Group Ticker Plant

LSEG Group Ticker Plant

GTP 002 – Technical Guide

London Stock Exchange Group Limited

Group Ticker Plant

Message Set Overview

The following table lists all messages described in this report.

Name | Description
AddOrder | Indicates the first order of a given side of an MBO snapshot.
AddOrderIncremental | Sent to instruct recipients to add a new displayable order to the retrospective order book.
AddOrderMBP | Indicates the first price point of a given side of an MBP snapshot.
AddOrderShort | Used to indicate individual orders of an MBO snapshot.
AddOrderShortMBP | Used to indicate individual price points of an MBP snapshot.
Analytics | Analytics Message is used to disseminate additional statistics including order book activity statistics.
Announcements | Used to disseminate announcements.
DeleteOrder | Sent to instruct recipients to delete an order from the retrospective order book.
FTSERussellIndicesUpdate | Used to redistribute index values for a set of FTSE Russell indices.
IndicativeQuoteInformation | Indicates the simple average of the bid and ask of a Request for Quote (RFQ) session.
InstrumentDirectory | Used to disseminate a common and limited set of data for all configured instrument types (except strategy instruments) on the real-time channels.
InstrumentDirectoryDerivatives | Used to disseminate reference data information of derivative instruments.
InstrumentDirectoryEquities | Used to disseminate reference data information of equity instruments.
InstrumentDirectoryFixedIncome | Used to disseminate reference data information of Fixed Income instruments.
InstrumentDirectoryStrategies | Used to disseminate reference data information of strategy (combination) instruments.
InstrumentStatus | Used to communicate scheduled and unscheduled session changes. When sent in the recovery channel, used to indicate the current trading status of an instrument.
MiFIDTrade | Sent to represent different types of MiFID compliant trades published by markets.
MiFIDTradeCross | Sent to indicate a MiFID compliant cross trade.
MiFIDTradeReport | Sent to report the MiFID compliant details of a privately negotiated trade.
ModifyOrder | Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.
OrderBookClear | Sent to instruct recipients to remove all orders from the order book for the specified instrument.
SIQuoting | Publishing Systematic Internaliser (SI) Quotes
Statistics | Contains a set of statistics that are updated frequently, usually as a result of executions.
StatisticsSnapshot | A snapshot of an instrument’s statistics that is used for recovery.
StatisticsUpdate | Contains a set of statistics that are not updated frequently.
SystemEvent | Sent to indicate the start and end of the day. For TRADEcho, recoverable to provide the trading session.
TopOfBook | Used to update the level 1 service following any change to the consolidated Best Bid and Offer.
Trade | Sent to indicate trades executed on supported markets.
TradeCross | Sent to indicate a cross trade execution.
TradeSummary | Publishing Trade Summaries for both Multi- and Single-Fill Trades

AddOrder

Category: MarketData

Message Functionality

Indicates the first order of a given side of an MBO snapshot.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x41=Add Order – MBO
Timestamp | [1..1] | UDT | Time the message was generated.
OrderID | [1..1] | Alpha | Unique identifier of the order.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed size of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Participant | [1..1] | Alpha | Identity of trading participant that submitted the order.
Depth | [1..1] | UInt8 | Total number of orders disseminated including this one, on this side of the book as indicated by Side field.

AddOrderIncremental

Category: MarketData

Message Functionality

Sent to instruct recipients to add a new displayable order to the retrospective order book.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x46=Add Order Incremental
Timestamp | [1..1] | UDT | Time the message was generated.
OrderID | [1..1] | Alpha | Unique identifier of the order.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed Size of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Participant | [1..1] | Alpha | Identity of trading participant that submitted the order.
OrderType | [1..1] | CodeSet |
RFQID | [1..1] | Alpha | Unique ID assigned to a particular RFQ by the system. Only relevant when Order Book Type is 4 = Private RFQ.

AddOrderMBP

Category: MarketData

Message Functionality

Indicates the first price point of a given side of an MBP snapshot.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x66=Add Order MBP
Timestamp | [1..1] | UDT | Time the message was generated.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed size of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Splits | [1..1] | UInt16 | Number of orders at this price point.
Depth | [1..1] | UInt8 | Total number of orders disseminated including this one, on this side of the book as indicated by Side field.

AddOrderShort

Category: MarketData

Message Functionality

Used to indicate individual orders of an MBO snapshot.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x65=Add Order Short – MBO
OrderID | [1..1] | Alpha | Unique identifier of the order.
Size | [1..1] | Size | Displayed size of the order.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
Participant | [1..1] | Alpha | Identity, if trading participant that submitted the order.

AddOrderShortMBP

Category: MarketData

Message Functionality

Used to indicate individual price points of an MBP snapshot.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x67=Add Order Short – MBP
Size | [1..1] | Size | Displayed size of the order.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
Splits | [1..1] | UInt16 | Number of orders at this price point.

Analytics

Category: MarketData

Message Functionality

Analytics Message is used to disseminate additional statistics including order book activity statistics.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x61=Analytics
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values. Applicable to London Stock Exchange, Turquoise and Turquoise Europe Source Venues only.
StartTime | [1..1] | UDT | Time the calculation of the statistics on this message began.
EndTime | [1..1] | UDT | Time the calculation of the statistics on this message ended.
BuyOrderCount | [1..1] | UInt32 | Number of buy orders received within the calculation window.
SellOrderCount | [1..1] | UInt32 | Number of sell orders received within the calculation window.
BuyOrderSize | [1..1] | Size4 | Cumulative quantity of all buy orders received within the calculation window.
SellOrderSize | [1..1] | Size4 | Cumulative quantity of all sell orders received within the calculation window.
BuyOrderCancellations | [1..1] | UInt32 | Number of buy orders cancelled by clients within the calculation window.
SellOrderCancellations | [1..1] | UInt32 | Number of sell orders cancelled by clients within the calculation window.
BuyLimitOrderCancellations | [1..1] | UInt32 | Number of buy limit orders cancelled by clients within the calculation window.
BuyMarketOrderCancellations | [1..1] | UInt32 | Number of buy market orders cancelled by clients within the calculation window.
SellLimitOrderCancellations | [1..1] | UInt32 | Number of sell limit orders cancelled by clients within the calculation window.
SellMarketOrderCancellations | [1..1] | UInt32 | Number of sell market orders cancelled by clients within the calculation window.
BidAskSpread | [1..1] | Price | Most Recent Bid/Ask spread at the time of publication of the message. If the value is set to zero, this means, either: 1) No sell/buy liquidity 2) Order book is locked or crossed 3) No orders on order book
VWAPBuy | [1..1] | Price | Volume Weighted Average Price for trades triggered by an aggressing buy order. Calculated within the calculation window for trades executed in continuous trading.
VWAPSell | [1..1] | Price | Volume Weighted Average Price for trades triggered by an aggressing sell order. Calculated within the calculation window for trades executed in continuous trading.

