nyse_euronext_2011-11-09

PlusFeed Developer Supplement for NYSE Euronext Last updated 09 November 2011

Contents Preface................................................................................................................................... 4

About this document ........................................................................................................................................................... 4 Related documents............................................................................................................................................................. 4 Contacting Interactive Data Real-Time Services ................................................................................................................ 4

Overview................................................................................................................................ 5 Trading Hours..................................................................................................................................................................... 5

Exchange ID and PlusFeed Symbol Structure ................................................................... 6 Symbology.......................................................................................................................................................................... 6

CTF Tokens and Bate Codes ............................................................................................... 8 Cash Last Price Service – 787/<18>s ................................................................................................................................ 8 Cash BBO1+ Service – 788/<18>t ................................................................................................................................... 10 Cash BBO10 Service – 293/<09>e................................................................................................................................... 12 Market Indices, Main Euronext Indices, Strategy Indices, Volatility Indices – 790/<18>v, 980/<1E>t, 601/ <12>y, 986/<1E>z ........................................................................................................................................................................ 13 Equity Off-Exchange Trade Reports - <12>z/602............................................................................................................. 17 NYSE ARCA Europe BBO1+ Service – 647/<14>g.......................................................................................................... 18 NYSE ARCA Europe BB010 Service – 646/<14>f............................................................................................................ 20 Cash FOB Service, NYSE Arca Europe FOB Service – 973/<1E>m, 280/<08>x............................................................. 21 Tokens with Enumerated Values ...................................................................................................................................... 22

Orderbook Processing....................................................................................................... 30 Sorting Rules .................................................................................................................................................................... 30 Top-of-book Indicator ....................................................................................................................................................... 30 Next / Previous Order ID .................................................................................................................................................. 31

Appendix A – CTF Tokens Delivered via RTSD (Real-Time Symbol Directory) ............ 32

Appendix B – Trading Group Codes................................................................................. 34

Appendix C – Market Codes .............................................................................................. 41

Appendix D – Data Types................................................................................................... 42

Appendix E - Venue ID Algorithm in C.............................................................................. 43

Appendix F - Venue ID Algorithm in Java......................................................................... 48

Developer Supplement for NYSE Euronext

Confidential: Subject to Interactive Data Non-Disclosure Agreement

09 November 2011 2

Revision History Amendment date Effective Date Description

10 June 2009 17 August 2009 This is a new document for the UTP rewrite

21 July 2009 17 August 2009 Updated new Instrument Types

02 February 2010 08 February 2010 Euronext and NYSE Arca Full Orderbook (FOB) Service updates

24 November 2010 29th November 2010 Euronext and NYSE Arca, Collar Prices will no longer be available for 14g

21 June 2011 Immediate Removal of Official Quotation List classification

9 November 2011 Immediate Updates to Cash Markets and Indices Service



09 November 2011 3

Trademarks Interactive Data Real-Time Services is a registered trademark of Interactive Data Real-Time Services, Inc. All other trademarks and service marks used in this document are the property of their respective owners.

Disclaimer This document is published by Interactive Data (Europe) Limited (“Interactive Data Real-Time Services”). Information in this document is subject to change without notice and does not represent a commitment on the part of Interactive Data Real-Time Services, Inc. Interactive Data Real-Time Services, Inc, its affiliates, and employees disclaim any liability whatsoever for errors and/or omissions contained in this document and shall not be liable for any loss of revenues or for any direct, indirect, consequential, or special damages whatsoever from any such errors or omissions. No part of this document may be reproduced or transmitted in any form or by any means, electronic or mechanical, including photocopying, recording or other information recording and retrieval systems, for any purpose other than the licensed use, without prior consent in writing from interactive Data Real-Time Services.

Copyrights © Copyright 2005 – 2011 Interactive Data Real-Time Services, Inc., a wholly owned subsidiary of Interactive Data Corporation. All rights reserved.



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Preface About this document This developer supplement is a comprehensive introduction to the available formats for representing market data from Interactive Data Real-Time Services’ PlusFeed for the specific financial markets covered by this document. PlusFeed data is accessible through either the Client Site Processor (CSP) or PlusTick Server. Related documents The CTF Wire Protocol and CTF Command Reference documents are the main documents required by developers for developing to PlusFeed. However, there are several relevant documents available on the web site (see below for a hyperlink). As conditions change, some of the information in this supplement will need to be corrected or amended. Periodically, developer notices will be distributed to interested clients and published on the developer website to alert users to these changes. Contacting Interactive Data Real-Time Services Telephone Country Telephone Number

North America + 1 800 431 2602

Europe and Middle East + 44 (0) 20 7825 7777

Asia Pacific + 61 (0) 3 9249 2091

Email Country Email

North America [email protected] [email protected]

Europe, the Middle East, and Asia [email protected]

Asia [email protected]

Website The developer website requires a login ID and password which you can obtain from your account manager. http://developer.interactivedata-rts.com



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Overview Euronext was officially created by the merger of the stock exchanges of Amsterdam, Brussels and Paris. Announced in March 2000, Euronext is the first fully integrated cross-border single currency stock, derivatives and commodities market. Lisbon was added on 7th November 2003. In 2007, the NYSE group acquired Euronext, resulting in the exchange being rebranded NYSE Euronext. For more detailed information on NYSE Euronext, please visit the website: http://www.euronext.com. Trading Hours Time Description

06:00 (approx.) Start of data transmission; adjusted previous close disseminated

07:15 Pre-open, depth visible, order entry, indicative price

09:00 Opening auction within random period of 30 seconds after 09:00 (After opening price: continuous trading)

17:30 End of continuous trading start of closing auction call

17:35 Closing auction within random period of 30 seconds after 17:35; start of Trading At Last

17:40 End of trading Note: The above trading schedule applies to the major Euronext equity markets. However, Euronext is a very complex market and, as it incorporates various exchanges, we advise you to visit the website (http://www.euronext.com) for detailed trading hours. There may be late reported trades outside of the officially listed trading hours. Additionally, Interactive Data sends refresh messages outside market hours.



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Exchange ID and PlusFeed Symbol Structure Description CTF Source ID DDF Exchange ID

Cash Last Price Service (Level 1) 787 <18>s Cash Level 1 (BBO1+) 788 <18>t Cash Level 2 (BBO10) 293 <09>e Cash Level 2 (FOB) 973 <1E>m Main Euronext Indices 980 <1E>t All Indices 790 <18>v Equity Off-Exchange Trade Reports 602 <12>z NYSE ARCA Europe BBO1+ Service (Level 1) 647 <14>g NYSE ARCA Europe BBO10 Service (Level 2) 646 <14>f NYSE Arca Europe FOB (Full Order Book) Service (Level 2) 280 <08>x Symbology The symbology used on PlusFeed for NYSE Euronext securities consists of the exchange mnemonic or ISIN preceded by an instrument type prefix, as described in the PlusFeed Symbology Guide. Note: Euronext does not issue a mnemonic for NYSE Arca Europe instruments. Hence, all instruments trading on NYSE Arca Europe will follow the format <Prefix>:<ISIN>. E:DE0007164600 in the table below is an example of an equity trading on NYSE Arca Europe. The following are examples of available symbols:

Symbol Euronext Mnemonic Instrument Type

E:MT MT Equity E:DE0007164600 n/a Equity B:ACABX ACABX Bond / Fixed Income W:7194G 7194G Warrant P:N239N N239N Structured Product I:PX1 PX1 Index Off-exchange OTC trade reports (available on source 602 / <12>z) also include a currency suffix, as an instrument may be traded OTC in a different currency to the currency used on-exchange. Below are examples of Off-Exchange OTC symbols. Symbol Euronext Mnemonic Instrument Type

E4:FP-EUR FP Equity (traded off-exchange in Euro) E4:JP3854600008-JPY n/a Equity (traded off-exchange in Yen)



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Trading Groups and Stock Group Status Symbol

The Trading Group of an instrument is identified by token 673 / bate f52. For a list of trading groups identified by 673 / f52 please see “Appendix B – Trading Group Codes”.

The status of a particular Trading Group is flagged using a special GROUP/STATUS symbol, combined with 673 / f52 (identifying the trading group) and 2506 / f41 (identifying the group’s status). The message is sent each time a stock group changes state during the trading day.

