], [ "ZMB", 894, "Zambia" ] ] }, { "kind": "Enum", "name": "UsIndicator", "description": "US Regulation S indicator.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "No trading restrictions." ], [ "RegulationS", 2, "Trading restricted due to US Regulation S." ], [ "RegulationSPlusRule144A", 3, "Trading restricted due to US Regulation S with Rule 144A." ] ] }, { "kind": "Enum", "name": "SettlementType", "description": "Indicates settlement type of the derivative.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable." ], [ "CashSettlement", 2, "Derivatives are settled in cash." ], [ "PhysicalDelivery", 3, "Derivatives are settled as physical delivery of the underlying." ] ] }, { "kind": "Enum", "name": "OptionType", "description": "Type of option.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable." ], [ "Call", 2, "Call option." ], [ "Put", 3, "Put option." ] ] }, { "kind": "Struct", "name": "PublicProductIdentification", "description": "Product identification based on well known identification types, such as ISIN.", "fields": [ { "name": "productIdentification", "type": "ProductIdentification", "description": "Product identification, for example its ISIN code." }, { "name": "productIdentificationType", "type": "ProductIdentificationType", "description": "Type of product identification." } ] }, { "kind": "Enum", "name": "IndexUnderlyingType", "description": "Underlying type of index.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable" ], [ "Index", 2, "Index." ], [ "ReferenceRate", 3, "Reference Rate." ] ] }, { "kind": "Struct", "name": "IndexUnderlying", "description": "Underlying instruments for index.", "fields": [ { "name": "productIdentification", "type": "PublicProductIdentification", "description": "Product Identification." }, { "name": "indexUnderlyingType", "type": "IndexUnderlyingType", "description": "Underlying type of index." } ] }, { "kind": "Array", "name": "IndexUnderlyingArray", "description": "IndexUnderlying Array.", "type": "IndexUnderlying", "length": 3 }, { "kind": "Struct", "name": "IndexUnderlyings", "description": "Array of IndexUnderlying with their count.", "fields": [ { "name": "count", "type": "u8", "description": "How many elements does IndexUnderlyings contain." }, { "name": "items", "type": "IndexUnderlyingArray", "description": "IndexUnderlying Array." } ] }, { "kind": "Struct", "name": "Header", "description": "Market Data message header.", "fields": [ { "name": "length", "type": "MsgLength", "description": "Message length." }, { "name": "msgType", "type": "MsgType", "description": "Type of message (e.g. OrderExecute)." }, { "name": "version", "type": "MsgVersion", "description": "Version of the Market Data protocol." }, { "name": "seqNum", "type": "SeqNum", "description": "Sequence number of the message added by the Market Data Sequencer." }, { "name": "timestamp", "type": "Timestamp", "description": "Time when message was sequenced on Market Data (Timestamp >= sourceTimestamp)." }, { "name": "sourceTimestamp", "type": "Timestamp", "description": "Time of the business event that triggered or generated the message." }, { "name": "isEncrypted", "type": "bool", "description": "True if message is encrypted." }, { "name": "encryptionOffset", "type": "u64", "description": "Encryption byte offset." }, { "name": "encryptionKeyId", "type": "ElementId", "description": "Reference to an EncryptionKey message." }, { "name": "sessionId", "type": "SessionId", "description": "ID of the session." }, { "name": "streamId", "type": "StreamId", "description": "ID of the md stream." } ] }, { "kind": "Struct", "name": "AccruedInterestTableEntry", "description": "Message describing an accrued interest table entry.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "productId", "type": "ElementId" }, { "name": "accruedInterestTableEntryDate", "type": "Date", "description": "Accrued interest table entry date." }, { "name": "accruedInterestTableEntryValue", "type": "Number", "description": "Accrued interest table entry value." } ] }, { "kind": "Struct", "name": "AuctionUpdate", "description": "Updates IMP/IMV and BBO during an auction.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "indicativeMatchingPrice", "type": "Price", "description": "Indicative Matching Price (IMP)." }, { "name": "indicativeMatchingVolume", "type": "Quantity", "description": "Indicative Matching Volume (IMV)." }, { "name": "totalSellQuantityAtImp", "type": "Quantity", "description": "Total sell quantity at IMP." }, { "name": "totalBuyQuantityAtImp", "type": "Quantity", "description": "Total buy quantity at IMP." }, { "name": "bestSellLevel", "type": "Price", "description": "Best sell price level (1st BBO level)." }, { "name": "bestSellLevelQuantity", "type": "Quantity", "description": "Quantity at the best sell price level." }, { "name": "bestBuyLevel", "type": "Price", "description": "Best buy price level (1st BBO level)." }, { "name": "bestBuyLevelQuantity", "type": "Quantity", "description": "Quantity at the best buy price level." } ] }, { "kind": "Struct", "name": "CalendarException", "description": "Upcoming calendar day exception.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "calendarId", "type": "ElementId", "description": "Calendar ID." }, { "name": "calendarExceptionDate", "type": "Date", "description": "Calendar exception date." }, { "name": "calendarExceptionType", "type": "CalendarExceptionType", "description": "Calendar exception type." } ] }, { "kind": "Struct", "name": "CollarGroup", "description": "Message defining a collar group.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "id", "type": "ElementId", "description": "Collar group ID." }, { "name": "orderStaticCollarTableId", "type": "ElementId", "description": "Collar table ID." }, { "name": "orderDynamicCollarTableId", "type": "ElementId", "description": "Collar table ID." }, { "name": "tradeStaticCollarTableId", "type": "ElementId", "description": "Collar table ID." }, { "name": "tradeDynamicCollarTableId", "type": "ElementId", "description": "Collar table ID." } ] }, { "kind": "Struct", "name": "CollarTableEntry", "description": "Collar table definition.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "collarTableId", "type": "ElementId", "description": "Collar table ID." }, { "name": "collarMode", "type": "CollarMode", "description": "Collar mode (trade price collar or order price collar)." }, { "name": "collarExpression", "type": "ExpressionType", "description": "Collar expression (percentage or absolute value in reference price)." }, { "name": "collarLowerBound", "type": "Bound", "description": "Collar lower bound." }, { "name": "collarValue", "type": "CollarValue", "description": "Collar value." }, { "name": "collarLowerBid", "type": "Bound", "description": "Lower bid collar." }, { "name": "collarUpperBid", "type": "Bound", "description": "Upper bid collar." }, { "name": "collarUpperAsk", "type": "Bound", "description": "Upper ask collar." }, { "name": "collarLowerAsk", "type": "Bound", "description": "Lower ask collar." } ] }, { "kind": "Struct", "name": "EncryptionKey", "description": "Encryption key and ID.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "id", "type": "ElementId", "description": "Encryption key ID." }, { "name": "secretKey", "type": "EncryptionGroupKey", "description": "Secret Key value." } ] }, { "kind": "Struct", "name": "Heartbeat", "description": "A message type used to check connectivity.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." } ] }, { "kind": "Struct", "name": "IndexationTableEntry", "description": "Message describing an indexation table entry.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "productId", "type": "ElementId", "description": "Product ID." }, { "name": "indexationTableEntryDate", "type": "Date", "description": "Indexation table entry date." }, { "name": "indexationTableEntryValue", "type": "Number", "description": "Indexation table entry value." } ] }, { "kind": "Struct", "name": "MarketStructure", "description": "Messages defining the Trading Venue’s market structure.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "id", "type": "ElementId", "description": "ID of the market structure." }, { "name": "parentId", "type": "ElementId", "description": "ID of the market structure's parent market structure if the market structure is a sub-structure. Set to '0' (zero) if no parent market structure." }, { "name": "mic", "type": "MicCode", "description": "Market structure's Market Identifier Code (MIC) as specified in ISO 10383." }, { "name": "name", "type": "Name", "description": "Market structure name assigned by market operator." }, { "name": "marketModelType", "type": "MarketModelType", "description": "Market model type." } ] }, { "kind": "Struct", "name": "OrderAdd", "description": "New (limit) order added to order book.