Announcements

Category: MarketData

Message Functionality

Used to disseminate announcements.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x75=Announcements
Timestamp | [1..1] | UDT | Time the message was generated.
AnnouncementType | [1..1] | CodeSet | Value
Headline | [1..1] | Alpha | Headline or subject of the announcement.
Text | [1..1] | Alpha | Text of the announcement.
Instruments | [1..1] | Alpha | Pipe separated Identification numbers of the securities for which the announcement has been sent for.
UnderlyingMarket | [1..1] | Alpha | Pipe separated Identification numbers of the underlying securities/markets for which the announcement has been sent for.
Flags | [1..1] | Component |

DeleteOrder

Category: MarketData

Message Functionality

Sent to instruct recipients to delete an order from the retrospective order book.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x44=Delete Order
Timestamp | [1..1] | UDT | Time the message was generated
OrderID | [1..1] | Alpha | Unique identifier of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Side | [1..1] | CodeSet |
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
PreviousPrice | [1..1] | Price | Price of the order that was deleted from the book.
PreviousQuantity | [1..1] | Size | Quantity of the order that was deleted from the book.
PreviousYield | [1..1] | Price | Yield of the order (if traded in yield) that was deleted from the book.

FTSERussellIndicesUpdate

Category: MarketData

Message Functionality

Used to redistribute index values for a set of FTSE Russell indices.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x6c=FTSE Indices Update
Timestamp | [1..1] | UDT | Time the message was generated.
IndexCode | [1..1] | Alpha | Please refer to GTP006 – External Sources Guide.
IndexValue | [1..1] | Price | As provided by FTSE.
IndexStatus | [1..1] | CodeSet | As provided by FTSE. This field is only populated when the status is changed (as per FTSE practice). Blank when status is not changed.
TotalReturnValue | [1..1] | Price | As provided by FTSE.
NetChangePreviousDay | [1..1] | Price | As provided by FTSE.
IndexTime | [1..1] | Time | As stamped by FTSE.

IndicativeQuoteInformation

Category: MarketData

Message Functionality

Indicates the simple average of the bid and ask of a Request for Quote (RFQ) session.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x80=Indicative Quote Information
Timestamp | [1..1] | UDT | Message dissemination time.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
BidIndicativePrice | [1..1] | Price | Indicative price of the quotes on the buy side of the RFQ. Will indicate the yield if the instrument is traded on yield.
AskIndicativePrice | [1..1] | Price | Indicative price of the quotes on the sell side of the RFQ. Will indicate the yield if the instrument is traded on yield.
InstrumentID | [1..1] | Alpha | GTP Instrument Identifier.
RFQID | [1..1] | Alpha | Unique ID assigned to a particular RFQ by the system.

InstrumentDirectory

Category: MarketData

Message Functionality

Used to disseminate a common and limited set of data for all configured instrument types (except strategy instruments) on the real-time channels.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x70=Instrument Directory
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
ISIN | [1..1] | Alpha | ISIN code of the instrument.
AllowedBookTypes | [1..1] | Component | Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed:
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
VenueInstrumentID | [1..1] | Alpha | Instrument identifier used by the source venue. For Turquoise, the MTF symbol will contain the suffixes as specified in the table below:
TickID | [1..1] | Alpha | The tick structure applicable for the instrument.
PriceBandTolerancesPercent | [1..1] | Price | Price Band Tolerance (%) of the instrument.
DynamicCircuitBreakerTolerancesPercent | [1..1] | Price | Dynamic Circuit Breaker Tolerance (%) of the instrument.
StaticCircuitBreakerTolerancesPercent | [1..1] | Price | Static Circuit Breaker Tolerance (%) of the instrument.
GroupID | [1..1] | Alpha | Segment the instrument is assigned to.
UnderlyingISINCode | [1..1] | Alpha | ISIN of the underlying instrument. This field will contain only spaces if the instrument is not a derivative.
UnderlyingInstrumentID | [1..1] | Alpha | Venue specified instrument ID of the underlying instrument.
Currency | [1..1] | Alpha | Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document.
ReservedField | [1..1] | Alpha | Reserved for future use.
ReservedField1 | [1..1] | Alpha | Reserved for future use.
AverageDailyTurnover | [1..1] | Price4 | Average Daily Turnover as reported by the Source Venue. Applicable to TRADEcho only.
ReservedField2 | [1..1] | Alpha | Reserved for future use.
Flags | [1..1] | Component |
ReservedField3 | [1..1] | Alpha | Reserved for future use.
ReservedField4 | [1..1] | Alpha | Reserved for future use.

InstrumentDirectoryDerivatives

Category: MarketData

Message Functionality

Used to disseminate reference data information of derivative instruments.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x76=Instrument Directory – Derivatives