Example: In CTF: 3=787|4=787|5=GROUP/STATUS|673=3334|2506=204 In DDF: <18>sGROUP/STATUSf52,3334f41,204



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CTF Tokens and Bate Codes

Cash Last Price Service – 787/<18>s CTF

Token Bate Code Token Name Description Data Type

n/a f15 n/a [Legacy field] Date of the last trade / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last trade / status update. Format: HHMMSS

Integer

n/a f17 n/a [Legacy field] Date prior to the current day when the instrument last traded. Format: YYYYMMDD

Integer

n/a f23 n/a [Legacy field] Last trade date, format YYYYMMDD Integer

n/a f24 n/a [Legacy field] UTC timestamp for the last trade, format HHMMSS Integer

3 n/a PERMISSION Permission ID for the data source Integer

4 n/a ENUM.SRC.ID PlusFeed source ID. 787 - Euronext Cash Last Price Service Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String 8 t TRADE.PRICE Trade price Float 9 i TRADE.SIZE Trade size Integer 14 c CURRENT.PRICE Correction or reiteration of the last price Float 16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last trade / status update Float 18 n/a TRADE.DATETIME Millisecond Unix timestamp for the last trade Float

22 v TRADE.VOL Total traded volume. Includes both on-book (UTP) and off-book (TCS) trading activity. Integer

24 f72 REFRESH Refresh message indicator. In CTF: 1 = Refresh message In DDF: 0 = Refresh message

Integer

252 f80 CORRECTION.PREV.TRADE.PRICE Cancelled trade price Float

253 f82 CORRECTION.PREV.TRADE.SIZE Cancelled trade size Integer

269 f73 DELAY_MINS Delay time in minutes applied to the data. Does not appear in real-time output. Integer

270 m ENUM.CURRENCY Indicates the instrument's trading currency. ISO 4217 currency code, in octal format. Octal

276 g45 ORDERBOOK.TRADE.VOL Total volume traded on-book (i.e. in the UTP platform) Integer

277 g59 OFF_BOOK.TRADE.VOL Total volume traded off-book (i.e. in TCS) Integer

280 f DISPLAY.PRECISION Number of decimal places applicable to price fields. Must be applied to all price fields in DDF. Integer

282 f44 LAST.SUSPENDED_TIME

Time in UTC at which the instrument was suspended. Format: HHMMSS Integer

292 f54 EXPIRATION.DATE Expiration date Integer

331 f92 TRADE.INDIC.PRICE Indicative price. May be disseminated for instruments trading on the structured product market, if no firm price is available.

Float

338 f95 LIMIT.HIGH Upper collar price. Dynamic price limit above which orders will not be filled. Float

339 f96 LIMIT.LOW Lower collar price. Dynamic price limit below which orders will not be filled. Float



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357 g10 NAV.PRICE Net Asset Value Float

361 n CHG Net change for the current trading day, calculated as the difference between the current price and previous closing price. Float

362 f10 PCT.CHG Percentage net change for the current trading day Float

379 f31 ORDER.STATUS

Indicates whether order entry for the security has been suspended. 1 - Order entry suspended 0 - Order entry permitted

Integer

388 h TRADE.HIGH High Float

394 l TRADE.LOW Low Float

400 o TRADE.OPEN Open Float

407 y YEST.TRADE.CLOSE Previous closing price, adjusted for corporate actions before the start of trading Float

416 f99 RECORD.RESET Sent between market close and market open to indicate that the instrument can be reset for the coming trading day. 0 = Reset the relevant instrument

Integer

423 f55 STRIKE.PRICE Strike price Float

425 f76 STRIKE.DIVISOR Decimal precision applicable to the strike price (DDF only). Integer

426 f50 LAST.SUSPENDED_DATE

Date on which the instrument was suspended. Format: YYYYMMDD Integer

430 f43 THEORETICAL.OPEN Indicative auction price. Zero value indicates that an auction price cannot be determined. Float

431 del RECORD.DEL Indicates that the instrument has been deleted. 0 = Symbol has been deleted Integer

444 f42 TRADE.OFFICIAL.DATE Date when an off-book (TCS) trade was executed. Format: YYYYMMDD Integer

447 f78 TRADE.COND.PRICE Off-book (TCS) trade price. Note: TCS trades are excluded from the official open / high / low / last.

Float

448 f77 TRADE.COND.SIZE Off-book (TCS) trade size. Integer

451 n/a PREV.TRADE.DATE Millsecond Unix timestamp for the time prior to the current day when the instrument last traded. Float

458 e EXCH_RECORD.COUNT

Total number of instruments available on the source ID given by token 4. Used only with the symbol .EXCHANGE.ADMIN. Integer

459 f30 TRADE.OFFICIAL.TIME Trade execution time. Expressed in UTC, format HHMMSSmmm. Integer

461 f32 TRADE.UNIQUE.ID Trade identifier, unique per symbol per trading day. The same identifier will be used when the trade is entered or cancelled. Integer

473 w YEST.TRADE.VOL Previous day’s total traded volume Integer

622 f58 REF.PRICE Reference price used to price related Repo (Lending Market) contracts Float

673 f52 TRADE.GROUP.CODE Trading Group code. See Appendix B. Integer

705 f67 INSTR.STATUS Instrument Status. See enumeration table for token 705 / f67. Integer

828 f48 TAX.DEDUCTION.CODE

Tax deduction eligibility (PEA). 0 - Not eligible for PEA 3 - Eligible for PEA 9 - Not specified

Integer

829 f74 FTSE.CLASSIFICATION.CODE

ICB sector classification. See link for further details: http://www.ftse.com/Indices/Industry_Classification_Benchmark/index.jsp

Integer

840 f49 SRD.IND

Repo / SRD eligibility. Indicates whether the security underlies any repo contracts, or is available in the Deferred Settlement System (SRD). See enumeration table for token 840 / f49.

Integer



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850 f91 THEORETICAL.OPEN_CLOSE.VOL Indicative auction volume Integer

1012 f68 REASON.CODE

Indicates whether a trading halt was initiated automatically or manually. 0 - Not halted / unspecified 1 - Automatic halt (price outside upper/lower collar) 2 - Manual halt (halted by Market Operations) 3 - Automatic halt (no Liquidity Provider quote)

Integer

1106 f36 STATE.FLAG Event that caused the instrument’s status to change. See enumeration table for token 1106 / f36. Integer

1160 f69 TRADE.STATUS_2

Trading status in TCS, Euronext’s off-book trading facility. 0 - Tradable in TCS 1 - TCS trading resumed 2 - TCS trading suspended

Integer

2500 f79 TRADE.COND_1 Trade type (on-book trades only). See enumeration table for token 2500 / f79. Integer

2501 f35 TRADE.COND_2 Off-book (TCS) trade type. See enumeration table for token 2501 / f35. Integer

2502 f87 TRADE.COND_3

Identifies whether a TCS trade is a block trade, following MiFID rules. 1 - Block trade 0 - Not a block trade

Integer

2505 f33 MKT.TYPE Market segment on which the security is listed. See enumeration table for token 2505 / f33. Integer

2506 f41 STOCK.GROUP.STATUS

Trading group status. Only appears on the GROUP/STATUS symbol. See enumeration table for token 2504 / f41.

Integer

3062 f45 PRICE.UNIT.CODE

Units in which the instrument's price is expressed. 1 - Price per unit 2 - % of nominal value (Clean price) 3 - % of nominal value including accrued interest (Dirty price)

Integer

3081 f70 SYMBOL.SUSPENDED

Suspension indicator. 1 = Suspended 0 = Not suspended Note: Suspension is equivalent to the combination of INSTR.STATUS (705/f67) = 10, REASON.CODE (1012/f68) = 2.

Integer

3218 e SHRS.OUTSTANDING Shares outstanding / amount of the security in circulation Integer

3219 f53 PROGRAMMED.OPEN.TIME

Programmed Opening Time for a halted instrument. Format: HHMMSS Integer

3685 f75 MARKET.ID.CODE Market ID Code. See enumeration table for token 3685 / f75. Integer

3696 f39 NOMINAL.VALUE Nominal value of the security Float

3914 f46 VOLUME.UNITS Units in which the instrument's volume fields are expressed. 1 - Number of units (eg 500 shares, 10 warrants) 2 - Nominal value (eg 100000 EUR face value of bond X)

Integer

5076 n/a RECORD.STALE.IND

Indicates if an instrument record may contain stale values. Set to 1 if the CSP software is restarted or if the CSP's inbound feed is idle, and reset to 0 once a refresh message or real-time update is received for the symbol.

Integer

Cash Level 1 (BBO1+) – 788/<18>t CTF


n/a f15 n/a [Legacy field] Date of the last BBO / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last BBO / status update. Format: HHMMSS

Integer



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n/a f26 n/a [Legacy field] Date of the last BBO quote, format YYYYMMDD Integer

n/a f27 n/a [Legacy field] UTC timestamp for the last BBO quote, format HHMMSS Integer


4 n/a ENUM.SRC.ID PlusFeed source ID. 788 - Euronext Cash BBO1+ Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String 10 a ASK.PRICE Best ask price Float 11 k ASK.SIZE Best ask size Integer 12 b BID.PRICE Best bid price Float 13 j BID.SIZE Best bid size Integer 16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last quote / status update Float 20 n/a QUOTE.DATETIME Millisecond Unix timestamp for the last quote Float


Integer

25 g81 QUOTE.OFFICIAL.TIME Official quote time. Expressed in UTC, format HHMMSSmmm. Integer

190 f90 WEIGHTED.AVERAGE.BUY.PRICE

Weighted Average Bid price. Sets the lower price limit for off-book trades. Float

191 f89 WEIGHTED.AVERAGE.SELL.PRICE

Weighted Average Ask price. Sets the upper price limit for off-book trades. Float

211 f64 ASK.COUNT Number of orders at the best ask price Integer 225 f63 BID.COUNT Number of orders at the best bid price Integer






321 f98 ASK.INDIC.PRICE Indicative Ask Price. May be entered by Market Operations if no firm price is available.