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "publicOrderId", "type": "PublicOrderId", "description": "Order identifier (ID). " }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument.", "$metadata": { "isEncrypted": true } }, { "name": "side", "type": "OrderSide", "description": "Order side (buy or sell)." }, { "name": "price", "type": "Price", "description": "Order (limit) price.", "$metadata": { "isEncrypted": true } }, { "name": "quantity", "type": "Quantity", "description": "Order quantity.", "$metadata": { "isEncrypted": true } }, { "name": "mmQuote", "type": "bool", "description": "Market maker quote flag." } ] }, { "kind": "Struct", "name": "OrderCancel", "description": "Order deleted.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "publicOrderId", "type": "PublicOrderId", "description": "Order identifier (ID)." }, { "name": "side", "type": "OrderSide", "description": "Order side." } ] }, { "kind": "Struct", "name": "OrderExecute", "description": "Execution report.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "quantity", "type": "Quantity", "description": "Remaining un-executed order quantity.", "$metadata": { "isEncrypted": true } }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument.", "$metadata": { "isEncrypted": true } }, { "name": "publicOrderId", "type": "PublicOrderId", "description": "Order identifier (ID)." }, { "name": "tradeId", "type": "TradeId", "description": "ID of the underlying trade (equal to TradeID in Trade.)", "$metadata": { "isEncrypted": true } }, { "name": "executionPrice", "type": "Price", "description": "Price at which the order was executed.", "$metadata": { "isEncrypted": true } }, { "name": "executionQuantity", "type": "Quantity", "description": "The order’s executed quantity.", "$metadata": { "isEncrypted": true } }, { "name": "side", "type": "OrderSide", "description": "Order side." } ] }, { "kind": "Struct", "name": "OrderModify", "description": "Order modified.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument.", "$metadata": { "isEncrypted": true } }, { "name": "publicOrderId", "type": "PublicOrderId", "description": "Order identifier (ID)." }, { "name": "price", "type": "Price", "description": "New order price.", "$metadata": { "isEncrypted": true } }, { "name": "quantity", "type": "Quantity", "description": "New order quantity.", "$metadata": { "isEncrypted": true } }, { "name": "priorityFlag", "type": "PriorityFlag", "description": "Priority loss flag." }, { "name": "side", "type": "OrderSide", "description": "Order side." } ] }, { "kind": "Struct", "name": "TopPriceLevelUpdate", "description": "BBO Level 1.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument.", "$metadata": { "isEncrypted": true } }, { "name": "price", "type": "Price", "description": "BBO level 1 price level in currency units.", "$metadata": { "isEncrypted": true } }, { "name": "quantity", "type": "Quantity", "description": "BBO level 1 quantity at price level.", "$metadata": { "isEncrypted": true } }, { "name": "side", "type": "OrderSide", "description": "Side (buy or sell)." }, { "name": "orderCount", "type": "OrderCount", "description": "Number of open orders at BBO level 1.", "$metadata": { "isEncrypted": true } } ] }, { "kind": "Struct", "name": "PriceLevelSnapshot", "description": "BBO price levels and volumes.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "maxDepth", "type": "u8", "description": "The number of BBO levels contained in the message." }, { "name": "mmBuyQuoteLevel", "type": "u8", "description": "Id of an level on which mm quote rests (0 means no mm)." }, { "name": "mmSellQuoteLevel", "type": "u8", "description": "Id of an level on which mm quote rests (0 means no mm)." }, { "name": "buy", "type": "PriceLevels", "description": "Price levels for buy side." }, { "name": "sell", "type": "PriceLevels", "description": "Price levels for sell side." } ] }, { "kind": "Array", "name": "PriceLevels", "type": "PriceLevel", "length": 5, "description": "PriceLevel table. Array size refers to BBO levels." }, { "kind": "Struct", "name": "PriceLevel", "description": "Data type for storing snapshot price level.", "fields": [ { "name": "isEncrypted", "type": "bool", "description": "A boolean value specifying whether the level is encrypted." }, { "name": "encryptionOffset", "type": "u64", "description": "Encryption byte offset." }, { "name": "encryptionKeyId", "type": "ElementId", "description": "Encryption Key ID - reference to a EncryptionKey message." }, { "name": "price", "type": "Price", "description": "Price level in currency units.", "$metadata": { "isEncrypted": true } }, { "name": "quantity", "type": "Quantity", "description": "Quantity of securities available at a given price level.", "$metadata": { "isEncrypted": true } }, { "name": "orderCount", "type": "OrderCount", "description": "Number of open orders at a given price level.", "$metadata": { "isEncrypted": true } } ] }, { "kind": "Enum", "name": "PriceUpdateType", "underlying": "u8", "description": "Price update message variant.", "variants": [ [ "ReferencePrice", 1, "Reference price placed in the value field" ], [ "ReferenceIndexPrice", 2, "TBSP.Price price placed in the value field" ], [ "ReferenceFixingIndexPrice", 3, "TBSP.FixPrice price placed in the value field" ], [ "MidPrice", 4, "MidPrice price placed in the value field" ], [ "FixingPrice", 5, "The fixing prices placed appropriately in the value field as the average price, valueBid as the bid price, and valueAsk as the ask price." ], [ "FixingYtm", 6, "The fixing YTM (i.e. yield to maturity) appropriately placed in the value field as the average YTM, valueBid as the bid YTM, and valueAsk as the ask YTM." ] ] }, { "kind": "Enum", "name": "PriceYtmPresence", "underlying": "u16", "description": "Bit flags indicating the filling of 'value', 'valueAsk', 'valueBid' attributes in the price update message.", "bitflags": true, "variants": [ [ "None", "0b000000000", "No values provided." ], [ "value", "0b000000001", "A price was provided." ], [ "valueBid", "0b000000010", "A bid price was provided." ], [ "valueAsk", "0b000000100", "An ask price was provided." ], [ "YtmNoCalc", "0b000001000", "YTM was not provided due to the absence of its calculation." ], [ "YtmBidNoCalc", "0b000010000", "Bid YTM was not provided due to the absence of its calculation." ], [ "YtmAskNoCalc", "0b000100000", "Ask YTM was not provided due to the absence of its calculation." ] ] }, { "kind": "Enum", "name": "MessageFilter", "underlying": "u8", "description": "Bit flags indicating which message types filtered out in stream.", "bitflags": true, "variants": [ [ "None", "0b0000", "Disable trades and ref_data." ], [ "Trades", "0b0001", "Enable trades." ], [ "RefData", "0b0010", "Enable ref_data." ] ] }, { "kind": "Struct", "name": "PriceUpdate", "description": "Message indicating a price or YTM update", "fields": [ { "name": "header", "type": "Header", "description": "Message Header." }, { "name": "instrumentId", "type": "ElementId", "description": "Instrument to which the update refers." }, { "name": "priceUpdateType", "type": "PriceUpdateType", "description": "Indicates price update message variant." }, { "name": "priceYtmPresence", "type": "PriceYtmPresence", "description": "Indicates the filling of fields: value, valueBid, valueAsk." }, { "name": "value", "type": "Price", "description": "Indicates the updated price or YTM." }, { "name": "valueBid", "type": "Price", "description": "Indicates the updated bid price or bid YTM." }, { "name": "valueAsk", "type": "Price", "description": "Indicates the updated ask price or ask YTM." } ] }, { "kind": "Enum", "name": "CollarType", "underlying": "u8", "description": "Collar type can be dynamic or static.", "variants": [ [ "Static", 1 ], [ "Dynamic", 2 ] ] }, { "kind": "Struct", "name": "OrderCollars", "description": "New order price collars.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "collarType", "type": "CollarType", "description": "Collars type." }, { "name": "price", "type": "Price", "description": "The reference price." }, { "name": "lowerBid", "type": "Bound", "description": "Value of the lower bid Price collar." }, { "name": "upperBid", "type": "Bound", "description": "Value of the upper bid Price collar." }, { "name": "lowerAsk", "type": "Bound", "description": "Value of the lower ask Price collar." }, { "name": "upperAsk", "type": "Bound", "description": "Value of the upper ask Price collar." } ] }, { "kind": "Struct", "name": "TradeCollars", "description": "New trade price collars.