InstrumentDirectoryEquities

Category: MarketData

Message Functionality

Used to disseminate reference data information of equity instruments.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x52=Instrument Directory – Equities
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
ISIN | [1..1] | Alpha | ISIN code of the instrument.
SEDOL | [1..1] | Alpha | SEDOL code of the instrument.
AllowedBookTypes | [1..1] | Component | Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed:
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
VenueInstrumentID | [1..1] | Alpha | Instrument identifier used by the source venue. For Turquoise, the MTF symbol will contain the suffixes as specified in the table below:
GroupID | [1..1] | Alpha | Segment or instrument group ID as identified by the trading market.
Currency | [1..1] | Alpha | Currency code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document.
TickID | [1..1] | Alpha | The tick structure applicable for the instrument.
PreviousDayClosingPrice | [1..1] | Price | Closing price reported for the previous trading day.
PriceBandTolerancesPercent | [1..1] | Price | Price Band Tolerance (%) of the instrument.
DynamicCircuitBreakerTolerancesPercent | [1..1] | Price | Dynamic Circuit Breaker Tolerance (%) of the instrument.
StaticCircuitBreakerTolerancesPercent | [1..1] | Price | Static Circuit Breaker Tolerance (%) of the instrument.
Flags | [1..1] | Component | Reserved for future use.
SecuritySubtype | [1..1] | UInt8 | Different instrument security subset types. Please refer to the Additional Field Values section for valid values.
ExpirationDate | [1..1] | Date | Expiration date of the instrument.
ListingStartDate | [1..1] | Date | Listing start date of the instrument.
ListingEndDate | [1..1] | Date | Listing end date of the instrument.
MinimumLotMinimumExecutionSize | [1..1] | Size | Indicates the minimum quantity/nominal value tradable on the market for a security.
LastPriceInPrecedingSession | [1..1] | Price | Last execution price in a session prior to the current trading day.
LastPriceInPrecedingSessionDate | [1..1] | Date | Last execution date in a session prior to current trading day.
SettlementSystem | [1..1] | CodeSet | Settlement system type:
LastValidityDate | [1..1] | Date | Last validity date in the DDMMYYYY format.
SettlementDate | [1..1] | Date | Settlement date in the DDMMYYYY format.
ExMarkerCode | [1..1] | Alpha | The value of an Ex-Marker pertaining to a tradable instrument.
SecurityType | [1..1] | CodeSet | Type of security. Please refer to the Additional Field Values section for valid values.
CountryOfRegister | [1..1] | Alpha | Country of Register.
ExchangeMarketSize | [1..1] | UInt64 | The Exchange Market Size (EMS) is set to show the minimum size a market maker must quote in an individual security for all executable and non executable quotes.
MinimumPeakSizeMultiplier | [1..1] | Size | Used to specify the minimum size of an iceberg peak for an instrument in conjunction with EMS.
SecurityMaximumSpread | [1..1] | Price | This field informs Participants of the maximum spread allowable for an instrument when submitting quote messages, calculated as a percentage of mid-price.
ClearingType | [1..1] | CodeSet | Indicates the settlement mode of the security:
StrikePrice | [1..1] | Price | Strike Price (exercise price for warrants).
VenueUnderlyingID | [1..1] | Alpha | Venue specified instrument ID of the underlying.
UnderlyingISINCode | [1..1] | Alpha | Underlying ISIN code.
UnderlyingType | [1..1] | CodeSet | Underlying Type:
NumberOfSharesInCirculation | [1..1] | UInt64 | Indicates the number of shares which constitute the share capital. A value is set for shares only.
LeverageCertificatesBarrier | [1..1] | Size | Leverage Certificates Barrier.
OptionStyle | [1..1] | CodeSet | Instrument’s option style:
Parity | [1..1] | Size | The parity of the instrument.
ReservedField | [1..1] | Alpha | Reserved for future use.
ReservedField1 | [1..1] | Alpha | Reserved for future use.
ReservedField2 | [1..1] | Alpha | Reserved for future use.
Symbol | [1..1] | Alpha | Symbol of the instrument.
Description | [1..1] | Alpha | For Turquoise the MTF Common Symbol.

InstrumentDirectoryFixedIncome

Category: MarketData

Message Functionality

Used to disseminate reference data information of Fixed Income instruments.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x6e=Instrument Directory – Fixed Income

InstrumentDirectoryStrategies

Category: MarketData

Message Functionality

Used to disseminate reference data information of strategy (combination) instruments.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x6f=Instrument Directory – Strategies

InstrumentStatus

Category: MarketData

Message Functionality

Used to communicate scheduled and unscheduled session changes. When sent in the recovery channel, used to indicate the current trading status of an instrument.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x48=Instrument Status
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
TradingStatus | [1..1] | TradingStatusCodeSet | Please refer to the Additional Field Values section for valid values.
SessionChangeReason | [1..1] | CodeSet |
NewEndTime | [1..1] | Time | New time the session will end. The field will contain only spaces if Session Change Reason is “0” or the Session Change Reason is not present. New End Time will be in terms of the local time on the server (i.e., not UTC).
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.

MiFIDTrade

Category: MarketData

Message Functionality

Sent to represent different types of MiFID compliant trades published by markets.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x51=MiFID Trade
Timestamp | [1..1] | UDT | Message dissemination time.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
TransactionIdentificationCode | [1..1] | Alpha | A unique trade identifier. The value will be right aligned.
TradeType | [1..1] | CodeSet |
AuctionType | [1..1] | CodeSet | The value in this field is only relevant when Trade Type is 1.
MiFIDPrice | [1..1] | MiFIDDecimal | MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield.[1]
MiFIDQuantity | [1..1] | MiFIDDecimal | Number of units of the financial instrument. {DECIMAL-18/17}
TradingDateTime | [1..1] | DateTime | Date and time when the transaction was executed/agreed upon. If a trade is cancelled or amended, this field will contain the Trading Date and Time of the original trade.
InstrumentIdentificationCodeType | [1..1] | CodeSet | Instrument Identification Code Type. Only valid value will be ‘ISIN’.
InstrumentIdentificationCode | [1..1] | Alpha | Instrument identification number (ISIN code).
PriceNotation | [1..1] | CodeSet | Indicates if the price is expressed in monetary value, in percentage or yield.
PriceCurrency | [1..1] | Alpha | Currency in which the price is expressed (applicable if the price is expressed as monetary value). Currency Code as per ISO 4217. For additional currencies supported refer to the Additional Field Values section of this document.
NotionalAmount | [1..1] | MiFIDDecimal | Notional value relevant to the security. {DECIMAL-18/5} Only relevant for non-equity instruments.
NotionalCurrency | [1..1] | Alpha | Currency in which the notional amount is denominated. Only relevant for non-equity instruments.
VenueOfExecution | [1..1] | CodeSet | Identification of the venue where the transaction was executed.
PublicationDateTime | [1..1] | DateTime | Date and time when the transaction was published.
PTRefPriceWaiverFlag | [1..1] | CodeSet |
PTDeferralReasonFlag | [1..1] | CodeSet |
PTIliquidFlag | [1..1] | CodeSet |
PTAlgoTrade | [1..1] | CodeSet |
PTCancellationFlag | [1..1] | CodeSet |
PTAmendmentFlag | [1..1] | CodeSet |
TransactionToBeCleared | [1..1] | CodeSet | Indicates whether the trade will be cleared.
MeasurementUnit | [1..1] | Alpha | Notation of the quantity in Measurement Unit.
QuantityInMeasurementUnit | [1..1] | MiFIDDecimal | The quantity of the Measurement Unit for commodity derivatives.
PTTransTypeFlag | [1..1] | CodeSet | Indicates the type of transaction.
TradeQualifier | [1..1] | CodeSet |
MarketMechanism | [1..1] | CodeSet |
TradingMode | [1..1] | CodeSet |
TransactionCategory | [1..1] | CodeSet |
NegotiationIndicator | [1..1] | CodeSet |
AgencyCrossIndicator | [1..1] | CodeSet |
ModificationIndicator | [1..1] | CodeSet |
ReferencePriceIndicator | [1..1] | CodeSet |
SpecialDividendIndicator | [1..1] | CodeSet |
OffBookAutomatedIndicator | [1..1] | CodeSet |
PriceFormationIndicator | [1..1] | CodeSet |
AlgorithmicIndicator | [1..1] | CodeSet |
PostTradeDeferralReason | [1..1] | CodeSet |
DeferralEnrichmentType | [1..1] | CodeSet |
DuplicativeIndicator | [1..1] | CodeSet |