Float

323 f97 BID.INDIC.PRICE Indicative Bid Price. May be entered by Market Operations if no firm price is available.

Float



Integer


Integer










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930 f62 MKT.ORDER.ASK.SIZE Market order volume on the bid side Integer 931 f61 MKT.ORDER.BID.SIZE Market order volume on the ask side Integer


Indicates whether a trading halt was initiated automatically or manually. 0 - Not halted / unspecified 1 - Automatic halt (price outside upper/lower collar) 2 - Manual halt (halted by Market Operations) 3 - Automatic halt (no Liquidity Provider quote)

Integer




Integer

1169 f47 BLOCK.TRADE.CRITERIA.VALUE

Cash value used to calculate the weighted average spread. Note: This is also the minimum cash value required for a negotiated trade.

Integer



Integer



Integer

3219 f53 PROGRAMMED.OPEN.TIME

Programmed Opening Time for a halted instrument. Format: HHMMSS Integer

3674 f60 LIQUIDITY.PROVIDER

Indicates the presence of a Liquidity Provider quote. Only appears for securities supported by a Liquidity Provider (LP). 0 - No LP quote 1 - LP quote on ask side 2 - LP quote on bid side 3 - LP quote on both sides

Integer



Integer

Cash Level 2 (BBO10) – 293/<09>e CTF



4 n/a ENUM.SRC.ID PlusFeed source ID. 293 - Euronext Cash BBO10 Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String


Integer

25 g81 QUOTE.OFFICIAL.TIME Time when the depth update was generated. Expressed in UTC, format HHMMSSmmm. Integer

58 q BID.DEPTH.PRICE Bid price, depth level indicated by token 378 Float 59 p BID.DEPTH.SIZE Bid size, depth level indicated by token 378 Integer 60 r ASK.DEPTH.PRICE Ask price, depth level indicated by token 378 Float 61 x ASK.DEPTH.SIZE Ask size, depth level indicated by token 378 Integer




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378 f65 ORDER.POSITION Depth level of the orderbook update. Value may be 1-10. Integer


Integer




480 f64 ASK.DEPTH.COUNT Number of ask orders, depth level indicated by token 378 Integer

481 f63 BID.DEPTH.COUNT Number of bid orders, depth level indicated by token 378 Integer

1165 f85 BID.DEPTH.COND

Identifies whether a bid level consists of limit or market orders. 0 - Limit orders 2 - Market orders Note: Market orders will have their price set to zero, and will always appear at the top of the order book.

Integer

1166 f86 ASK.DEPTH.COND

Identifies whether an ask level consists of limit or market orders. 0 - Limit orders 2 - Market orders Note: Market orders will have their price set to zero, and will always appear at the top of the order book.

Integer

3674 f60 LIQUIDITY.PROVIDER

Indicates the presence of a Liquidity Provider quote. Only appears for securities supported by a Liquidity Provider (LP). 0 - No LP quote 1 - LP quote on ask side 2 - LP quote on bid side 3 - LP quote on both sides

Integer


Indicates if an instrument record may contain stale values. Set to 1 if the CSP software is restarted or if the CSP's inbound feed is idle. Reset to 0 once a refresh message or real-time update is received for the symbol.

Integer

All Indices – 790/<18>v CTF


n/a f15 n/a [Legacy field] Date of the last index value / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last index value / status update. Format: HHMMSS

Integer

n/a f17 n/a [Legacy field] Date prior to the current day when the index last updated. Format: YYYYMMDD

Integer

n/a f23 n/a [Legacy field] Date of the last index value, format YYYYMMDD Integer

n/a f24 n/a [Legacy field] UTC timestamp for the last index value, format HHMMSS Integer


4 n/a ENUM.SRC.ID

PlusFeed source ID. 790 - Euronext Market Indices 980 - Euronext Main Indices 601 - Euronext Strategy Indices 986 - Euronext Volatility Indices

Integer



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5 n/a SYMBOL.TICKER PlusFeed symbol String 8 t TRADE.PRICE Index value Float 14 c CURRENT.PRICE Correction or reiteration of the last index value Float

16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last index value / status update Float

18 n/a TRADE.DATETIME Millisecond Unix timestamp for the last index value Float


Integer


270 m ENUM.CURRENCY Indicates the index's nominal currency. ISO 4217 currency code, in octal format. Octal


361 n CHG Net change for the current trading day, calculated as the difference between the current value and previous closing value. Float


385 s TRADE.OFFICIAL.CLOSE Official closing index value Float

388 h TRADE.HIGH High Float 394 l TRADE.LOW Low Float 400 o TRADE.OPEN Open Float 407 y YEST.TRADE.CLOSE Previous closing value Float


Integer


451 n/a PREV.TRADE.DATE Millsecond Unix timestamp for the time prior to the current day when the index last updated. Float



459 f30 TRADE.OFFICIAL.TIME Index calculation time. Expressed in UTC, format HHMMSSmmm. Integer

640 f58 OPTION.LIQUIDATION_INDEX

Option expiry index. Expiring call / put options will automatically be exercised at expiration if they are in the money relative to this value.

Float


819 f92 INDEX.INDIC.PRICE

Indicative index value, disseminated in the following circumstances: 1) If the proportion of the index's capitalisation that has traded is lower than the proportion required to generate a firm index value; 2) In the event of problems with the accuracy of the index calculation.

Float



Integer



Integer



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840 f49 SRD.IND


Integer

929 f79 INDEX .TYPE

Forerunner type. 3 - Real-time forerunner (disseminated when an insufficient proportion of the index’s capitalisation has traded) 8 - Pre-opening forerunner (based on the indicative auction prices of the index constituents) 9 - Opening forerunner (defined only for EOD / non-continuous indices. Disseminated if it is not possible to calculate a firm index value)

Integer

1163 f57 INDEX.PRICE.CLEARING

Option exercise index. Index level used to determine the balance of payments for cash-settled index options exercised on that day.

Float

1164 f78 FORERUNNER.PRICE

Index Forerunner. Indicative change value (in %) disseminated for certain indices if the criteria for generating a firm index value are not fulfilled (e.g. due to the market being in pre-open or an insufficient number of constituents having traded). Token 929 / f79 gives the forerunner type.

Float


3081 f70 SYMBOL.SUSPENDED Indicates whether the index calculation has been suspended. 1 = Suspended 0 = Not suspended

Integer



Integer

980/<1E>t – Main Euronext Indices CTF


n/a f15 n/a [Legacy field] Date of the last index value / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last index value / status update. Format: HHMMSS

Integer

n/a f17 n/a [Legacy field] Date prior to the current day when the index last updated. Format: YYYYMMDD

Integer

n/a f23 n/a [Legacy field] Date of the last index value, format YYYYMMDD Integer

n/a f24 n/a [Legacy field] UTC timestamp for the last index value, format HHMMSS Integer


4 n/a ENUM.SRC.ID

PlusFeed source ID. 790 - Euronext Market Indices 980 - Euronext Main Indices 601 - Euronext Strategy Indices 986 - Euronext Volatility Indices

Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String 8 t TRADE.PRICE Index value Float 14 c CURRENT.PRICE Correction or reiteration of the last index value Float

16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last index value / status update Float



09 November 2011 16

18 n/a TRADE.DATETIME Millisecond Unix timestamp for the last index value Float


Integer




361 n CHG Net change for the current trading day, calculated as the difference between the current value and previous closing value. Float


385 s TRADE.OFFICIAL.CLOSE Official closing index value Float

388 h TRADE.HIGH High Float 394 l TRADE.LOW Low Float 400 o TRADE.OPEN Open Float 407 y YEST.TRADE.CLOSE Previous closing value Float


Integer


451 n/a PREV.TRADE.DATE Millsecond Unix timestamp for the time prior to the current day when the index last updated. Float



459 f30 TRADE.OFFICIAL.TIME Index calculation time. Expressed in UTC, format HHMMSSmmm. Integer

640 f58 OPTION.LIQUIDATION_INDEX

Option expiry index. Expiring call / put options will automatically be exercised at expiration if they are in the money relative to this value.

Float


819 f92 INDEX.INDIC.PRICE

Indicative index value, disseminated in the following circumstances: 1) If the proportion of the index's capitalisation that has traded is lower than the proportion required to generate a firm index value; 2) In the event of problems with the accuracy of the index calculation.

Float



Integer



Integer

840 f49 SRD.IND


Integer



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929 f79 INDEX .TYPE

Forerunner type. 3 - Real-time forerunner (disseminated when an insufficient proportion of the index’s capitalisation has traded) 8 - Pre-opening forerunner (based on the indicative auction prices of the index constituents) 9 - Opening forerunner (defined only for EOD / non-continuous indices. Disseminated if it is not possible to calculate a firm index value)

Integer

1163 f57 INDEX.PRICE.CLEARING

Option exercise index. Index level used to determine the balance of payments for cash-settled index options exercised on that day.