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "collarType", "type": "CollarType", "description": "Collar type." }, { "name": "price", "type": "Price", "description": "The reference price." }, { "name": "lower", "type": "Bound", "description": "Value of the lower Price collar." }, { "name": "upper", "type": "Bound", "description": "Value of the upper Price collar." } ] }, { "kind": "Enum", "name": "TradingSessionEvent", "description": "Identifies an event related to the trading status of a trading session.", "underlying": "u8", "variants": [ [ "NA", 1, "Not applicable." ], [ "StartOfTechnicalSession", 2, "Start of technical session." ], [ "EndOfTechnicalSession", 3, "End of technical session." ], [ "InitialReferenceDataStart", 4, "Initial reference data start." ], [ "InitialReferenceDataEnd", 5, "Initial reference data end." ], [ "PreviousDayRestateStart", 6, "Previous day restate start." ], [ "PreviousDayRestateEnd", 7, "Previous day restate end." ], [ "NextSessionReferenceDataStart", 8, "Next session reference data start." ], [ "NextSessionReferenceDataEnd", 9, "Next session reference data end." ], [ "StartOfTradingSessionMIC", 12, "Start of trading session MIC." ], [ "EndOfTradingSessionMIC", 13, "End of trading session MIC." ] ] }, { "kind": "Struct", "name": "TradingSessionStatus", "description": "The Trading Session Status provides information on the status of a market and on a trading day events.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "marketId", "type": "MicCode", "description": "Market structure's Market Identifier Code (MIC) as specified in ISO 10383." }, { "name": "marketStructureId", "type": "ElementId", "description": "ID of the financial instrument's market segment." }, { "name": "tradingSessionEvent", "type": "TradingSessionEvent", "description": "Identifies an event related to the trading status of a trading session." }, { "name": "date", "type": "Date", "description": "Date of the business session when provided and 0 for StartOfTechnicalSession and EndOfTechnicalSession events." } ] }, { "kind": "Struct", "name": "TickTableEntry", "description": "Tick size definition.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "tickSize", "type": "TickSize", "description": "Size of the tick." }, { "name": "lowerBound", "type": "Bound", "description": "Tick size lower bound." }, { "name": "tickTableId", "type": "ElementId", "description": "Tick table ID." } ] }, { "kind": "Enum", "name": "LeverageFlag", "underlying": "u8", "description": "Identifier of leverage instruments", "variants": [ [ "NotApplicable", 1, "Not applicable" ], [ "Yes", 2, "Leveraged" ], [ "No", 3, "Not leveraged" ] ] }, { "kind": "Struct", "name": "Instrument", "description": "Definition of a financial instrument.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "productType", "type": "ProductType", "description": "Type of the product." }, { "name": "productSubtype", "type": "ProductSubtype", "description": "Subtype of the product." }, { "name": "firstTradingDate", "type": "Date", "description": "First trading day of the financial instrument." }, { "name": "lastTradingDate", "type": "Date", "description": "Last trading day of the financial instrument." }, { "name": "productId", "type": "ElementId", "description": "Reference to financial product definition." }, { "name": "currency", "type": "Currency", "description": "Trading currency (e.g. USD)." }, { "name": "icebergMinValue", "type": "Value", "description": "Minimum iceberg order value." }, { "name": "lotSize", "type": "LotSize", "description": "Lot size for the instrument." }, { "name": "priceExpressionType", "type": "PriceExpressionType", "description": "Price expression type for the financial instrument." }, { "name": "calendarId", "type": "ElementId", "description": "ID of trading calendar for the financial instrument." }, { "name": "marketStructureId", "type": "ElementId", "description": "ID of the financial instrument’s market segment." }, { "name": "tickTableId", "type": "ElementId", "description": "ID of the tick table used for the financial instrument." }, { "name": "referenceInstrumentId", "type": "ElementId", "description": "Identifier of reference instrument." }, { "name": "collarGroupId", "type": "ElementId", "description": "Collar group ID." }, { "name": "tradingScheduleId", "type": "ElementId", "description": "Trading schedule ID." }, { "name": "description", "type": "InstrumentDescription", "description": "Financial instrument code." }, { "name": "mic", "type": "MicCode", "description": "Market structure's Market Identifier Code (MIC) as specified in ISO 10383." }, { "name": "nominalValue", "type": "Price", "description": "Nominal value of the financial instrument." }, { "name": "nominalValueType", "type": "NominalValueType", "description": "Type of the product's nominal value (no nominal, constant or unknown)." }, { "name": "multiplier", "type": "Multiplier", "description": "Product value multiplier." }, { "name": "strikePrice", "type": "Price", "description": "Product strike price." }, { "name": "strikePriceCurrency", "type": "Currency", "description": "Strike Price Currency" }, { "name": "productIdentification", "type": "ProductIdentification", "description": "Product identification, e.g. ISIN number." }, { "name": "productIdentificationType", "type": "ProductIdentificationType", "description": "Type of product identification." }, { "name": "settlementCalendarId", "type": "ElementId", "description": "Settlement calendar ID." }, { "name": "bondCouponType", "type": "CouponType", "description": "Coupon type for a bond." }, { "name": "preTradeCheckMinPrice", "type": "Price", "description": "Minimum order price for pre-trade check." }, { "name": "preTradeCheckMaxPrice", "type": "Price", "description": "Maximum order price for pre-trade check." }, { "name": "preTradeCheckMinQuantity", "type": "Quantity", "description": "Minimum volume for pre-trade check." }, { "name": "preTradeCheckMaxQuantity", "type": "Quantity", "description": "Maximum volume for pre-trade check." }, { "name": "preTradeCheckMaxValue", "type": "Value", "description": "Maximum value for pre-trade check." }, { "name": "preTradeCheckMinValue", "type": "Value", "description": "Minimum value for pre-trade check." }, { "name": "liquidity", "type": "bool", "description": "Liquidity flag, true - liquid, false - Illiquid." }, { "name": "marketModelType", "type": "MarketModelType", "description": "Market Model." }, { "name": "issuer", "type": "Issuer", "description": "Name of the issuer." }, { "name": "issuerRegCountry", "type": "Country", "description": "Identifier of the country of the registration." }, { "name": "underlyingInstrumentId", "type": "ElementId", "description": "Identifier of the underlying instrument." }, { "name": "productCode", "type": "Code", "description": "Unique code of the product." }, { "name": "cfi", "type": "CfiCode", "description": "CFI (Classification of Financial Instrument) code." }, { "name": "fisn", "type": "FisnCode", "description": "Product FISN (Financial Instrument Short Name) code." }, { "name": "issueSize", "type": "u64", "description": "Size of the issue (depends on the issue size type)" }, { "name": "nominalCurrency", "type": "Currency", "description": "Identifier of the nominal currency (ISO-4217)." }, { "name": "usIndicator", "type": "UsIndicator", "description": "Identifier of the us indicator." }, { "name": "expiryDate", "type": "Date", "description": "Expiration date." }, { "name": "versionNumber", "type": "u8", "description": "Version of the derivative. Version is incremented when corporate event adjusting underlying closing price occurs." }, { "name": "settlementType", "type": "SettlementType", "description": "Identifier of settlement type." }, { "name": "optionType", "type": "OptionType", "description": "Identifier of option type." }, { "name": "exerciseType", "type": "ExerciseType", "description": "Identifier of exercise style." }, { "name": "productName", "type": "Name", "description": "Name of the product." }, { "name": "referencePrice", "type": "Price", "description": "Reference price" }, { "name": "status", "type": "InstrumentStatus", "description": "Instrument status." }, { "name": "initialPhaseId", "type": "ElementId", "description": "Id of starting phase for the instrument" }, { "name": "thresholdMax", "type": "Price", "description": "upper threshold for leveraged instruments" }, { "name": "thresholdMin", "type": "Price", "description": "lower threshold for leveraged instruments" }, { "name": "isLeverage", "type": "LeverageFlag", "description": "Identifier of leverage instruments" }, { "name": "accruedInterestValue", "type": "Number", "description": "Accrued iterest value of the instrument" }, { "name": "kid", "type": "Kid", "description": "KID." }, { "name": "kidIssueDate", "type": "Date", "description": "KID issue date." }, { "name": "valueAtRisk", "type": "u8", "description": "Value at risk." }, { "name": "externalUnderlyingId", "type": "ElementId", "description": "External underlying ID." } ] }, { "kind": "Struct", "name": "InstrumentStatusChange", "description": "Start of a new trading phase.