MiFIDTradeCross

Category: MarketData

Message Functionality

Sent to indicate a MiFID compliant cross trade.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x56=MiFID Trade Cross
Timestamp | [1..1] | UDT | Message dissemination time.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
TransactionIdentificationCode | [1..1] | Alpha | A unique trade identifier. The value will be right aligned.
CrossID | [1..1] | Alpha | The unique ID of the Cross/BTF Order.
CrossType | [1..1] | CodeSet | The type of the Cross/BTF Order.
MiFIDPrice | [1..1] | MiFIDDecimal | MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield.
MiFIDQuantity | [1..1] | MiFIDDecimal | Number of units of the financial instrument. {DECIMAL-18/17}
TradingDateTime | [1..1] | DateTime | Date and time when the transaction was executed/ agreed upon. If a trade is cancelled or amended, this field will contain the MiFID Trading Date and Time of the original trade.
InstrumentIdentificationCodeType | [1..1] | CodeSet | Instrument Identification Code Type. Only valid value will be ‘ISIN’.
InstrumentIdentificationCode | [1..1] | Alpha | Instrument identification number (ISIN code).
PriceNotation | [1..1] | CodeSet | Indicates if the price is expressed in monetary value, in percentage or yield.
PriceCurrency | [1..1] | Alpha | Currency in which the price is expressed (applicable if the price is expressed as monetary value).
NotionalAmount | [1..1] | MiFIDDecimal | Notional value relevant to the security. {DECIMAL-18/5} Only relevant for non-equity instruments.
NotionalCurrency | [1..1] | Alpha | Currency in which the notional amount is denominated. Only relevant for non-equity instruments.
VenueOfExecution | [1..1] | CodeSet | Identification of the venue where the transaction was executed.
PublicationDateTime | [1..1] | DateTime | Date and time when the transaction was published.
PTDeferralReasonFlag | [1..1] | CodeSet |
PTIliquidFlag | [1..1] | CodeSet |
PTAlgoTrade | [1..1] | CodeSet |
PTLiquidityFlag | [1..1] | PTLiquidityFlagCodeSet |
PTCancellationFlag | [1..1] | CodeSet |
PTAmendmentFlag | [1..1] | CodeSet |
TransactionToBeCleared | [1..1] | CodeSet | Indicates whether the trade will be cleared.
MeasurementUnit | [1..1] | Alpha | Notation of the Quantity in Measurement Unit.
QuantityInMeasurementUnit | [1..1] | MiFIDDecimal | The quantity of the Measurement Unit for commodity derivatives.
PTTradeTypeFlag | [1..1] | CodeSet | Indicates the type of transaction.
MarketMechanism | [1..1] | CodeSet |
TradingMode | [1..1] | CodeSet |
TransactionCategory | [1..1] | CodeSet |
NegotiationIndicator | [1..1] | CodeSet |
AgencyCrossIndicator | [1..1] | CodeSet |
ModificationIndicator | [1..1] | CodeSet |
ReferencePriceIndicator | [1..1] | CodeSet |
SpecialDividendIndicator | [1..1] | CodeSet |
OffBookAutomatedIndicator | [1..1] | CodeSet |
PriceFormationIndicator | [1..1] | CodeSet |
AlgorithmicIndicator | [1..1] | CodeSet |
PostTradeDeferralReason | [1..1] | CodeSet |
DeferralEnrichmentType | [1..1] | CodeSet |
DuplicativeIndicator | [1..1] | CodeSet |

MiFIDTradeReport

Category: MarketData

Message Functionality

Sent to report the MiFID compliant details of a privately negotiated trade.

Structure

Name
Mult.
Type
Description

Length
[1..1]
UInt16
Length of message including this field.

MessageType
[1..1]
CodeSet
0x54=MiFID Trade Report

Timestamp
[1..1]
UDT
Time the message was generated.

Instrument
[1..1]
UInt64
GTP Instrument Identifier. This field will be populated with 0 for Non-Exchange listed instruments

TransactionIdentificationCode
[1..1]
Alpha
A unique trade identifier. The value will be right aligned.

ReservedField
[1..1]
Alpha
Reserved for future use.

ReservedField1
[1..1]
Alpha
Reserved for future use.

SourceVenue
[1..1]
CodeSet
Please refer to the Additional Field Values section for valid values.

MiFIDPrice
[1..1]
MiFIDDecimal
MiFID compliant Price field populated using either Price or Yield. Will contain the text “PNDG” (right aligned) when there is a pending price. {DECIMAL-18/13} in case the price is expressed as monetary value. {DECIMAL-11/10} in case the price is expressed as percentage or yield.

MiFIDQuantity
[1..1]
MiFIDDecimal
Number of units of the financial instrument. {DECIMAL-18/17}

MiFIDTradingDateTime
[1..1]
DateTime
Date and time when the transaction was executed/ agreed upon. If a trade is cancelled or amended, this field will contain the MiFID Trading Date and Time of the original trade. If the Trade is Aggregated this field will be populated with a Default of 27 spaces. Applicable to Daily Aggregated Transaction Flag (DATF), FWAF (Four Week Aggregation Flag), IDAF (Indefinite Aggregation Flag), COAF (Consecutive Aggregation Flag).

InstrumentIdentificationCodeType
[1..1]
CodeSet
Instrument Identification Code Type. Only valid value will be ‘ISIN’.

InstrumentIdentificationCode
[1..1]
Alpha
Instrument identification number (ISIN code).

PriceNotation
[1..1]
CodeSet
Indicates if the price is expressed in monetary value, in percentage or yield.

PriceCurrency
[1..1]
Alpha
Currency in which the price is expressed (applicable if the price is expressed as monetary value). Currency Code as per ISO 4217. For additional currencies supported, refer to the Additional Field Values section of this document.

NotionalAmount
[1..1]
MiFIDDecimal
Notional value relevant to the security. {DECIMAL-18/5}

NotionalCurrency
[1..1]
Alpha
Currency in which the notional amount is denominated.

VenueOfExecution
[1..1]
CodeSet
Identification of the venue where the transaction was executed.

PublicationDateTime
[1..1]
DateTime
Date and time when the transaction was published.