Float

1164 f78 FORERUNNER.PRICE

Index Forerunner. Indicative change value (in %) disseminated for certain indices if the criteria for generating a firm index value are not fulfilled (e.g. due to the market being in pre-open or an insufficient number of constituents having traded). Token 929 / f79 gives the forerunner type.

Float


3081 f70 SYMBOL.SUSPENDED Indicates whether the index calculation has been suspended. 1 = Suspended 0 = Not suspended

Integer



Integer

Equity Off-Exchange Trade Reports - <12>z/602 CTF


n/a f15 n/a [Legacy field] Date of the last trade / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last trade / status update. Format: HHMMSS

Integer


Integer




4 n/a ENUM.SRC.ID PlusFeed source ID. 602 - Euronext Off-Exchange Trade Reports Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String 8 t TRADE.PRICE Trade price Float 9 i TRADE.SIZE Trade size Integer 14 c CURRENT.PRICE Current price Float 16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last trade / status update Float 18 n/a TRADE.DATETIME Millisecond Unix timestamp for the last trade Float

22 v TRADE.VOL Total volume Integer


Integer



09 November 2011 18

197 f29 EXTENDED.MMID2 Venue ID Part 2. Algorithm is required to decode. Please refer to Appendix E and F for C algorithm and Java Algorithm.

Integer

198 f25 EXTENDED.MMID1 Venue ID Part 1. Algorithm is required to decode. Please refer to Appendix E and F for C algorithm and Java Algorithm.

Integer




361 n CHG Net change Float 362 f10 PCT.CHG Percentage Net Change Float 388 h TRADE.HIGH High price Float 394 l TRADE.LOW Low price Float 400 o TRADE.OPEN First trade price Float 407 y YEST.TRADE.CLOSE Previous closing value Float


Integer






659 f44 EVENT.TIME Trade execution time. Expressed in UTC, format: HHMMSS. Integer

3142 f53 HISTORICAL.DATE Trade date, format YYYYMMDD Integer



Integer

NYSE ARCA Europe BBO1+ Service – 647/<14>g CTF


n/a f15 n/a [Legacy field] Date of the last trade / BBO / status update. Format: YYYYMMDD

Integer

n/a f16 n/a [Legacy field] UTC timestamp for the last trade / BBO / status update. Format: HHMMSS

Integer


Integer



n/a f26 n/a [Legacy field] Date of the last BBO quote, format YYYYMMDD Integer

n/a f27 n/a [Legacy field] UTC timestamp for the last BBO quote, format HHMMSS Integer



09 November 2011 19


4 n/a ENUM.SRC.ID PlusFeed source ID. 647 - NYSE ARCA Europe BBO1+ Integer

5 n/a SYMBOL.TICKER PlusFeed symbol String 8 t TRADE.PRICE Trade price Float 9 i TRADE.SIZE Trade size Integer 10 a ASK.PRICE Best ask price Float 11 k ASK.SIZE Best ask size Integer 12 b BID.PRICE Best bid price Float 13 j BID.SIZE Best bid size Integer 14 c CURRENT.PRICE Correction or reiteration of the last price Float

16 n/a ACTIVITY.DATETIME Millisecond Unix timestamp for the last trade / BBO quote / status update Float

18 n/a TRADE.DATETIME Millisecond Unix timestamp for the last trade Float 20 n/a QUOTE.DATETIME Millisecond Unix timestamp for the last BBO quote Float 22 v TRADE.VOL Total traded volume Integer


Integer

25 g81 QUOTE.OFFICIAL.TIME Official quote time. Expressed in UTC, format HHMMSSmmm. Integer

211 f64 ASK.COUNT Number of orders at the best ask price Integer 225 f63 BID.COUNT Number of orders at the best bid price Integer






361 n CHG Net change for the current trading day, calculated as the difference between the current price and previous closing price. Float




Integer

388 h TRADE.HIGH High Float 394 l TRADE.LOW Low Float 400 o TRADE.OPEN Open Float

407 y YEST.TRADE.CLOSE Previous closing price, adjusted for corporate actions before the start of trading Float


Integer









09 November 2011 20

459 f30 TRADE.OFFICIAL.TIME Trade execution time. Expressed in UTC, format HHMMSSmmm. Integer

461 f32 TRADE.UNIQUE.ID Trade identifier, unique per symbol per trading day. The same identifier will be used when the trade is entered or cancelled. Integer





Indicates whether a trading halt was initiated automatically or manually. 0 - Not halted / unspecified 1 - Automatic halt (price outside upper/lower collar) 2 - Manual halt (halted by Market Operations)

Integer




Integer

2500 f79 TRADE.COND_1 Trade type. See enumeration table for 2500 / f79 below. Integer



Integer

3062 f45 PRICE.UNIT.CODE

Units in which the instrument's price is expressed. 1 - Price per unit 2 - % of nominal value (Clean price) 3 - % of nominal value including accrued interest (Dirty price)

Integer



Integer

3218 e SHRS.OUTSTANDING Shares outstanding / amount of the security in circulation Integer

3685 f75 MARKET.ID.CODE Market ID Code. See enumeration table for token 3685 / f75. Integer

3914 f46 VOLUME.UNITS Units in which the instrument's volume fields are expressed. 1 - Number of units (eg 500 shares, 10 warrants) 2 - Nominal value (eg 100000 EUR face value of bond X)

Integer



Integer

NYSE ARCA Europe BB010 Service – 646/<14>f CTF



4 n/a ENUM.SRC.ID PlusFeed source ID. 646 - NYSE Arca Europe BBO10 Integer



Integer

25 g81 QUOTE.OFFICIAL.TIME Time when the depth update was generated. Expressed in UTC, format HHMMSSmmm. Integer

58 q BID.DEPTH.PRICE Bid price, depth level indicated by token 378 Float



09 November 2011 21

59 p BID.DEPTH.SIZE Bid size, depth level indicated by token 378 Integer 60 r ASK.DEPTH.PRICE Ask price, depth level indicated by token 378 Float 61 x ASK.DEPTH.SIZE Ask size, depth level indicated by token 378 Integer




378 f65 ORDER.POSITION Depth level of the orderbook update. Value may be 1-10. Integer


Integer




480 f64 ASK.DEPTH.COUNT Number of ask orders, depth level indicated by token 378 Integer

481 f63 BID.DEPTH.COUNT Number of bid orders, depth level indicated by token 378 Integer


Identifies whether a bid level consists of limit or market orders. 0 - Limit orders 2 - Market orders Note: Market orders will have their price set to zero, and will always appear at the top of the order book.

Integer


Identifies whether an ask level consists of limit or market orders. 0 - Limit orders 2 - Market orders Note: Market orders will have their price set to zero, and will always appear at the top of the order book.

Integer



Integer

Cash Level 2 (FOB) – 973/<1E>m CTF



4 n/a ENUM.SRC.ID PlusFeed source ID. 973 - Euronext Cash FOB 280 - NYSE Arca Europe FOB

Integer



Integer

58 q BID.DEPTH.PRICE Buy order price Float 59 p BID.DEPTH.SIZE Buy order size Integer

60 r ASK.DEPTH.PRICE Sell order price Float 61 x ASK.DEPTH.SIZE Sell order size Integer



308 f88 ORDER.ID Order identifier. Typically consists of 13-14 digits. Integer



09 November 2011 22

376 f22 NEXT.ORDER.ID

Refresh messages only. Indicates the smallest valid order ID higher than the ID of the order being refreshed. See Orderbook Processing notes below.

Integer

377 f21 PREV.ORDER.ID

Refresh messages only. Indicates the largest valid order ID lower than the ID of the order being refreshed. See Orderbook Processing notes below.

Integer

416 f99 RECORD.RESET

Orderbook reset indicator. 0 = Clear the instrument's orderbook. If sent on symbol .EXCHANGE.ADMIN: 0 = Clear all orderbooks.for the relevant market (either Euronext Cash Market or NYSE Arca Europe).

Integer


439 f11 TOP_BOOK_MARKER Indicates that the order is top of the orderbook. See Orderbook Processing notes below. Integer




Buy order type. 0 - Limit Order 2 - Market Order 3 - Market To Limit Order 4 - Peg Order Note: Market orders will not have a price field, only a size. Similarly for Market To Limit orders during auction phases.

Integer


Sell order type. 0 - Limit Order 2 - Market Order 3 - Market To Limit Order 4 - Peg Order Note: Market orders will not have a price field, only a size. Similarly for Market To Limit orders during auction phases.

Integer

NYSE Arca Europe FOB Service - 280/<08>x CTF



4 n/a ENUM.SRC.ID PlusFeed source ID. 973 - Euronext Cash FOB 280 - NYSE Arca Europe FOB

Integer



Integer

58 q BID.DEPTH.PRICE Buy order price Float 59 p BID.DEPTH.SIZE Buy order size Integer 60 r ASK.DEPTH.PRICE Sell order price Float 61 x ASK.DEPTH.SIZE Sell order size Integer



308 f88 ORDER.ID Order identifier. Typically consists of 13-14 digits. Integer



09 November 2011 23

376 f22 NEXT.ORDER.ID

Refresh messages only. Indicates the smallest valid order ID higher than the ID of the order being refreshed. See Orderbook Processing notes below.