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "tradingPhaseId", "type": "ElementId", "description": "Trading phase ID." }, { "name": "tradingPhaseType", "type": "TradingPhaseType", "description": "Type of matching algorithm." }, { "name": "status", "type": "InstrumentStatus", "description": "Financial instrument status." }, { "name": "stressedMarket", "type": "bool", "description": "Stressed market conditions is called for when instrument experience high and short term intraday volatility." } ] }, { "kind": "Struct", "name": "Trade", "description": "Enriched trade report.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "settlementValue", "type": "Value", "description": "Settlement value." }, { "name": "settlementDate", "type": "Date", "description": "Settlement date." }, { "name": "tradingTimestamp", "type": "Timestamp", "description": "Date and time when the transaction was executed." }, { "name": "publicProductIdentification", "type": "PublicProductIdentification", "description": "Product identification type and code." }, { "name": "price", "type": "Price", "description": "Trade price." }, { "name": "priceCurrency", "type": "Currency", "description": "Currency in which the price is expressed (applicable if the price is expressed as monetary value)." }, { "name": "priceNotation", "type": "PriceExpressionType", "description": "Indication as to whether the price is expressed in monetary value, in percentage or in yield." }, { "name": "quantity", "type": "Quantity", "description": "Trade quantity." }, { "name": "nominalValue", "type": "Value", "description": "Nominal value." }, { "name": "nominalCurrency", "type": "Currency", "description": "Currency in which the notional is denominated." }, { "name": "mic", "type": "MicCode", "description": "Identification of the venue where the transaction was executed." }, { "name": "publicationTimestamp", "type": "Timestamp", "description": "Date and time when the transaction was published by a trading venue." }, { "name": "tradeId", "type": "TradeId", "description": "ID of the trade." }, { "name": "tradeToBeCleared", "type": "bool", "description": "Code to identify whether the transaction will be cleared." }, { "name": "pctChange", "type": "PercentageChange", "description": "Percentage change." }, { "name": "vwap", "type": "Price", "description": "Volume-weighted average price." }, { "name": "noTrades", "type": "u64", "description": "Total number of transactions." }, { "name": "totalVolume", "type": "Quantity", "description": "Total transaction volume." }, { "name": "totalValue", "type": "Value", "description": "Total transaction value." }, { "name": "openingPrice", "type": "Price", "description": "The price of the first trade on the current trading day." }, { "name": "maxPrice", "type": "Price", "description": "Highest price of the instrument on the current trading day." }, { "name": "minPrice", "type": "Price", "description": "Lowest price of the instrument on the current trading day." }, { "name": "mmtMarketMechanism", "type": "MmtMarketMechanism", "description": "MMT Market Mechanism" }, { "name": "mmtTradingMode", "type": "MmtTradingMode", "description": "MMT Trading Mode" }, { "name": "mmtTransactionCategory", "type": "MmtTransactionCategory", "description": "MMT Transaction Category" }, { "name": "mmtNegotiationIndicator", "type": "MmtNegotiationIndicator", "description": "MMT Negotiation Indicator" }, { "name": "mmtAgencyCrossTradeIndicator", "type": "MmtAgencyCrossTradeIndicator", "description": "MMT Agency Cross Trade Indicator" }, { "name": "mmtModificationIndicator", "type": "MmtModificationIndicator", "description": "MMT Modification Indicator" }, { "name": "mmtBenchmarkReferencePriceIndicator", "type": "MmtBenchmarkReferencePriceIndicator", "description": "MMT Benchmark / Reference Price Indicator" }, { "name": "mmtSpecialDividendIndicator", "type": "MmtSpecialDividendIndicator", "description": "MMT Special Dividend Indicator" }, { "name": "mmtOffBookAutomatedIndicator", "type": "MmtOffBookAutomatedIndicator", "description": "MMT Off Book Automated Indicator" }, { "name": "mmtOrdinaryTradeIndicator", "type": "MmtOrdinaryTradeIndicator", "description": "MMT Ordinary Trade Indicator" }, { "name": "mmtAlgorithmicIndicator", "type": "MmtAlgorithmicIndicator", "description": "MMT Algorithmic Indicator" }, { "name": "mmtPostTradeDeferralReason", "type": "MmtPostTradeDeferralReason", "description": "MMT Post-Trade Deferral Reason" }, { "name": "mmtPostTradeDeferralType", "type": "MmtPostTradeDeferralType", "description": "MMT Post-Trade Deferral Type" } ] }, { "kind": "Struct", "name": "TradingPhaseScheduleEntry", "description": "Trading phase definition.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "tradingScheduleId", "type": "ElementId", "description": "Trading schedule ID." }, { "name": "tradingPhaseId", "type": "ElementId", "description": "Trading phase ID." }, { "name": "tradingPhaseSettlementCycle", "type": "u8", "description": "Settlement cycle for transactions made during a continuous phase." }, { "name": "tradingPhaseMaxBlockSettlementCycle", "type": "u8", "description": "Max settlement cycle for block transactions." }, { "name": "staticCollarVolatilityAuctionId", "type": "ElementId", "description": "Static collar volatility auction ID." }, { "name": "dynamicCollarVolatilityAuctionId", "type": "ElementId", "description": "Dynamic collar volatility auction ID." }, { "name": "tradingPhaseStartTime", "type": "Timestamp", "description": "Trading phase start time." }, { "name": "tradingPhaseType", "type": "TradingPhaseType", "description": "Type of matching algorithm." }, { "name": "uncrossing", "type": "bool", "description": "True if the phase includes an uncrossing." }, { "name": "extStaticCollarVolatilityAuctionId", "type": "ElementId", "description": "ID of Static Collar Volatility Auction." }, { "name": "extDynamicCollarVolatilityAuctionId", "type": "ElementId", "description": "ID of Dynamic Collar Volatility Auction." }, { "name": "clatId", "type": "ElementId", "description": "ID of last auction phase." } ] }, { "kind": "Struct", "name": "WeekPlan", "description": "Trading week plan.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "calendarId", "type": "ElementId", "description": "Calendar ID." }, { "name": "weekdays", "type": "Weekdays", "description": "Boolean array of weekdays (Monday to Sunday) open or closed for trading; true – weekday open for trading, false – weekday closed for trading." } ] }, { "kind": "Struct", "name": "Login", "description": "Login message to the Snapshot service.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "connectionId", "type": "ConnectionId", "description": "ID of the connection." }, { "name": "token", "type": "Token", "description": "Client token." }, { "name": "filter", "type": "MessageFilter", "description": "Indicates which message types should be sent in stream." } ] }, { "kind": "Struct", "name": "LoginResponse", "description": "Response to a Login message.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "result", "type": "LoginResult", "description": "see the LoginResult description." } ] }, { "kind": "Enum", "name": "LoginResult", "description": "Login response code of a BIN session.", "underlying": "u8", "variants": [ [ "Ok", 1, "Successful login." ], [ "InvalidToken", 2, "Authorization failure." ], [ "AlreadyLoggedIn", 3, "Already logged in." ], [ "LoginNotAllowed", 4, "Login is currently unavailable due to reasons such as service unavailability." ], [ "Other", 5, "Other errors." ] ] }, { "kind": "Struct", "name": "Logout", "description": "A Logout message is sent by the client to initiate disconnection from the service.