BenchmarkTransactionFlag
[1..1]
CodeSet

AgencyCrossTradeFlag
[1..1]
CodeSet

NonPriceFormingTransactionsFlag
[1..1]
CodeSet

NonPriceContributionToDiscovery
[1..1]
NonPriceContributionToDiscoveryCodeSet

SpecialDividendFlag
[1..1]
CodeSet

PTDeferralReasonFlag
[1..1]
CodeSet

ReferencePriceTransactionFlag
[1..1]
CodeSet

NTLiquidityFlag
[1..1]
CodeSet

NTPriceConditionsFlag
[1..1]
CodeSet

AlgoTransactionFlag
[1..1]
CodeSet

PTIliquidFlag
[1..1]
CodeSet

PriceImprovementFlag
[1..1]
CodeSet

CancellationFlag
[1..1]
CodeSet

AmendmentFlag
[1..1]
CodeSet

DuplicateFlag
[1..1]
CodeSet

ExchangeForPhysicalsFlag
[1..1]
CodeSet

LimitedDetailsFlag
[1..1]
CodeSet

LDFullDetailsFlag
[1..1]
CodeSet

DailyAggregatedTransactionFlag
[1..1]
CodeSet

DAFullDetailsFlag
[1..1]
CodeSet

VolumeOmissionFlag
[1..1]
CodeSet

VOFullDetailsFlag
[1..1]
CodeSet

FourWeeksAggregationFlag
[1..1]
CodeSet

FAFullDetailsFlag
[1..1]
CodeSet

IndefiniteAggregationFlag
[1..1]
CodeSet

VolumeOmissionFlag1
[1..1]
CodeSet

ConsecutiveAggregationFlag
[1..1]
CodeSet

SecondaryPublication
[1..1]
CodeSet

VenueType
[1..1]
CodeSet
Type sent by the venue.

VenueBookDefinitionID
[1..1]
CodeSet
Book Definition ID sent by the venue.

VenueMeasurementUnitNotation
[1..1]
Alpha
Notation of the Quantity in Measurement Unit.

QuantityInMeasurementUnit
[1..1]
MiFIDDecimal
The Quantity in Measurement Unit.

TransactionToBeCleared
[1..1]
CodeSet
Identifies if the firm intends to clear the transaction. ESMA field for derivatives.

EmissionAllowanceType
[1..1]
CodeSet
Emission Allowance Type.

VenueOfPublication
[1..1]
CodeSet
Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on.

MarketMechanism
[1..1]
CodeSet

TradingMode
[1..1]
CodeSet

TransactionCategory
[1..1]
CodeSet

NegotiationIndicator
[1..1]
CodeSet

AgencyCrossIndicator
[1..1]
CodeSet

ModificationIndicator
[1..1]
CodeSet

ReferencePriceIndicator
[1..1]
CodeSet

SpecialDividendIndicator
[1..1]
CodeSet

OffBookAutomatedIndicator
[1..1]
CodeSet

PriceFormationIndicator
[1..1]
CodeSet

AlgorithmicIndicator
[1..1]
CodeSet

PostTradeDeferralReason
[1..1]
CodeSet

DeferralEnrichmentType
[1..1]
CodeSet

DuplicativeIndicator
[1..1]
CodeSet

ModifyOrder

Category: MarketData

Message Functionality

Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x55=Modify Order
Timestamp | [1..1] | UDT | Time the message was generated.
OrderID | [1..1] | Alpha | Unique identifier of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Side | [1..1] | CodeSet |
Flags | [1..1] | Component |
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
NewQuantity | [1..1] | Size | New displayed quantity of the order.
NewPrice | [1..1] | Price | New price of the order.
NewYield | [1..1] | Price | New Yield, if the instrument trades in yield.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
PreviousPrice | [1..1] | Price | Previous price of the order.
PreviousQuantity | [1..1] | Size | Previous displayed quantity of the order.
PreviousYield | [1..1] | Price | Previous Yield (if traded in yield) of the order.

OrderBookClear

Category: MarketData

Message Functionality

Sent to instruct recipients to remove all orders from the order book for the specified instrument.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x79=Order Book Clear
Timestamp | [1..1] | UDT | Time the message was generated.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.

SIQuoting

Category: MarketData

Message Functionality

Publishing Systematic Internaliser (SI) Quotes

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x47=SI Quote
Timestamp | [1..1] | UDT | Time the message was generated.
OrderID | [1..1] | Alpha | Unique identifier of the order.
Side | [1..1] | CodeSet |
Size | [1..1] | Size | Displayed Size of the order.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Price | [1..1] | Price | Limit price of the order. Implied price if instrument trades in yield.
Yield | [1..1] | Price | Yield, if the instrument trades in yield.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Participant | [1..1] | Alpha | Identity of trading participant that submitted the order.
OrderType | [1..1] | CodeSet |
Reserved | [1..1] | Alpha | Reserved field.
Currency | [1..1] | Alpha | Currency of the SI Quote price.
VenueOfPublication | [1..1] | CodeSet | Identification of the regulatory regime under which the transaction was published. The value sent by the source venue is passed on.

Statistics

Category: MarketData

Message Functionality

Contains a set of statistics that are updated frequently, usually as a result of executions.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x77=Statistics
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
Volume | [1..1] | Size4 | Cumulative volume of all trades for the trading day.
VolumeOnBookOnly | [1..1] | Size4 | Cumulative volume for the trading day excluding off-book trades.
VWAP | [1..1] | Price4 | Volume weighted average price for the day for all trades.
VWAPOnBookOnly | [1..1] | Price4 | Volume weighted average price for the day excluding off- book trades.
NumberOfTrades | [1..1] | UInt32 | Count of all trades for the day.
NumberOfTradesOnBookOnly | [1..1] | UInt32 | Count of trades for the day excluding off-book trades.
Turnover | [1..1] | Price4 | Turnover of all trades for the day.
TurnoverOnBookOnly | [1..1] | Price4 | Turnover for the day excluding off-book trades.