Integer

377 f21 PREV.ORDER.ID

Refresh messages only. Indicates the largest valid order ID lower than the ID of the order being refreshed. See Orderbook Processing notes below.

Integer

416 f99 RECORD.RESET

Orderbook reset indicator. 0 = Clear the instrument's orderbook. If sent on symbol .EXCHANGE.ADMIN: 0 = Clear all orderbooks.for the relevant market (either Euronext Cash Market or NYSE Arca Europe).

Integer


439 f11 TOP_BOOK_MARKER Indicates that the order is top of the orderbook. See Orderbook Processing notes below. Integer




Buy order type. 0 - Limit Order 2 - Market Order 3 - Market To Limit Order 4 - Peg Order Note: Market orders will not have a price field, only a size. Similarly for Market To Limit orders during auction phases.

Integer


Sell order type. 0 - Limit Order 2 - Market Order 3 - Market To Limit Order 4 - Peg Order Note: Market orders will not have a price field, only a size. Similarly for Market To Limit orders during auction phases.

Integer

Tokens with Enumerated Values 705 / f67 – Instrument Status

Value Description Comments

1 Auction Instrument placed in an auction state outside the regular schedule of its trading group.

3 Closed Instrument closed outside the regular schedule of its trading group.

10 Halted Trading halted. Order entry may or may not be permitted - refer to token 379 / f31.

201 Early monitoring Initialisation phase. Only Market Operations can act on the security. 202 Core call Call phase of an opening / intraday auction. 203 Core auction Uncrossing phase of an opening / intraday auction. 204 Core continuous Continuous trading. 205 Closing call Call phase of the closing auction. 206 Closing auction Uncrossing phase of the closing auction.

207 Trading At Last Occurs after the closing auction (for continuously-traded securities) or after every auction (for auction-only securities). Trades can be executed, but only at the last price.

208 Core monitoring Only Market Operations can act on the security.



09 November 2011 24

209 Late monitoring End-of-day phase. Only Market Operations can act on the security.

210 Halted Instrument’s whole trading group has been halted. Order entry may or may not be permitted - refer to token 379 / f31.

211 Closed Instrument’s trading group has closed. 840 / f49 – Repo / SRD Indicator

Value Description

0 Instrument unavailable in Lending Market / SRD 1 Instrument available in both Lending Market and SRD 2 Instrument available in SRD long only, but not the Lending Market 3 Instrument available in Lending Market, but not the SRD

4 Easy-to-borrow instrument eligible for the SRD and the Lending Market

8 Not applicable 1106 / f36 – State Flag

Event that caused an instrument’s status to change.

Value Description

0 Unspecified 1 Order entry authorised 3 Trading resumed 4 Programmed opening cancelled 15 Halted by Market Operations 16 Instrument is being initialized 17 Instrument has opened 20 Deferred opening has been programmed for the instrument 22 Automatically halted 33 Start of bid-only period 34 Start of ask-only period 35 Start of single-sided quote period, side unspecified 32 End of single-sided quote period

2500 / f79 – Trade Type

2501 / f35 – TCS Trade Type

Value Description Updates High/Low Updates Last Updates

Volume

Value Description Updates High/Low Updates Last Updates

Volume

0 Standard trade Yes Yes Yes 1 Cross trade Yes Yes Yes 4 Valuation trade Yes Yes No 6 Investment fund trade Yes Yes Yes



09 November 2011 25

5 VWAP trade No No Yes 7 Secondary Listing Place trade No No Yes 8 Off-Market trade No No Yes 9 Delta Neutral trade No No Yes

2505 / f33 – Market Type

Value Description

0 Primary market (Amsterdam, Brussels and Lisbon) 1 Secondary market (Amsterdam, Brussels and Lisbon) 2 New market (Amsterdam, Brussels and Lisbon) 3 Non-regulated market – Marché Libre (Paris) 4 Non-regulated market – Alternext 5 Non-listed 6 Regulated market – non-equities 7 Regulated market – Equities – Segment A 8 Regulated market – Equities – Segment B 9 Regulated market – Equities – Segment C 10 Regulated market – All securities – Special Segment 11 Regulated market – Equities – Other instruments 12 Unlisted OPCVM, SICOMI (French investment funds) 13 Off market 14 Gold, currency and indices 15 Foreign

2506 / f41 - Trading Group Status

Value Description Comments

201 Early monitoring Initialisation phase. Only Market Operations can act on the group. 202 Core call Call phase of an opening / intraday auction. 203 Core auction Uncrossing phase of an opening / intraday auction. 204 Core continuous Continuous trading. 205 Closing call Call phase of the closing auction. 206 Closing auction Uncrossing phase of the closing auction.

207 Trading At Last Occurs after the closing auction (for continuously-traded securities) or after every auction (for auction-only securities). Trades can be executed, but only at the last price.

208 Core monitoring Only Market Operations can act on the group. 209 Late monitoring End-of-day phase. Only Market Operations can act on the group. 210 Halted 211 Closed

3042 / q token in FD0 - Euronext Instrument Type

Value Description

8 Participating bond cum warrant



09 November 2011 26

9 Participating bond ex warrant 10 Participating preferred stock 11 Subordinated bond 13 Interest strip 14 Principal strip 15 Perpetual bond 17 Bunny bond 18 ORT - French gov. bond 19 OAT - French gov. bond 21 Convertible bond 22 Exchangeable bond 23 Participating bond 24 Indexed bond 25 Ordinary bond 26 Lottery bond 27 Savings bond 28 Indemnity bond 30 Bond warrant 32 Bond cum warrant 33 Bond ex warrant 35 Right to indemnity security 38 Bond option 39 Emprunt Notionnel (France) 40 Founder's share 41 Ordinary share 42 Bonus share 43 Preferred share 44 Savings share 45 Certificate 46 AFV share (Belgium) 47 Accumulation right 48 Allotment right 49 Subscription right 50 Preferred stock 51 VVPR share (Belgium) 52 Time deposit 53 SICOMI 54 Allocation right 55 Option right 56 Share cum warrant 57 Share ex warrant 58 Preferred share 59 Preferred share 60 Gold 61 International investment trust



09 November 2011 27

62 Unit trust 63 Mortgage warrant 64 Bank note 65 Currency 66 Devise-titre (France) 67 Commodity 68 Index 69 Unit 70 Mutual fund (SICAV) 71 Warrant 72 Equity warrant 75 Miscellaneous 76 Call option 77 Put option 78 Money market 80 Founder's share 81 Partnership interest 82 Part de réserve (Belgium) 84 Deferred share 85 SDR (Société de développement régional) 86 Venture capital company 87 Real estate company 90 Mortgage bond

100 Participation certificate 105 Index warrant 106 Currency warrant 108 Warrant on a warrant 110 Participating share warrant 111 Subordinated convertible bond 121 Convertible bond cum warrant 123 Convertible participating bond 139 MATIF 90-day treasury bond 140 Part de réserve AFV (Belgium) 141 Convertible common stock 142 Dividend certificate 144 Convertible savings share 145 Investment certificate warrant 150 Convertible preferred stock 162 Special Purpose Vehicle 200 Participation certificate warrant 221 Convertible bond ex warrant 240 AFV share (Belgium) 241 VVPR share (Belgium) 242 Accumulation fund (FCP) 243 Income fund (FCP)



09 November 2011 28

244 Futures/options investment fund 245 Accumulation fund (SICAV) 246 Income fund (SICAV) 247 Contingent value rights 248 Equity warrant 249 BTAN (France) 250 OAT interest strip 251 OAT principal strip 252 Indexed OAT 253 Indexed OAT principal strip 254 Indexed OAT interest strip 255 EMTN (Euro Medium Term Note) 256 BTF (France) 257 Indexed certificate 258 BMTN (France) 259 Covered bond 260 Convertible EMTN 261 Indexed EMTN 262 EMTN-indexed certificate 263 Exchange traded fund 264 Mutual fund (FCPR) 265 Mutual fund (FCPI) 266 Medium term note 267 Floating rate medium-term note 268 Accumulation share 269 Distribution share 270 Non-convertible bond interest strip 271 Non-convertible bond principal strip 272 Beneficial interest share 273 Redeemable cumulative preferred stock

274 Convertible redeemable cumulative preferred stock

275 Convertible cumulative preferred stock 276 Cumulative preferred stock 277 Redeemable preferred stock 278 Foreign treasury note 280 VVPR strip (Belgium) 281 Mortgage Bond 303 Exotic warrant 304 Certificate of Deposit 305 Commercial paper 306 ETF / Closed-end Fund 307 ETF / Open-end Fund 308 SICAF share 309 Preferred security



09 November 2011 29

3685 / f75 – Market ID Code

Value Source

1 Paris 2 Centralised Lending Market 3 Brussels 4 Amsterdam 5 Lisbon 6 Luxembourg 7 Europe 8 NYSE Arca Europe 9 Alternext



09 November 2011 30

Orderbook Processing The following section explains the processing logic to be used with the full orderbook (FOB) sources 973/<1E>m and 280/<08>x. With the exception of the exchange-specific sort order, processing of the NYSE Euronext FOB services can be achieved in the same manner as other full order book sources on PlusFeed.