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." } ] }, { "kind": "Struct", "name": "EndOfSnapshot", "description": "Marks the end of a snapshot.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "lastSeqNum", "type": "SeqNum", "description": "Sequence number of the last Market Data message transmitted by the Snapshot." } ] }, { "kind": "Struct", "name": "AuctionSummary", "description": "Auction summary, including auction price and quantity.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of financial instrument." }, { "name": "price", "type": "Price", "description": "Auction price (final auction price)." }, { "name": "quantity", "type": "Quantity", "description": "Auction quantity (final auction volume)." }, { "name": "auctionType", "type": "AuctionType", "description": "Type of auction." } ] }, { "kind": "Enum", "name": "OrderBookEventType", "description": "Book event for given instrument", "underlying": "u8", "variants": [ [ "Clear", 1, "Clear order book" ], [ "ResendStart", 2, "Order book resend start (resend will begin shortly)" ], [ "ResendEnd", 3, "Order book resend end (resend is done)" ] ] }, { "kind": "Struct", "name": "OrderBookEvent", "description": "Order book event for given instrument", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of the instrument." }, { "name": "eventType", "type": "OrderBookEventType", "description": "Type/Kind of book event" } ] }, { "kind": "Struct", "name": "RealTimeIndex", "description": "Message providing real-time index values for instruments.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "InstrumentID of the redistributed index." }, { "name": "indexLevelCode", "type": "IndexLevelCode", "description": "Level of the index." }, { "name": "numOfActiveInstruments", "type": "u16", "description": "Number of instruments – participants of the index, for which the quotation was set during the session." }, { "name": "indIndexOpeningPortfolio", "type": "PercentageChange", "description": "Indicator of the index opening portfolio W(t). Percentage share of instruments with at least one trade during the session." }, { "name": "indexValue", "type": "IndexValue", "description": "The value of the last level for the index according to the definition provided in the indexLevelCode." }, { "name": "pctChangeIndexValPrevSession", "type": "PercentageChange", "description": "Percentage change of the index value in relation to the value of the closing index from the previous session." }, { "name": "sessionLow", "type": "IndexValue", "description": "Lowest value of the day." }, { "name": "sessionHigh", "type": "IndexValue", "description": "Highest value of the day." }, { "name": "presenceFlags", "type": "RealTimeIndexPresenceFlags", "description": "Indicates the filling of fields: tradingValue, indexValueBid, indexValueAsk, midSpreadIndex, differenceCentralSpread." }, { "name": "tradingValue", "type": "Value", "description": "Value of trading in the instruments from the given index." }, { "name": "indexValueBid", "type": "IndexValue", "description": "Value of the buy index based on the best sell offers of instruments." }, { "name": "indexValueAsk", "type": "IndexValue", "description": "Value of the sell index based on the best sell offers of instruments." }, { "name": "midSpreadIndex", "type": "IndexValue", "description": "Mean of indexValueBid and indexValueAsk." }, { "name": "differenceCentralSpread", "type": "IndexValue", "description": "The point difference between midSpreadIndex and indexValue." } ] }, { "kind": "Struct", "name": "IndexSummary", "description": "The index summary message provides a summary of the data calculated in a stock index for a given day.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "InstrumentID of the redistributed index." }, { "name": "openingIndexValue", "type": "IndexValue", "description": "Opening index value" }, { "name": "sessionLow", "type": "IndexValue", "description": "Lowest value of the day." }, { "name": "sessionHigh", "type": "IndexValue", "description": "Highest value of the day." }, { "name": "closingIndexValue", "type": "IndexValue", "description": "Closing index value." }, { "name": "presenceFlags", "type": "IndexSummaryPresenceFlags", "description": "Indicates the filling of fields: sessionAvg." }, { "name": "sessionAvg", "type": "IndexValue", "description": "Average value of the day." }, { "name": "pctChangeIndexValPrevSession", "type": "PercentageChange", "description": "Percentage change of the index value in relation to the value of the closing index from the previous session." }, { "name": "pctChangeIndexValPrevYear", "type": "PercentageChange", "description": "Percentage change of the index value in relation to its value at the end of the previous year" }, { "name": "closingCapitalisationPortfolio", "type": "Value", "description": "Capitalisation of the portfolio for the closing index expressed in the currency of the index, on basis of which the closing index is calculated." }, { "name": "indIndexOpeningPortfolio", "type": "PercentageChange", "description": "Indicator of the index opening portfolio W(t). Percentage share of instruments with at least one trade during the session." } ] }, { "kind": "Struct", "name": "IndexPortfolioEntry", "description": "The message contains information about a product providing the index portfolio. The entire index portfolio is sent as successive IndexPortfolioEntry messages.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "id", "type": "ElementId", "description": "The identifier of the entry within the given index." }, { "name": "indexId", "type": "ElementId", "description": "ID of index." }, { "name": "presenceFlags", "type": "IndexPortfolioEntryPresenceFlags", "description": "Indicates the filling of fields: instrumentId." }, { "name": "instrumentId", "type": "ElementId", "description": "ID of the financial instrument (index participant)." }, { "name": "publicProductIdentification", "type": "PublicProductIdentification", "description": "Product identification type and code." }, { "name": "mic", "type": "MicCode", "description": "Market structure's Market Identifier Code (MIC) as specified in ISO 10383." }, { "name": "currency", "type": "Currency", "description": "Currency (e.g. USD)." }, { "name": "instrumentPacket", "type": "u64", "description": "Instrument packet in index portfolio / of information product. Number of units (usually stocks/shares) of a given instrument in the index portfolio or in the information product." }, { "name": "suspended", "type": "bool", "description": "Is instrument suspended." } ] }, { "kind": "Struct", "name": "IndexParams", "description": "The metadata message for the given index.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "InstrumentID of the redistributed index." }, { "name": "indexBaseValue", "type": "IndexValue", "description": "Index base value." }, { "name": "indexBaseCapitalisation", "type": "Value", "description": "Index base capitalisation" }, { "name": "indexBaseDate", "type": "Date", "description": "Index base date." }, { "name": "correctionCoefficient", "type": "Number", "description": "Index adjustment coefficient K(t)" }, { "name": "numOfComponents", "type": "u16", "description": "Total number of instruments in the portfolio." }, { "name": "indexPublicationSchedule", "type": "IndexPublicationSchedule", "description": "Mode of index dissemination." }, { "name": "indexType", "type": "IndexType", "description": "Index product classification" }, { "name": "presenceFlags", "type": "IndexParamsPresenceFlags", "description": "Indicates the filling of fields: daysSinceLastPublication, numberOfDividends." }, { "name": "daysSinceLastPublication", "type": "u8", "description": "Number of calendar days between current session and the previous session day." }, { "name": "numberOfDividends", "type": "u16", "description": "Number of dividends included in the index calculation." }, { "name": "indexUnderlyings", "type": "IndexUnderlyings", "description": "List of underlying instruments for index." }, { "name": "publicationOrder", "type": "u16", "description": "Index publication presentation order." }, { "name": "currency", "type": "Currency", "description": "Currency (e.g. USD)." }, { "name": "dateValidity", "type": "Date", "description": "Date of validity of index portfolio." } ] }, { "kind": "Struct", "name": "InstrumentSummary", "description": "Provides brief instrument summary.