StatisticsSnapshot

Category: MarketData

Message Functionality

A snapshot of an instrument’s statistics that is used for recovery.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x6b=Statistics Snapshot
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Volume | [1..1] | Size4 | Cumulative volume of all trades for the trading day.
VolumeOnBookOnly | [1..1] | Size4 | Cumulative volume for the trading day excluding off-book trades.
VWAP | [1..1] | Price4 | Volume weighted average price for the day for all trades.
VWAPOnBookOnly | [1..1] | Price4 | Volume weighted average price for the day excluding off- book trades.
NumberOfTrades | [1..1] | UInt32 | Count of all trades for the day.
NumberOfTradesOnBookOnly | [1..1] | UInt32 | Count of trades for the day excluding off-book trades.
Turnover | [1..1] | Price4 | Turnover of all trades for the day.
TurnoverOnBookOnly | [1..1] | Price4 | Turnover for the day excluding off-book trades.
OfficialOpeningPrice | [1..1] | Price | Official Opening Price for the instrument. If the Opening Price is cleared manually by the venue ‘-1’ will be stamped.
OfficialClosingPrice | [1..1] | Price | Official Closing Price for the instrument. If the Closing Price is cleared manually by the venue ‘-1’ will be stamped.
TradeHighOnBookOnly | [1..1] | Price | Current trading day high price excluding off-book trades.
TradeLowOnBookOnly | [1..1] | Price | Current trading day low price excluding off-book trades.
TradeHigh | [1..1] | Price | Current trading day high price of all trades.
TradeLow | [1..1] | Price | Current trading day low price of all trades.
52WeekTradeHigh | [1..1] | Price | 52-week high price of all trades.
52WeekTradeLow | [1..1] | Price | 52-week low price of all trades.
OpeningPriceIndicator | [1..1] | Byte | Please refer to Description in Statistics Update message for valid values. This will be blank if no Opening Price is contained within the snapshot.
ClosingPrice | [1..1] | Byte | Please refer to Description in Statistics Update message for
IAUPrice | [1..1] | Price | Contains the last reported Indicative Auction Crossing Price/Yield.
IAUPairedSize | [1..1] | Size | Quantity to be matched at the last reported indicative price.
ImbalanceQuantity | [1..1] | Size | Quantity that was eligible to be matched at the indicative price but was not matched at the last indicative price.
ImbalanceDirection | [1..1] | CodeSet |
BestClosingBidPrice | [1..1] | Price | The best bid price at the time the instrument moves into closing auction session.
BestClosingAskPrice | [1..1] | Price | The best offer price at the time the instrument moves into closing auction session.
BestClosingBidSize | [1..1] | Size | The best bid size at the time the instrument moves into closing auction session.
BestClosingAskSize | [1..1] | Size | The best offer size at the time the instrument moves into closing auction session.
TradeHighOffBook | [1..1] | Price | Current trading day high price of off-book trades.
TradeLowOffBook | [1..1] | Price | Current trading day low price of off-book trades.
OpenInterest | [1..1] | Size | Total of unsettled derivatives contracts.
Volatility | [1..1] | Price | Derivatives volatility.
AuctionType | [1..1] | CodeSet |
LastTradePrice | [1..1] | Price | Executed price at which the instrument was last traded. If no relevant trades have taken place the value ‘0’ will be populated.
LastTradeQuantity | [1..1] | Size | Executed quantity of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated.
LastTradeTime | [1..1] | UDT | Transaction time of the trade which set the ‘Last Trade Price’. If no relevant trades have taken place the value ‘0’ will be populated.
StaticReferencePrice | [1..1] | Price | Reference Price as reported by the source venue.
DynamicReferencePrice | [1..1] | Price | Reference Price as reported by the source venue.

StatisticsUpdate

Category: MarketData

Message Functionality

Contains a set of statistics that are not updated frequently.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x6A=Statistics Update
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer the Additional Field Values section for valid values.
StatisticType | [1..1] | CodeSet | The statistic that is disseminated with this message instance:
StatisticPrice | [1..1] | Price | The value of price type statistics. If the Opening or Closing Price is cleared manually by the venue, ‘-1’ will be stamped. Contains the PBBO Midpoint Price when Statistic Type =18. Price should be ignored when Statistic Type = 19.
StatisticSize | [1..1] | Size | The value of size type statistics.
AuctionType | [1..1] | CodeSet | Populated if the Statistic Type is 1:
ImbalanceQuantity | [1..1] | Size | Quantity that is eligible to be matched at the indicative price but will not be matched.
AuctionInfo | [1..1] | CodeSet | Populated if the Statistic Type is 1:
OpeningClosingPriceIndicator | [1..1] | CodeSet | Populated if the Statistic Type is 2 or 3. This will be empty for the IDEM market. Please refer to the Additional Field Values section for valid values.

SystemEvent

Category: MarketData

Message Functionality

Sent to indicate the start and end of the day. For TRADEcho, recoverable to provide the trading session.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x53=System Event
Timestamp | [1..1] | UDT | Time the message was generated.
EventCode | [1..1] | CodeSet |
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. System event messages sent at SOD will contain a source venue field with a value of 13 to represent the Turquoise NYLON™ Cash Order Book.

TopOfBook

Category: MarketData

Message Functionality

Used to update the level 1 service following any change to the consolidated Best Bid and Offer.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x69=TOB
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
BidMarketSize | [1..1] | Price | Aggregated size of all bid market orders. Value will be 0 if there are no market orders.
BidLimitPrice | [1..1] | Price | Price of the best buy limit order. The Implied Bid Price for an instrument only traded on yield.
BidYield | [1..1] | Size | Yield of the best buy Limit order.
BidLimitSize | [1..1] | Size | Aggregated size of all orders at the best buy limit price.
OfferMarketSize | [1..1] | Price | Aggregated size of all offer market orders. Value will be 0 if there are no market orders.
OfferLimitPrice | [1..1] | Price | Price of the best sell limit order. Implied Offer Price for an instrument only traded on yield.
OfferYield | [1..1] | Size | Yield of the best offer Limit order.
OfferLimitSize | [1..1] | UInt8 | Aggregated size of all orders at the best sell limit price.
OrderBookType | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values.
Flags | [1..1] | Component |

Trade

Category: MarketData

Message Functionality

Sent to indicate trades executed on supported markets.

Structure

Name
Mult.
Type
Description

Length
[1..1]
UInt16
Length of message including this field.

MessageType
[1..1]
CodeSet
0x50=Trade

Timestamp
[1..1]
UDT
Time the message was generated.

TransactionTime
[1..1]
UDT
Execution timestamp as reported by the supported market. If a trade is cancelled or amended, this field will contain the transaction time of the original trade.

SourceVenue
[1..1]
CodeSet
Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.

ExecutedSize
[1..1]
Size
Total executed quantity.

Instrument
[1..1]
UInt64
GTP Instrument identifier.

Price
[1..1]
Price
Executed price. Will be set to 1 if the price is pending. Implied price if instrument is traded in yield.

Yield
[1..1]
Price
Yield at which the trade was done, if the instrument trades in yield. Blank if not.

TradeID
[1..1]
UInt64
Unique identifier of the trade.