Sorting Rules Orders on each side of the book should be sorted according to the following criteria: 1) Price On the buy side higher price has higher priority, on the sell side lower price has higher priority.

Unpriced orders (Market orders / unexecuted Market To Limit orders) have the highest priority on both sides.

2) Order ID Orders on the same side at the same price level, or unpriced orders on the same side, can be

sorted according to their order ID: lower order ID has higher priority. Example: suppose that an orderbook has the following 5 orders on the buy side: Order ID Price Size Type 1 10.00 200 Limit 2 - 150 Market To Limit 3 12.00 100 Peg 4 10.00 300 Limit 5 - 50 Market Based on the above described sort order, these should be sorted as follows (highest priority at the top): Order ID Price Size Type 2 - 150 Market To Limit 5 - 50 Market 3 12.00 100 Peg 1 10.00 200 Limit 4 10.00 300 Limit If the Market To Limit order is partially executed (say 50 shares at 12.50), it will become a priced order for the remaining quantity (100 shares) at the partial execution price (12.50). Because it is a priced order, it should be sorted with the same priority as Limit / Peg orders, as follows: Order ID Price Size Type 5 - 50 Market 2 12.50 100 Market To Limit 3 12.00 100 Peg 1 10.00 200 Limit 4 10.00 300 Limit

Top-of-book Indicator The top-of-book indicator (439=0 in CTF / f11,0 in DDF) will appear in a message whenever the order carried in that message has the highest execution priority on that side of the orderbook. This happens whether the message is a new order, a modified order or an order deletion.



09 November 2011 31

On receiving an order flagged with the top-of-book indicator, any orders that appear to have higher priority can be safely deleted.

Next / Previous Order ID Each refresh message will include tokens 308 / f88 (order ID), 376 / f22 (next order ID) and 377 / f21 (previous order ID). Customers can use these tokens to identify stale orders in their systems: any orders with order ID strictly between the current order ID and the previous / next order ID can safely be deleted. Example: the following message shows a refresh for buy order 1234, with previous order ID = 1000 and next order ID = 2000. On receiving this message users can safely delete any buy orders for E:MT with order ID in the range 1001 - 1233 or 1235 - 1999. CTF: 3=973|4=973|5=E:MT|24=1|58=31.35|59=700|270=52520|308=1234|377=1000|376=2000 DDF: <1B>mE:MTf72,0q31.35p700m52520f88,1234f21,1000f22,2000 Note that previous / next order ID may take the value 0, indicating that there is no previous / next order ID. In this situation:

- If previous order ID = 0, any with ID lower than token 308 / bate f88 can be safely deleted.

- If next order ID = 0, any with ID higher than token 308 / bate f88 can be safely deleted.



09 November 2011 32

Appendix A – CTF Tokens Delivered via RTSD (Real-Time Symbol Directory) The following tokens will be available in RTSD messages for all Euronext source IDs. CTF Token Token Name Description Data Type

3 PERMISSION Permission ID for the data source. 10715 for RTSD. Integer

4 ENUM.SRC.ID

PlusFeed source ID. 787 - Euronext Cash Last Price Service 788 - Euronext Cash BBO1+ 293 - Euronext Cash BBO10 973 - Euronext Cash FOB 790 - Euronext Market Indices 980 - Euronext Main Indices 601 - Euronext Strategy Indices 986 - Euronext Volatility Indices 602 - Euronext Off-Exchange Trade Reports 647 - NYSE ARCA Europe BBO1+ 646 - NYSE Arca Europe BBO10 280 - NYSE Arca Europe FOB

Integer

5 SYMBOL.TICKER PlusFeed symbol String

24 REFRESH Refresh message indicator. 1 = Refresh message Integer

3015 CONTRACT.SIZE Lot size Float

3016 ENUM.CONTRACT.UNITS Units in which the lot size is expressed. 32 - Shares Integer

3042 INSTR.LOCAL_TYPE Euronext instrument type categorisation. See enumeration table for token 3042. Integer

3125 ISIN ISIN code String 3126 SEDOL SEDOL code String

3133 ENUM.INSTR.TYPE

Enumerated instrument type. 256 - Equity 258 - Preferred Stock 260 - Warrant 270 - Right 4097 - Bond 4098 - Convertible Bond 4099 - Mortgage-Backed Security 4100 - Government Bond 4104 - Corporate Bond 4352 - Certificate of Deposit 5000 - Structured Product 8192 - Mutual Fund 8193 - Exchange-Traded Fund

Integer

3137 FUND.INDEX_MEMBERSHIP

Space-delimited list of tickers for the indices to which the security belongs. e.g. "N150 PAX SIIC" if the instrument is included in the Next 150, CAC All Share and SIIC France indices.

String

3166 TRADE.CODE Euronext trading code String 3170 LOCAL.CODE Local identifier; in this case the Euronext trading code String 3172 SYMBOL.EXCH.TICKER Ticker symbol issued by Euronext String

3173 INCORPORATION.COUNTRY 3-letter ISO code for the country where the issuer is incorporated. String

3175 UNDERLYING.ISIN ISIN of the underlying instrument String 3177 INSTR_NAME2 Description of the instrument String



09 November 2011 33

3240 MIC.CODE

MIC code (ISO 10383) for the exchange on which the contract is listed. MFOX - Lisbon XBRD - Brussels XEUE - Amsterdam XLIF - London XMAT - Paris Commodity Derivatives (MATIF) XMON - Paris Equity + Index Derivatives (MONEP)

String

3241 MIC.CODE_REF.MKT [NYSE Arca Europe only] MIC code of the instrument's reference market. String

3366 VARIABLE.TICK.SIZE

The instrument's tick size regime, presented as space-delimited list of alternate tick sizes and tick size breakpoints. Examples: 3366=0.01 denotes a fixed tick size of 0.01. 3366=0.001 10 0.005 50 0.01 denotes a tick size of:- 0.001 from 0 to 10; 0.005 from 10 to 50; 0.01 from 50 upwards.

String



09 November 2011 34

Appendix B – Trading Group Codes

Value Description

101 Equities MCE 102 Equities - Foreign Currencies 103 Equities MCE (Double Auction) 104 Equities - Foreign Currencies (Double Auction) 105 Equities Special 106 Equities Special (Single Auction) 133 Equities BEL 20 134 Equities 136 Foreign Equities 137 Equities Trading Facility 140 Equities (Double Auction) 174 Foreign Equities (Double Auction) 175 Equities Temporary Listing (Single Auction) 176 Certificates (Single Auction) 201 Ancillary Shares Free Market (Single Auction) 202 New Listings 217 Structured Products 233 Structured Products 234 SICAV (Single Auction) 235 ETFs 237 Free Market Equities (Single Auction) 240 Free Market Bonds (Single Auction) 273 ETFs (Double Auction) 274 Ancillary Shares 275 Ancillary Shares (Double Auction) 276 Strips (Single Auction) 301 State Bonds - NBB Settlement 333 Reverse Convertible Bonds 334 Convertible Bonds 335 Convertible Bonds (Double Auction) 336 Corporate Bonds - NBB Settlement (Double Auction) 337 State Bonds - EUR (Single Auction) 340 Bonds - Foreign Currencies 373 Bonds - Foreign Currencies (Double Auction) 374 Corporate Bonds (Double Auction) 375 State Bonds - NBB Settlement (Weekly Auction) 376 State Bonds - Physical Delivery (Weekly Auction) 401 Certificates - Foreign Currencies 433 Exotic Certificates - Commerzbank 434 Exotic Warrants - Other Issuers 435 Warrants - Other Issuers 436 Warrants - Fortis



09 November 2011 35

Value Description

437 Warrants - Other Issuers 440 Exotic Warrants - Other Issuers 473 Warrants - Commerzbank 476 Warrants - Other Issuers (Double Auction) 501 Equities Alternext Private Investment (Single Auction) 502 Equities Alternext Private Investment (Single Auction) 503 Equities Alternext (Single Auction) 504 Equities Alternext 505 Equities Alternext Private Investment (Single Auction) 506 Ancillary Shares Alternext (Single Auction) 507 Ancillary Shares Alternext 510 Bonds Alternext (Single Auction) 534 Equities Alternext (Single Auction) 535 Equities Alternext 536 Ancillary Shares Alternext (Single Auction) 537 Ancillary Shares Alternext 540 Equities Alternext (Single Auction) 573 Equities Alternext 574 Ancillary Shares Alternext (Single Auction) 575 Ancillary Shares Alternext 576 Equities Alternext - Foreign Currencies (Single Auction) 733 Equities Special 734 Equities Special (Double Auction) 1001 ETCs 1002 Certificates - Foreign Currencies 1003 ETNs 1004 Certificates - Citigroup 1005 Certificates - Dresdner Bank 1006 Certificates - BNP Paribas 1007 Certificates - BNP Paribas 1011 Certificates - Calyon 1012 Certificates - ABN Amro 1013 Certificates - Unicredit 1014 Exotic Warrants - Unicredit 1033 Certificates 1034 Exotic Certificates - Dresdner Bank 1035 Exotic Warrants - Citigroup 1036 Exotic Certificates - ABN Amro 1037 Exotic Warrants - Société Générale 1040 Exotic Certificates - BNP Paribas 1073 Exotic Warrants - Commerzbank 1075 Certificates (Single Auction) 1076 Exotic Warrants - Calyon 1133 Exotic Warrants - Other Issuers