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "instrumentId", "type": "ElementId", "description": "Identifier of the instrument." }, { "name": "lastTradedPrice", "type": "Price", "description": "Last Traded Price (LTP)." }, { "name": "closingPrice", "type": "Price", "description": "Closing Price (CP)." }, { "name": "closingPriceType", "type": "ClosingPriceType", "description": "Closing Price Type. For OffBook means last transaction price." }, { "name": "adjustedClosingPrice", "type": "Price", "description": "Adjusted Closing Price (ACP)." }, { "name": "adjustedClosingPriceReason", "type": "AdjustedClosingPriceReason", "description": "Reason for adjusting the Closing Price." }, { "name": "pctChange", "type": "PercentageChange", "description": "Percentage change from last session closing price." }, { "name": "vwap", "type": "Price", "description": "Volume-weighted average price for the market model in which there is an instrument." }, { "name": "noTrades", "type": "u64", "description": "Total number of transactions on the current trading day." }, { "name": "totalVolume", "type": "Quantity", "description": "Total transaction volume." }, { "name": "totalValue", "type": "Value", "description": "Total transaction value." }, { "name": "openingPrice", "type": "Price", "description": "The price of the first trade on the current trading day." }, { "name": "maxPrice", "type": "Price", "description": "Highest price of the instrument on the current trading day." }, { "name": "minPrice", "type": "Price", "description": "Lowest price of the instrument on the current trading day." }, { "name": "isCorrection", "type": "bool", "description": "Previous message correction flag." } ] }, { "kind": "Struct", "name": "SingleInstrumentSummary", "description": "Provides brief instrument summary.", "fields": [ { "name": "instrumentId", "type": "ElementId", "description": "Identifier of the instrument.", "$metadata": { "isEncrypted": true } }, { "name": "marketModelType", "type": "MarketModelType", "description": "Market model type." }, { "name": "lastTradedPrice", "type": "Price", "description": "Last Traded Price (LTP).", "$metadata": { "isEncrypted": true } }, { "name": "closingPrice", "type": "Price", "description": "Closing Price (CP).", "$metadata": { "isEncrypted": true } }, { "name": "closingPriceType", "type": "ClosingPriceType", "description": "Closing Price Type." }, { "name": "adjustedClosingPrice", "type": "Price", "description": "Adjusted Closing Price (ACP).", "$metadata": { "isEncrypted": true } }, { "name": "adjustedClosingPriceReason", "type": "AdjustedClosingPriceReason", "description": "Reason for adjusting the Closing Price." }, { "name": "pctChange", "type": "PercentageChange", "description": "Percentage change from last session closing price.", "$metadata": { "isEncrypted": true } }, { "name": "vwap", "type": "Price", "description": "Volume-weighted average price for the market model in which there is an instrument.", "$metadata": { "isEncrypted": true } }, { "name": "noTrades", "type": "u64", "description": "Total number of transactions on the current trading day." }, { "name": "totalVolume", "type": "Quantity", "description": "Total transaction volume.", "$metadata": { "isEncrypted": true } }, { "name": "totalValue", "type": "Value", "description": "Total transaction value.", "$metadata": { "isEncrypted": true } }, { "name": "openingPrice", "type": "Price", "description": "The price of the first trade on the current trading day.", "$metadata": { "isEncrypted": true } }, { "name": "maxPrice", "type": "Price", "description": "Highest price of the instrument on the current trading day.", "$metadata": { "isEncrypted": true } }, { "name": "minPrice", "type": "Price", "description": "Lowest price of the instrument on the current trading day.", "$metadata": { "isEncrypted": true } }, { "name": "settlementPrice", "type": "Price", "description": "Settlement price.", "$metadata": { "isEncrypted": true } }, { "name": "settlementValue", "type": "Price", "description": "Settlement value.", "$metadata": { "isEncrypted": true } }, { "name": "endTradingDate", "type": "Date", "description": "End of trading date." }, { "name": "lastTradeDate", "type": "Date", "description": "The date of execution of the last trade for the given instrument." } ] }, { "kind": "Struct", "name": "ProductSummary", "description": "Session day product summary.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "clobInstrument", "type": "SingleInstrumentSummary", "description": "Provides brief CLOB instrument summary." }, { "name": "crossInstrument", "type": "SingleInstrumentSummary", "description": "Provides brief CROSS instrument summary." }, { "name": "blockInstrument", "type": "SingleInstrumentSummary", "description": "Provides brief BLOCK instrument summary." }, { "name": "hybridInstrument", "type": "SingleInstrumentSummary", "description": "Provides brief HYBRID instrument summary." }, { "name": "productIdentificationType", "type": "ProductIdentificationType", "description": "Type of product identification." }, { "name": "productIdentification", "type": "ProductIdentification", "description": "Product identification, e.g. ISIN number.", "$metadata": { "isEncrypted": true } }, { "name": "productId", "type": "ElementId", "description": "ID of the product.", "$metadata": { "isEncrypted": true } }, { "name": "mic", "type": "MicCode", "description": "Market structure's Market Identifier Code (MIC) as specified in ISO 10383." }, { "name": "accumulatedInterest", "type": "Number", "description": "Accumulated interest on the bonds or for mortgage-backed bonds on the day of settling the transaction." }, { "name": "interestRate", "type": "Number", "description": "Interest rate is determined on the basis of WIBOR/WIBID/WIRON rates for each expiration date of options and futures." }, { "name": "currency", "type": "Currency", "description": "Price currency (e.g. USD)." }, { "name": "sessionDate", "type": "Date", "description": "Stock Exchange session date." }, { "name": "tradingValueCurrency", "type": "Value", "description": "The field comprises the trading value expressed in trading currency.", "$metadata": { "isEncrypted": true } }, { "name": "status", "type": "InstrumentStatus", "description": "Financial instrument status." }, { "name": "sector", "type": "u16", "description": "Defines the sector of the economy that the company belongs to. Possible values for shares, the field assumes were described in the WATS Market Data documentation." }, { "name": "market", "type": "u8", "description": "Defines the market the instrument belongs to. The field assumes were described in the WATS Market Data documentation." }, { "name": "markerPriceChange", "type": "ChangeIndicator", "description": "The field contains the direction of the percentage change in the instrument closing price from the current session in relation to the reference price.", "$metadata": { "isEncrypted": true } }, { "name": "lowerLiquidity", "type": "bool", "description": "The positive field value (true) informs if the company was qualified to Lower Liquidity Space. A negative value has the opposite meaning." }, { "name": "multiplier", "type": "Number", "description": "Instrument multiplier." }, { "name": "dividendRate", "type": "Number", "description": "Dividend rate for the company is given on the basis of dividends paid by companies being the base instrument for futures and options." }, { "name": "delta", "type": "Number", "description": "Value of Delta indicator from the current session.", "$metadata": { "isEncrypted": true } }, { "name": "gamma", "type": "Number", "description": "Value of Gamma indicator from the current session.", "$metadata": { "isEncrypted": true } }, { "name": "rho", "type": "Number", "description": "Value of Rho indicator from the current session.", "$metadata": { "isEncrypted": true } }, { "name": "theta", "type": "Number", "description": "Value of Theta indicator from the current session.", "$metadata": { "isEncrypted": true } }, { "name": "vega", "type": "Number", "description": "Value of Vega indicator from the current session.", "$metadata": { "isEncrypted": true } }, { "name": "volatility", "type": "Number", "description": "Volatility is calculated according to algorithm worked out by the WSE.", "$metadata": { "isEncrypted": true } }, { "name": "optionsStrikePrice", "type": "Price", "description": "Option product strike price." }, { "name": "dividend", "type": "bool", "description": "The positive field value (true) informs that the instruments are traded the first time after determining the right to dividend. A negative value