TradeType
[1..1]
CodeSet

AuctionType
[1..1]
CodeSet
The value in this field is only relevant when Trade Type is 1:

Flags
[1..1]
Component

HiddenExecutionIndicator
[1..1]
CodeSet
For London Stock Exchange, during continuous trading and CPX session, Turquoise Lit™ Order Book 1[2] will be sent for execution of visible[hidden] quantities. For Turquoise Plato™ Order Book, it will be always set to 2 (Hidden). For London Stock Exchange Auction Trades, Turquoise Lit Auctions™ Order Book, Turquoise NYLON™ Cash Order Book, 0 will be sent indicating ‘Not Applicable’ (N/A).

TradeQualifier
[1..1]
CodeSet

TradeCross

Category: MarketData

Message Functionality

Sent to indicate a cross trade execution.

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x71=Trade Cross
Timestamp | [1..1] | UDT | Time the message was generated.
TransactionTime | [1..1] | UDT | Execution timestamp as reported by the supported market. If a trade is cancelled or amended, this field will contain the transaction time of the original trade.
SourceVenue | [1..1] | CodeSet | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values.
ExecutedSize | [1..1] | Size | Size executed.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
Price | [1..1] | Price | Executed price. Implied price if instrument is traded in yield.
Yield | [1..1] | Price | Yield at which the trade was done, if the instrument trades in yield.
TradeID | [1..1] | UInt64 | Unique identifier of the trade.
CrossID | [1..1] | Alpha | The unique ID of the Cross/BTF Order.
CrossType | [1..1] | CodeSet | The type of the Cross/BTF Order.
Flags | [1..1] | Component |

TradeSummary

Category: MarketData

Message Functionality

Publishing Trade Summaries for both Multi- and Single-Fill Trades

Structure

Name | Mult. | Type | Description
Length | [1..1] | UInt16 | Length of message including this field.
MessageType | [1..1] | CodeSet | 0x57=Trade Summary
Timestamp | [1..1] | UDT | Time the message was generated.
Instrument | [1..1] | UInt64 | GTP Instrument identifier.
SourceVenue | [1..1] | CodeSet | Please refer to the Additional Field Values section for valid values. Applicable to Source Venue London Stock Exchange and Turquoise Lit™ Order Books only.
TransactionTime | [1..1] | UDT | Execution timestamp reported by the supported Source Venue.
FarPrice | [1..1] | Price | Far price is the highest price at which volume is depleted as part of the Matching Engine event in case of an aggressing buy order, or the lowest price at which volume is depleted in case of an aggressing sell order. Determined by considering all trades in one Matching Engine event.
TotalExecutedQuantity | [1..1] | Size | Total quantity executed (visible & hidden quantity).
TotalHiddenExecutedQuantity | [1..1] | Size | Total hidden order quantity executed (hidden quantity).
DeletedOrderQuantity | [1..1] | Size | Order Quantity deleted due to Self Execution Prevention (SEP) during an execution.
Side | [1..1] | CodeSet | The side of the visible passive order(s) that triggered the trade summary.

Message Elements

Data Types

Data type
Description

Alpha
These fields use standard ASCII character bytes. They are left justified and padded on the right with spaces.

Boolean
A value with two choices: 0 or 1.

Byte
A single byte used to hold one ASCII character.

Date
Date specified in the YYYYMMDD format using ASCII characters.

DateTime
ISO 8601 date and time in the following string format:YYYY-MM- DDThh:mm:ss.ddddddZ.<br> - ‘YYYY’ is the year<br>- ‘MM’ is the month<br>- ‘DD’ is the day<br>- ‘T’ – means that the letter ‘T’ shall be used<br>- ‘hh’ is the hour<br>- ‘mm’ is the minute<br>- ‘ss.dddddd’ is the second and its fraction of a second<br>- Z is UTC time <br> Dates and times shall be reported in UTC.

MiFIDDecimal
These fields use standard ASCII character bytes to represent numeric values. They are left justified and padded on the right with spaces.<br> {DECIMAL-n/m} – Decimal number of up to ‘n’ digits in total of which up to ‘m’ digits can be fraction digits. Decimal separator is ‘.’ (Full stop). Negative numbers are prefixed with ‘-’ (minus).<br> Where applicable, values shall be rounded and not truncated.<br> The default value that is populated when there is no valid value can be ‘0’ (zero) or ‘spaces’, dependent on the upstream system. For upstream system, TRADEcho it is always ‘spaces’.

Price
Signed Little-Endian encoded 64 bit integer field with eight implied decimal places.

Price4
Signed Little-Endian encoded 64 bit integer field with four implied decimal places.

PTLiquidityFlagCodeSet

Size
Little-Endian encoded 64 bit unsigned integer with eight implied decimal places.

Size4
Little-Endian encoded 64 bit unsigned integer with four implied decimal places.

Time
Time specified in HHMMSS format using ASCII characters in a 24-hour clock format.

TradingStatusCodeSet

UDT
64 bit unsigned integer where; time stamp (in UTC) = (date time per second resolution in unix time format) * 1,000,000,000 + (nanoseconds component).

UInt16
Little-Endian encoded 16 bit unsigned integer.

UInt32
Little-Endian encoded 32 bit unsigned integer.

UInt64
Little-Endian encoded 64 bit unsigned integer.

UInt8
8 bit unsigned integer.

Data Dictionary

52WeekTradeHigh

Type: Price

Used in messages: StatisticsSnapshot

52WeekTradeLow

Type: Price

Used in messages: StatisticsSnapshot

AgencyCrossIndicator

Type: Byte

Allowed values in AgencyCrossIndicatorCodeSet:

Code | Name | Description
X | AgencyCrossTrade | Agency Cross Trade (ACTX)
- | NoAgencyCrossTrade | No Agency Cross Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

AgencyCrossTradeFlag

Type: Alpha

Allowed values in AgencyCrossTradeFlagCodeSet:

Code | Name | Description
ACTX | ACTX | ACTX

Used in messages: MiFIDTradeReport

AlgorithmicIndicator

Type: Byte

Allowed values in AlgorithmicIndicatorCodeSet:

Code | Name | Description
H | AlgorithmicTrade(ALGO) | Algorithmic Trade (ALGO)
- | NotAnAlgorithmicTrade | Not an Algorithmic Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

AlgoTransactionFlag

Type: Alpha

Allowed values in AlgoTransactionFlagCodeSet:

Code | Name | Description
ALGO | ALGO | ALGO

Used in messages: MiFIDTradeReport

All

Type: Boolean

Allowed values in AllCodeSet:

Code | Name | Description
0 | NotAllowed | Not allowed
1 | Allowed | Allowed

Used in components: AllowedBookTypes

AllowedBookTypes

Defines the order-book types that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed.