09 November 2011 36

Value Description

1134 Warrants - Calyon 1135 Warrants - Unicredit 1136 Warrants - ABN Amro 1137 Structured Products 1201 Equities Trading Facility 1202 Equities Trading Facility (Double Auction) 1203 Equities Special 1204 Equities Special (Double Auction) 1205 Equities - Foreign Currencies 1206 Equities - Foreign Currencies (Double Auction) 1233 Equities AEX 1234 Equities 1235 Equities MCE 1236 Equities (Double Auction) 1237 Equities MCE (Double Auction) 1240 Convertible Bonds 1273 Convertible Bonds (Double Auction) 1274 Foreign Equities 1275 Foreign Equities (Double Auction) 1276 Equities Reg S 1301 Investment Funds - Low Volatility - Foreign Currencies 1302 Investment Funds - Low Volatility - Foreign Currencies (Double Auction) 1315 TCS Dutch Funds (Monthly Auction) 1316 TCS Dutch Funds - Foreign Currency (Weekly Auction) 1320 TCS Dutch Funds - Foreign Currency (Single Auction) 1321 TCS Dutch Funds (Quarterly Auction) 1327 TCS Dutch Funds (Weekly Auction) 1332 TCS Dutch Funds (Single Auction) 1333 Ancillary Shares 1334 Ancillary Shares (Double Auction) 1335 ETFs 1336 ETFs - Foreign Currencies 1337 Investment Funds 1340 Investment Funds 1373 Investment Funds (Double Auction) 1374 Investment Funds (Single Auction) 1433 State Bonds 1434 Corporate Bonds - Non-guaranteed 1435 Corporate Bonds - Guaranteed 1436 Convertible Bonds 1437 Other Bonds (Double Auction) 1440 Convertible Bonds (Double Auction) 1473 Bonds - Foreign Currencies 1474 Bonds - Foreign Currencies (Double Auction)



09 November 2011 37

Value Description

1475 Corporate Bonds - Non-guaranteed - Foreign Currency 1476 Convertible Bonds - Foreign Currencies 1501 Exotic Warrants - ABN Amro 1502 Exotic Warrants - Other Issuers 1503 Exotic Warrants - Commerzbank 1504 Exotic Warrants - Citigroup 1505 Certificates - Foreign Currencies 1510 Certificates - UBS 1533 Structured Products - ABN Amro 1534 Warrants - ABN Amro 1535 Structured Products - ABN Amro 1536 Warrants - Fortis 1537 Structured Products - ING 1540 Exotic Warrants - ING 1573 Warrants - Commerzbank 1574 Certificates - ING 1576 Warrants - Other Issuers (Double Auction) 1601 Structured Products - Dresdner Bank 1602 Structured Products - Dresdner Bank 1603 Structured Products - Other Issuers 1604 Structured Products - Other Issuers 1633 Structured Products 1634 Structured Products 1635 Structured Products (Double Auction) 1636 Structured Products (Double Auction) 1637 ETCs 1640 ETCs 1673 Structured Products - Foreign Currency 1674 Structured Products - Foreign Currency 1675 Structured Products - Foreign Currency (Double Auction) 1676 ETCs - Foreign Currency 2001 ETFs 2033 Equities PSI20 2034 Equities 2035 Equities (Double Auction) 2036 Equities MCE 2037 Equities MCE (Double Auction) 2040 Foreign Equities 2073 Foreign Equities (Double Auction) 2074 Equities (Double Auction) 2075 Equities Special 2076 Equities Special (Single Auction) 2134 Ancillary Shares 2135 Ancillary Shares (Double Auction)



09 November 2011 38

Value Description

2234 State Bonds 2235 Corporate Bonds (Double Auction) 2236 Bonds - Easynext (Double Auction) 2237 Corporate Bonds (Double Auction) 2240 Commercial Paper (Block Trading) 2334 Investment Funds (Double Auction) 2401 Exotic Certificates 2403 Certificates - Citigroup 2403 Exotic Certificates 2404 Certificates - UBS 2434 Certificates 2435 Certificates 2436 Certificates - Commerzbank 2501 Exotic Warrants 2503 Exotic Warrants 2534 Warrants - Other Issuers 2535 Warrants - Other Issuers 2536 Warrants - Citigroup 2537 Exotic Warrants - Citigroup 2540 Exotic Warrants - Citigroup 2573 Warrants - Commerzbank 2574 Structured Products 2575 Warrants - Commerzbank 2576 Exotic Warrants - Commerzbank 2634 Convertible Bonds 2635 Convertible Bonds (Double Auction) 3121 Luxembourg Funds 3334 Equities CAC40 3340 Equities IPO 3375 ETFs 3401 NYSE Arca Europe - Germany 3402 NYSE Arca Europe - Italy 3403 NYSE Arca Europe - Sweden 3404 NYSE Arca Europe - Norway 3405 NYSE Arca Europe - Finland 3406 NYSE Arca Europe - Denmark 3407 NYSE Arca Europe - UK 3410 NYSE Arca Europe Stocks - Ireland 3412 NYSE Arca Europe - Switzerland 3413 NYSE Arca Europe - Spain 3414 NYSE Arca Europe - Austria 3433 Equities Free Market (Single Auction) 3434 Equities SRD 3435 Equities SRD MCE



09 November 2011 39

Value Description

3436 Equities (Double Auction) 3437 Equities MCE (Double Auction) 3473 Equities 3474 Equities MCE 3475 ETFs 3476 Equities VRMR (Single Auction) 3507 NYSE ARCA Europe Stocks – UK Others 3534 Foreign Equities SRD 3535 Foreign Equities 3536 Foreign Equities (Double Auction) 3537 Warrants - BNP Paribas 3540 Warrants - Other Issuers 3573 Warrants - Société Générale 3574 Warrants - Commerzbank 3575 Warrants - Dresdner Bank 3576 Certificates - Société Générale 3633 Ancillary Shares Free Market (Single Auction) 3634 Ancillary Shares 3636 Ancillary Shares (Double Auction) 3640 Convertible Bonds 3673 Warrants - Citigroup 3674 Convertible Bonds (Double Auction) 3675 Certificates - UBS 3676 Ancillary Shares VRMR (Single Auction) 3733 Public / Semi-Public Bonds 3734 State Bonds 3735 Corporate Bonds 3736 Other Bonds (Double Auction) 3737 Other Bonds (Double Auction) 3740 State Bonds for Retail 3776 ETFs 4033 Equities - Foreign Currencies 4034 Equities - Foreign Currencies (Double Auction) 4035 ETFs - Foreign Currencies 4037 Equities Free Market - Foreign Currencies (Single Auction) 4040 Bonds - Foreign Currencies 4073 Bonds - Foreign Currencies (Double Auction) 4074 TCN / Certificates of Deposit - Treasury Bills 7333 Bonds - TCS - Foreign Currency 7336 Lending / Borrowing (Single Auction) 7340 Compulsory Buy-Out Offer 7533 Indices 7534 Indices 7535 Strategy Indices



09 November 2011 40

Value Description

7536 Volatility Indices 7634 Equities / ETFs



09 November 2011 41

Appendix C – Market Codes The following table gives the Euronext-issued market code sent on CTF token 3134 / r token in the FD0 symbol information source (Interactive Data Real-Time Services Symbol Directory).

Value Description

000 None applicable 025 Paris 277 Centralised lending market 278 Brussels 279 Amsterdam 290 Lisbon 295 Luxembourg 299 Europe 300 Commercial paper 301 SmartPool 302 NYSE Arca Europe



09 November 2011 42

Appendix D – Data Types The data type field in the bate code list indicates what operation, if any, is required for data received under that bate code:

Type Operation

Float Apply decimal precision (DDF only, no action required in CTF). Integer No operation. Octal Data is characters that have been encoded using Octal.