has the opposite meaning." }, { "name": "subscriptionRight", "type": "bool", "description": "The positive field value (true) informs that the instruments are traded the first time after determining the subscription right. A negative value has the opposite meaning." }, { "name": "interimDividendRight", "type": "bool", "description": "The positive field value (true) informs that the instruments are traded the first time after determining the interim dividend right. A negative value has the opposite meaning." }, { "name": "split", "type": "bool", "description": "The positive field value (true) informs that the instruments are traded the first time after the change of the nominal value of shares. A negative value has the opposite meaning." }, { "name": "quotationSystem", "type": "QuotationSystem", "description": "The field informing about the system of listing the instrument." }, { "name": "liquiditySupportPge", "type": "bool", "description": "The field informs if the company entered to Liquidity Support Programme. True - participation in the liquidity Programme, false - no participation in the liquidity Programme." } ] }, { "kind": "Array", "name": "NewsTitle", "type": "AnsiChar", "length": 80, "description": "News title." }, { "kind": "Array", "name": "NewsText", "type": "AnsiChar", "length": 800, "description": "News text." }, { "kind": "Struct", "name": "News", "description": "News message.", "fields": [ { "name": "header", "type": "Header", "description": "Message header" }, { "name": "marketStructureId", "type": "ElementId", "description": "ID of the instrument's market structure." }, { "name": "newsId", "type": "ElementId", "description": "News id - The news id serves as a unique reference for tracking purposes within the WATS system." }, { "name": "title", "type": "NewsTitle", "description": "News title, unique per message." }, { "name": "entryNumber", "type": "u8", "description": "News entry number." }, { "name": "total", "type": "u8", "description": "Total number of news entries." }, { "name": "text", "type": "NewsText", "description": "News text." } ] }, { "kind": "Enum", "name": "MmtMarketMechanism", "description": "MMT Market Mechanism", "underlying": "u8", "variants": [ [ "CentralLimitOrderBook", 1, "1 = Central Limit Order Book" ], [ "QuoteDrivenMarket", 2, "2 = Quote Driven Market" ], [ "DarkOrderBook", 3, "3 = Dark Order Book" ], [ "OffBook", 4, "4 = Off Book" ], [ "PeriodicAuction", 5, "5 = Periodic Auction" ], [ "RequestForQuotes", 6, "6 = Request For Quotes" ], [ "Other", 7, "7 = Any other including Hybrid" ] ] }, { "kind": "Enum", "name": "MmtTradingMode", "description": "MMT Trading Mode", "underlying": "u8", "variants": [ [ "UndefinedAuction", 1, "1 = Undefined Auction" ], [ "ScheduledOpeningAuction", 2, "O = Scheduled Opening Auction" ], [ "ScheduledClosingAuction", 3, "K = Scheduled Closing Auction" ], [ "ScheduledIntradayAuction", 4, "I = Scheduled Intraday Auction" ], [ "UnscheduledAuction", 5, "U = Unscheduled Auction" ], [ "ContinuousTrading", 6, "2 = Continuous Trading" ], [ "AtMarketCloseTrading", 7, "3 = At Market Close Trading" ], [ "OutOfMainSessionTrading", 8, "4 = Out Of Main Session Trading" ], [ "TradeReportingOnExchange", 9, "5 = Trade Reporting (On Exchange)" ], [ "TradeReportingOffExchange", 10, "6 = Trade Reporting (Off Exchange)" ], [ "TradeReportingSystematicInternaliser", 11, "7 = Trade Reporting (Systematic Internaliser)" ] ] }, { "kind": "Enum", "name": "MmtTransactionCategory", "description": "MMT Transaction Category", "underlying": "u8", "variants": [ [ "DarkTrade", 1, "D = Dark Trade" ], [ "TradePriceImprovement ", 2, "R = Trade that has received price improvement" ], [ "PackageTrade", 3, "Z = Package Trade (excluding Exchange For Physicals)" ], [ "ExchangeForPhysicalsTrade", 4, "Y = Exchange For Physicals Trade" ], [ "None", 5, "- = None apply (a standard trade for the Market Mechanism and Trading Mode)" ] ] }, { "kind": "Enum", "name": "MmtNegotiationIndicator", "description": "MMT Negotiation Indicator", "underlying": "u8", "variants": [ [ "NegotiatedTrade", 1, "N = Negotiated Trade" ], [ "NegotiatedTradeLiquidFinancialInstruments", 2, "1 = Negotiated Trade in Liquid Financial Instruments" ], [ "NegotiatedTradeIlliquidFinancialInstruments", 3, "2 = Negotiated Trade in Illiquid Financial Instruments" ], [ "NegotiatedTradeOther", 4, "3 = Negotiated Trade subject to conditions other than the current market price" ], [ "NoNegotiatedTrade", 5, "- = No Negotiated Trade" ], [ "PreTradeTransparencyWaiverIlliquidInstrument", 6, "4 = Pre-Trade Transparency Waiver for Illiquid Instrument on an SI (for RTS 1 only)" ], [ "PreTradeTransparencyWaiverStandardMarketSize", 7, "5 = Pre-Trade Transparency Waiver for above Standard Market Size on an SI (for RTS 1 only)" ], [ "PreTradeTransparencyWaiversIlqdAndSize", 8, "6 = Pre-Trade Transparency Waivers of ILQD and SIZE (for RTS 1 only)" ] ] }, { "kind": "Enum", "name": "MmtAgencyCrossTradeIndicator", "description": "MMT Agency Cross Trade Indicator", "underlying": "u8", "variants": [ [ "AgencyCrossTrade", 1, "X = Agency Cross Trade" ], [ "NoAgencyCrossTrade", 2, "- = No Agency Cross Trade" ] ] }, { "kind": "Enum", "name": "MmtModificationIndicator", "description": "MMT Modification Indicator", "underlying": "u8", "variants": [ [ "TradeCancellation", 1, "C = Trade Cancellation" ], [ "TradeAmendment", 2, "A = Trade Amendment" ], [ "NewTrade", 3, "- = New Trade" ] ] }, { "kind": "Enum", "name": "MmtBenchmarkReferencePriceIndicator", "description": "MMT Benchmark / Reference Price Indicator", "underlying": "u8", "variants": [ [ "BenchmarkTrade", 1, "B = Benchmark Trade" ], [ "ReferencePriceTrade", 2, "S = Reference Price Trade" ], [ "NoBenchmarkorReferencePriceTrade", 3, "- = No Benchmark or Reference Price Trade" ] ] }, { "kind": "Enum", "name": "MmtSpecialDividendIndicator", "description": "MMT Special Dividend Indicator", "underlying": "u8", "variants": [ [ "SpecialDividendTrade", 1, "E = Special Dividend Trade" ], [ "NoSpecialDividendTrade", 2, "- = No Special Dividend Trade" ] ] }, { "kind": "Enum", "name": "MmtOffBookAutomatedIndicator", "description": "MMT Off Book Automated Indicator", "underlying": "u8", "variants": [ [ "UnspecifiedOrNotApply", 1, "'- = Unspecified or does not apply" ], [ "OffBookNonAutomated", 2, "M = Off Book Non-Automated" ], [ "OffBookAutomated", 3, "Q = Off Book Automated" ] ] }, { "kind": "Enum", "name": "MmtOrdinaryTradeIndicator", "description": "MMT Ordinary Trade Indicator", "underlying": "u8", "variants": [ [ "PlainVanillaTrade", 1, "P = Plain-Vanilla Trade" ], [ "NonPriceFormingTrade", 2, "T = Non-Price Forming Trade (formerly defined as a Technical Trade)" ], [ "TradeNotContributingToPriceDiscovery", 3, "J = Trade not contributing to the price discovery process (formerly defined as a Technical Trade)" ], [ "PricePending", 4, "N = Price is currently not available but pending" ] ] }, { "kind": "Enum", "name": "MmtAlgorithmicIndicator", "description": "MMT Algorithmic Indicator", "underlying": "u8", "variants": [ [ "AlgorithmicTrade", 1, "H = Algorithmic Trade" ], [ "NoAlgorithmicTrade", 2, "- = No Algorithmic Trade" ] ] }, { "kind": "Enum", "name": "MmtPostTradeDeferralReason", "description": "MMT Post-Trade Deferral Reason", "underlying": "u8", "variants": [ [ "ImmediatePublication", 1, "- = Immediate Publication" ], [ "NonImmediatePublication", 2, "1 = Non-Immediate Publication" ], [ "NonImmediatePublicationLargeInScale", 3, "2 = Non-Immediate Publication : Deferral for 'Large in Scale'" ], [ "NonImmediatePublicationIlliquidInstrument", 4, "3 = Non-Immediate Publication : Deferral for 'Illiquid Instrument' (for RTS 2 only)" ], [ "NonImmediatePublicationSizeSpecific", 5, "4 = Non-Immediate Publication : Deferral for 'Size Specific' (for RTS 2 only)" ], [ "NonImmediatePublicationIlqdAndSize", 6, "5 = Non-Immediate Publication : Deferrals of ILQD and SIZE (for RTS 2 use only)" ], [ "NonImmediatePublicationIlqdAndLrgs", 7, "6 = Non-Immediate Publication : Deferrals of ILQD and LRGS (for RTS 2 use only)" ] ] }, { "kind": "Enum", "name": "MmtPostTradeDeferralType", "description": "MMT Post-Trade Deferral Type", "underlying": "u8", "variants": [ [ "LimitedDetailsTrade", 1, "1 = Limited Details Trade" ], [ "DailyAggregatedTrade", 2, "2 = Daily Aggregated Trade" ], [ "VolumeOmissionTrade", 3, "3 = Volume Omission Trade" ], [ "FourWeeksAggregationTrade", 4, "4 = Four Weeks Aggregation Trade" ], [ "IndefiniteAggregationTrade", 5, "5 = Indefinite Aggregation Trade" ], [ "VolumeOmissionTradeAggregated", 6, "6 = Volume Omission Trade, eligible for subsequent enrichment in aggregated form" ], [ "NotApplicable", 7, "- = Not applicable / No relevant deferral or enrichment type" ] ] }, { "kind": "Enum", "name": "MsgType", "underlying": "u16", "variants": [ [ "Heartbeat", 1, "A message type used to check connectivity." ], [ "OrderAdd", 9, "New (limit) order added to order book." ], [ "OrderModify", 10, "Order modified." ], [ "OrderCancel", 11, "Order deleted." ], [ "OrderExecute", 12, "Execution report." ], [ "TradingSessionStatus", 23, "The Trading Session Status provides information on the status of a market and on a trading day events." ], [ "EncryptionKey", 24, "Encryption key and ID." ], [ "InstrumentStatusChange", 26, "Start of a new trading phase." ], [ "TradingPhaseScheduleEntry", 27, "Trading phase definition." ], [ "TickTableEntry", 32, "Tick size definition." ], [ "WeekPlan", 33, "Trading week plan." ], [ "CalendarException", 35, "Upcoming calendar day exception." ], [ "AccruedInterestTableEntry", 36, "Message describing an accrued interest table entry." ], [ "IndexationTableEntry", 37, "Message describing an indexation table entry." ], [ "Trade", 38, "Enriched trade report." ], [ "CollarTableEntry", 108, "Collar table definition." ], [ "TopPriceLevelUpdate", 256, "BBO Level 1." ], [ "PriceLevelSnapshot", 257, "BBO price levels and volumes." ], [ "AuctionUpdate", 268, "Updates IMP/IMV and BBO during an auction." ], [ "AuctionSummary", 270, "Auction summary, including auction price and quantity." ], [ "PriceUpdate", 271, "Message notifying about reference price changes." ], [ "OrderCollars", 272, "New order price collars." ], [ "TradeCollars", 273, "New trade price collars." ], [ "MarketStructure", 275, "Messages defining the Trading Venue’s market structure." ], [ "Instrument", 279, "Definition of a financial instrument." ], [ "CollarGroup", 299, "Message defining a collar group." ], [ "OrderBookEvent", 410, "Signal to clear the order book for upcoming auction." ], [ "RealTimeIndex", 500, "The message handles the real-time characteristics of an index." ], [ "IndexSummary", 501, "The message provides a summary of the data calculated in a stock index for a given day." ], [ "IndexPortfolioEntry", 502, "The message contains information about a product providing the index portfolio. The entire index portfolio is sent as successive IndexPortfolioEntry messages." ], [ "IndexParams", 503, "The metadata message for the given index." ], [ "News", 517, "News message." ], [ "Login", 667, "Login message to the Snapshot service." ], [ "LoginResponse", 668, "Response to a Login message." ], [ "Logout", 669, "A Logout message is sent by the client to initiate disconnection from the Replay Server side." ], [ "EndOfSnapshot", 670, "Marks the end of a snapshot." ], [ "InstrumentSummary", 671, "Instrument summary." ], [ "ProductSummary", 672, "Product summary." ], [ "PositionReport", 801, "Report of open positions." ], [ "ExternalUnderlying", 806, "The message contains a list of underlyings not traded in WATS. It concerns underlyings for derivatives and structured products." ], [ "TestEvent", 8192, "A message to relay test scenario information" ] ] }, { "kind": "Enum", "name": "MarketModelType", "description": "Market Model.", "underlying": "u8", "variants": [ [ "NotApplicable", 1, "Not applicable" ], [ "CLOB", 2, "A Central Limit Order Book (CLOB)" ], [ "BLOCK", 3, "BLOCK" ], [ "HYBRID", 4, "HYBRID market model" ], [ "CROSS", 5, "CROSS" ], [ "IPO", 6, "Initial public offering" ], [ "TenderOffer", 7, "Tender offer" ], [ "Redistribution", 8, "Redistribution" ] ] }, { "kind": "Array", "name": "ScenarioName", "type": "AnsiChar", "length": 200, "description": "Test scenario name" }, { "kind": "Enum", "name": "EventType", "description": "Test event type", "underlying": "u8", "variants": [ [ "Flush", 1, "Flush the test scenario" ], [ "ScenarioStart", 2, "Start of test scenario" ], [ "ScenarioEnd", 3, "End of test scenario" ] ] }, { "kind": "Struct", "name": "TestEvent", "description": "Test event", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "scenarioName", "type": "ScenarioName", "description": "Test scenario name" }, { "name": "eventType", "type": "EventType", "description": "Test event type" } ] }, { "kind": "Enum", "name": "PosType", "description": "Identifies type of quantity returned.", "underlying": "u8", "variants": [ [ "SOD", 1, "Start-of-Day Qty." ], [ "ITD", 2, "Intraday Qty." ], [ "FIN", 3, "End-of-Day Qty." ] ] }, { "kind": "Struct", "name": "PositionReport", "description": "Report of open positions.", "fields": [ { "name": "header", "type": "Header", "description": "Message Header." }, { "name": "publicProductIdentification", "type": "PublicProductIdentification", "description": "Product identification, for example its ISIN number." }, { "name": "posType", "type": "PosType", "description": "Type of quantity returned." }, { "name": "openPositions", "type": "u32", "description": "Number of open positions." }, { "name": "tradeId", "type": "TradeId", "description": "Trade ID." } ] }, { "kind": "Struct", "name": "ExternalUnderlying", "description": "The message contains a list of underlyings not traded in WATS. It concerns underlyings for derivatives and structured products.", "fields": [ { "name": "header", "type": "Header", "description": "Message header." }, { "name": "externalUnderlyingId", "type": "ElementId", "description": "External underlying ID." }, { "name": "productIdentification", "type": "ProductIdentification", "description": "Product identification." }, { "name": "productIdentificationType", "type": "ProductIdentificationType", "description": "Product identification type." }, { "name": "productCode", "type": "Code", "description": "Product code." }, { "name": "productName", "type": "Name", "description": "Product name." }, { "name": "mic", "type": "MicCode", "description": "Market Identifier Code." }, { "name": "nominalCurrency", "type": "Currency", "description": "Nominal currency." }, { "name": "tradingCurrency", "type": "Currency", "description": "Trading currency." } ] }, { "kind": "Union", "name": "Message", "members": [ "Heartbeat", "OrderAdd", "OrderModify", "OrderCancel", "OrderExecute", "TradingSessionStatus", "EncryptionKey", "InstrumentStatusChange", "TradingPhaseScheduleEntry", "TickTableEntry", "WeekPlan", "CalendarException", "AccruedInterestTableEntry", "IndexationTableEntry", "Trade", "CollarTableEntry", "TopPriceLevelUpdate", "PriceLevelSnapshot", "AuctionUpdate", "PriceUpdate", "TradeCollars", "OrderCollars", "AuctionSummary", "MarketStructure", "Instrument", "CollarGroup", "Login", "LoginResponse", "Logout", "EndOfSnapshot", "OrderBookEvent", "RealTimeIndex", "IndexSummary", "IndexPortfolioEntry", "IndexParams", "InstrumentSummary", "ProductSummary", "News", "TestEvent", "PositionReport", "ExternalUnderlying" ], "discriminator": [ "header", "msgType" ] } ], "replay": [ { "kind": "Primitive", "name": "u8", "size": 1, "description": "Unsigned integer, 8-bit." }, { "kind": "Primitive", "name": "u16", "size": 2, "description": "Unsigned integer, 16-bit." }, { "kind": "Primitive", "name": "u32", "size": 4, "description": "Unsigned integer, 32-bit." }, { "kind": "Alias", "name": "SeqNum", "alias": "u32", "description": "Sequence number of the message." }, { "kind": "Alias", "name": "StreamId", "alias": "u8", "description": "ID of the md stream." }, { "kind": "Alias", "name": "MsgLength", "alias": "u16", "description": "Length of the message." }, { "kind": "Struct", "name": "ReplayHeader", "description": "Market Data message header.", "fields": [ { "name": "length", "type": "MsgLength", "description": "Message length." }, { "name": "replayMsgType", "type": "ReplayMsgType", "description": "Type of the message." } ] }, { "kind": "Struct", "name": "ReplayRequest", "description": "Message replay request.", "fields": [ { "name": "header", "type": "ReplayHeader", "description": "Message header." }, { "name": "seqNum", "type": "SeqNum", "description": "Initial sequence number for the requested range." }, { "name": "endSeqNum", "type": "SeqNum", "description": "Final sequence number for the requested range." }, { "name": "streamId", "type": "StreamId", "description": "ID of the md stream." } ] }, { "kind": "Enum", "name": "ReplayMsgType", "underlying": "u16", "variants": [ [ "ReplayRequest", 1, "Replay service request" ] ] }, { "kind": "Union", "name": "ReplayMessage", "members": [ "ReplayRequest" ], "discriminator": [ "header", "replayMsgType" ] } ] } }