09 November 2011 43

Appendix E - Venue ID Algorithm in C /********************************************************************

* This file defines 2 functions str_encode100() and str_decode100() and a * simple test harness. * * str_encode100() encodes a string consisting of printable ASCII characters * into 2 integer values each between 0 and 99999999999999 (14 digits). Each * character is encoded into 2 decimal digits i.e. using a base 100 * encoding. * Space characters encode to value zero so trailing space characters are not * significant. The first 7 characters of the string are encoded into the * first integer value, the second 7 characters into the second integer value. * If the string has fewer than 8 characters the second integer value is zero. * * str_decode() takes 2 integer values between 0 and 99999999999999 as * produced by str_encode100() and recreates the original string, except that * any training spaces in the original string are removed. * * str_decode100b() is similar to str_decode100() except that it can decode * some extra characters. The printable ASCII character set consists of 95 * characters so there are 5 characters spare. I've suggested some examples * Pound, Euro which are not standard ASCII characters and TAB, NEWLINE, * FS (field separator) which are non-printable ASCII characters. ******************************************************************************/ #include <stdio.h> #include <stdlib.h> #include <string.h> typedef long long batevalue_t; /* An integer type capable of representing up to at least 99999999999999 */ typedef struct { batevalue_t values[2]; } strvalint_t; static void print_usage(int exitcode); static int str_encode100(strvalint_t *sv, const char *str); static int str_decode100(const strvalint_t *sv, char *str); static int str_decode100b(const strvalint_t *sv, char *str); enum { CHR_POUND = 163, CHR_EURO = 128, CHR_TAB = 8, CHR_NL = 10, CHR_FS = 28 }; static const unsigned char specialchars[] = { CHR_POUND, CHR_EURO, CHR_TAB, CHR_NL, CHR_FS }; /******************************************************************************* * Test harness for str_encode100() and str_decode100() * * Run with no command line aguments for help */ int main(int argc, char *argv[]) { const char *str; char result[15]; strvalint_t sv;



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int length; if (argc < 2) print_usage(EXIT_SUCCESS); if (strcmp(argv[1], "-e") == 0) { if (argc < 3) print_usage(EXIT_FAILURE); str = argv[2]; length = str_encode100(&sv, str); printf("Result: length=%d value1=%lld value2=%lld\n", length, (long long)sv.values[0], (long long)sv.values[1]); length = str_decode100(&sv, result); if (length >= 0) printf("Decoded: length=%d '%s'\n", length, result); else printf("Decode failed\n"); } else if (strcmp(argv[1], "-d") == 0) { if (argc < 4) print_usage(EXIT_FAILURE); sv.values[0] = strtoull(argv[2], NULL, 10); sv.values[1] = strtoull(argv[3], NULL, 10); length = str_decode100(&sv, result); if (length >= 0) printf("Decoded: length=%d '%s'\n", length, result); else printf("Decode failed\n"); } else print_usage(EXIT_SUCCESS); return EXIT_SUCCESS; } /****************************************************************************** * Write command usage/help message and exit */ static void print_usage(int exitcode) { static const char usage[] = "Usage: encode100 [OPTIONS]\n" "OPTIONS:\n" " -e str encode string to 2 integer values\n" " -d value1 value2 decode integer values back to string\n"; fprintf(stderr, "%s", usage); exit(exitcode); } /******************************************************************************* * Encodes a string of into a pair of integers values from 0 to 99999999999999 * i.e up to 14 decimal digits. Encoding stops at the first invalid character * or after 14 characters * * sv - pointer to a structure containing the 2 integers where the result * will be written * * str - pointer to the sting to be encoded * * Returns the number of characters that were encoded (0-14) */



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static int str_encode100(strvalint_t *sv, const char *str) { batevalue_t value, mult; int i; /* Encode up to 7 characters into the first integer value */ value = 0; mult = 1; for (i = 0; i < 7; i++) { unsigned char ch = str[i] - 32; if (ch >= 126-32) /* End on a non-printable ASCII character */ break; value += mult * ch; mult *= 100; } sv->values[0] = value; /* Encode up to 7 more characters into the second integer value. If the first loop terminated early this loop will terminate immediately on the same character */ value = 0; mult = 1; for (; i < 14; i++) { unsigned char ch = str[i] - 32; if (ch >= 126-32) /* End on a non-printable ASCII character */ break; value += mult * ch; mult *= 100; } sv->values[1] = value; /* Retuns the number of characters converted */ return i; } /******************************************************************************* * Decodes a pair of integer values into the corresponding code string * * sv - pointer to a structure containing the 2 integer values * * str - pointer to an array of at least 15 characters where the decoded * string is written * * Returns the length of the decoded string (0-14), or -1 if the integer * values are invalid */ static int str_decode100(const strvalint_t *sv, char *str) { batevalue_t value; int i; /* Decode the first integer value */



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value = sv->values[0]; if (value < 0 || value > 99999999999999) return -1; i = 0; while (value != 0) { str[i++] = value%100 + 32; value /= 100; } /* Decode the second integer value. If this in nonzero i.e. contains output characters then trailing spaces in the first value are significant and need to be added */ value = sv->values[1]; if (value < 0 || value > 99999999999999) return -1; if (value != 0) { while (i < 7) /* Add in any trailing spaces from the first value */ str[i++] = 32; do { str[i++] = value%100 + 32; value /= 100; } while (value != 0); } /* Terminate the string and return the string length */ str[i] = '\0'; return i; } /******************************************************************************* * Decodes a pair of integer values into the corresponding code string. This * version supports the 5 special characters. * * sv - pointer to a structure containing the 2 integer values * * str - pointer to an array of at least 15 characters where the decoded * string is written * * Returns the length of the decoded string (0-14), or -1 if the integer * values are invalid */ static int str_decode100b(const strvalint_t *sv, char *str) { int intnum; int len = 0; /* Decode each integer in turn. Trailing spaces encode as zero so are not significant in the value. Any at the end of the first integer must be added if there are any (non-space) characters in the second integer */ for (intnum = 0; intnum < 2; intnum++) { batevalue_t value = sv->values[intnum]; /* Decode the first integer value */ if (value < 0 || value > 99999999999999) return -1;



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if (value != 0) { if (intnum != 0) { /* Add in any trailing spaces from the first value */ while (len < 7) str[len++] = 32; } do { /* Decode the integer value */ int ch = value%100 + 32; value /= 100; if (ch >= 127) ch = specialchars[ch-127]; str[len++] = ch; } while (value != 0); } } /* Terminate the string and return the string length */ str[len] = '\0'; return len; }



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Appendix F - Venue ID Algorithm in Java /* * Title: encode100.java * Description: New encoding/decoding * Copyright: Copyright (c) 2007 * Company: IDC * Author: Lawrence Kirby * Date: Oct 2007 * * $Revision: 1.1 $ * $Source: /export/home/cvs/ukdev/ETP_TOOLS/src/Encode100.java,v $ * * Version History * $Log: Encode100.java,v $ * Revision 1.1 2007/10/10 14:49:48 nwray * Added new string encoding * */ package com.spetp.tools; import java.io.*; /** * New encoding/decoding - * * there is no string field in our infrastructure that can take a 12 character long string. * Hence encode each string char as a two-byte numeric and split the string thus encoded * over two integer type output fields. * * This effectively replaces octal encoding which encodes each string char as 3-byte numeric. * * * @author Lawrence Kirby * @version $Revision */ public class Encode100 { /** Max string length which can be encoded into two integer fields */ public final static int MAX_STRING_LEN = 14; private final int maxSegLen = MAX_STRING_LEN/2; public long values[] = new long [2]; /** * Encode string * * @param str * @throws IllegalArgumentException */ public void encode(String str) throws IllegalArgumentException { /* Encode up to 7 characters into the first integer value */ long value = 0; long mult = 1; int len, limit1; int i; len = str.length(); if (len > MAX_STRING_LEN) throw new IllegalArgumentException("Too long");



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limit1 = (len < maxSegLen) ? len : maxSegLen; for (i = 0; i < limit1; i++) { int ch = (int)str.charAt(i); if (ch < 32 || ch >= 127) throw new IllegalArgumentException("Invalid Character"); value += mult * (ch - 32); mult *= 100; } values[0] = value; /* Encode up to 7 more characters into the second integer value. If the first loop terminated early this loop will terminate immediately on the same character */ value = 0; mult = 1; for (; i < len; i++) { int ch = (int)str.charAt(i); if (ch < 32 || ch >= 127) throw new IllegalArgumentException("Invalid Character"); value += mult * (ch - 32); mult *= 100; } values[1] = value; } /* ****************************************************************************** */ public void encode(byte [] str) throws IllegalArgumentException { // Encode up to 7 characters into the first integer value long value = 0; long mult = 1; int len, limit1; int i; len = str.length; if (len > MAX_STRING_LEN) throw new IllegalArgumentException("String length " + len + " exceeds maximum " + MAX_STRING_LEN); limit1 = (len < maxSegLen) ? len : maxSegLen; for (i = 0; i < limit1; i++) { int ch = (int)str[i]; if (ch < 32 || ch >= 127) throw new IllegalArgumentException("Invalid Character"); value += mult * (ch - 32); mult *= 100; } values[0] = value; /* Encode up to 7 more characters into the second integer value. If



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the first loop terminated early this loop will terminate immediately on the same character */ value = 0; mult = 1; for (; i < len; i++) { int ch = (int)str[i]; if (ch < 32 || ch >= 127) throw new IllegalArgumentException("Invalid Character"); value += mult * (ch - 32); mult *= 100; } values[1] = value; } /** * Main; test harness * @param argv */ public static void main(String argv[]) { String inputStr = argv[0]; byte [] inputBytes = inputStr.getBytes(); Encode100 enc = new Encode100(); enc.encode(inputBytes); System.out.println("Input string: " + inputBytes); System.out.println("Result: " + enc.values[0] + " " + enc.values[1]); enc.encode(inputStr); System.out.println("Input string: " + inputStr); System.out.println("Result: " + enc.values[0] + " " + enc.values[1]); } }

nyse_euronext_2011-11-09

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