Name | Mult. | Type | Description
All | [0..1] | CodeSet | All
FirmQuoteBook | [0..1] | CodeSet | Firm Quote Book
OffBook | [0..1] | CodeSet | Off-book
ElectronicOrderBook | [0..1] | CodeSet | Electronic Order Book
PrivateRFQ | [0..1] | CodeSet | Private RFQ

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

AmendmentFlag

Type: Alpha

Allowed values in AmendmentFlagCodeSet:

Code | Name | Description
AMND | AMND | AMND

Used in messages: MiFIDTradeReport

AnnouncementType

Type: Byte

Allowed values in AnnouncementTypeCodeSet:

Code | Name | Description
0 | Regular | Regular
1 | HighPriority | High Priority
2 | LowPriority | Low Priority

Used in messages: Announcements

AskIndicativePrice

Type: Price

Used in messages: IndicativeQuoteInformation

AuctionInfo

Type: Byte

Allowed values in AuctionInfoCodeSet:

Code | Name | Description
B | BuyImbalance | Buy Imbalance
N | NoImbalance | No Imbalance
O | InsufficientOrdersForAuction | Insufficient Orders for Auction
S | SellImbalance | Sell Imbalance
M | CallMarket | Call Market (Specific to Turquoise Plato™ Order Book)

Used in messages: StatisticsUpdate

AuctionType

Type: Byte

Allowed values in AuctionTypeCodeSet:

Code | Name | Description
C | ClosingAuction | Closing Auction
O | OpeningAuction | Opening Auction
A | AESP | AESP
B | EDSP | EDSP (Specific to LSE)
E | ResumeAuction | Resume Auction
F | PeriodicAuction | Periodic Auction
L | FrequentLitAuctions | Frequent Lit Auctions

Used in messages: MiFIDTrade, StatisticsSnapshot, StatisticsUpdate, Trade

AverageDailyTurnover

Type: Price4

Used in messages: InstrumentDirectory

BenchmarkTransactionFlag

Type: Alpha

Allowed values in BenchmarkTransactionFlagCodeSet:

Code | Name | Description
BENC | BENC | BENC

Used in messages: MiFIDTradeReport

BestClosingAskPrice

Type: Price

Used in messages: StatisticsSnapshot

BestClosingAskSize

Type: Size

Used in messages: StatisticsSnapshot

BestClosingBidPrice

Type: Price

Used in messages: StatisticsSnapshot

BestClosingBidSize

Type: Size

Used in messages: StatisticsSnapshot

BidAskSpread

Type: Price

Used in messages: Analytics

BidDepth

Type: Boolean

Allowed values in BidDepthCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

BidIndicativePrice

Type: Price

Used in messages: IndicativeQuoteInformation

BidLimitPrice

Type: Price

Used in messages: TopOfBook

BidLimitSize

Type: Size

Used in messages: TopOfBook

BidMarketSize

Type: Price

Used in messages: TopOfBook

BidYield

Type: Size

Used in messages: TopOfBook

BuyLimitOrderCancellations

Type: UInt32

Used in messages: Analytics

BuyMarketOrderCancellations

Type: UInt32

Used in messages: Analytics

BuyOrderCancellations

Type: UInt32

Used in messages: Analytics

BuyOrderCount

Type: UInt32

Used in messages: Analytics

BuyOrderSize

Type: Size4

Used in messages: Analytics

CancellationFlag

Type: Alpha

Allowed values in CancellationFlagCodeSet:

Code | Name | Description
CANC | CANC | CANC

Used in messages: MiFIDTradeReport

ClearingType

Type: UInt8

Allowed values in ClearingTypeCodeSet:

Code | Name | Description
0 | NotCleared | Not Cleared
1 | Cleared | Cleared

Used in messages: InstrumentDirectoryEquities

ClosingPrice

Type: Byte

Used in messages: StatisticsSnapshot

ConsecutiveAggregationFlag

Type: Alpha

Allowed values in ConsecutiveAggregationFlagCodeSet:

Code | Name | Description
COAF | COAF | COAF

Used in messages: MiFIDTradeReport

ContinueMarker

Type: Boolean

Allowed values in ContinueMarkerCodeSet:

Code | Name | Description
0 | End | End
1 | ContinuesInNextMessage | Continues in next message

Used in components: Flags

CountryOfRegister

Type: Alpha

Used in messages: InstrumentDirectoryEquities

CrossID

Type: Alpha

Used in messages: MiFIDTradeCross, TradeCross

CrossTradeCancellation

Type: Boolean

Allowed values in CrossTradeCancellationCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

CrossTradeCorrection

Type: Boolean

Allowed values in CrossTradeCorrectionCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

CrossType

Type: UInt8

Allowed values in CrossTypeCodeSet:

Code | Name | Description
5 | InternalCross | Internal Cross
6 | InternalBTF | Internal BTF
7 | CommittedCross | Committed Cross
8 | CommittedBTF | Committed BTF

Used in messages: MiFIDTradeCross, TradeCross

Currency

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities, SIQuoting

DAFullDetailsFlag

Type: Alpha

Allowed values in DAFullDetailsFlagCodeSet:

Code | Name | Description
FULA | FULA | FULA

Used in messages: MiFIDTradeReport

DailyAggregatedTransactionFlag

Type: Alpha

Allowed values in DailyAggregatedTransactionFlagCodeSet:

Code | Name | Description
DATF | DATF | DATF

Used in messages: MiFIDTradeReport

DeferralEnrichmentType

Type: Byte

Allowed values in DeferralEnrichmentTypeCodeSet:

Code | Name | Description
1 | LMTF | LMTF
2 | DATF | DATF
3 | VOLO | VOLO
4 | FWAF | FWAF
5 | IDAF | IDAF
6 | VOLW | VOLW
7 | FULF | FULF
8 | FULA | FULA
9 | FULV | FULV
V | FULJ | FULJ
W | COAF | COAF
- | NotApplicable | Not Applicable/No Relevant Enrichment Type

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

DeletedOrderQuantity

Type: Size

Used in messages: TradeSummary

Depth

Type: UInt8

Used in messages: AddOrder, AddOrderMBP

Description

Type: Alpha

Used in messages: InstrumentDirectoryEquities

DuplicateFlag

Type: Alpha

Allowed values in DuplicateFlagCodeSet:

Code | Name | Description
DUPL | DUPL | DUPL
ORGN | ORGN | ORGN

Used in messages: MiFIDTradeReport

DuplicativeIndicator

Type: Byte

Allowed values in DuplicativeIndicatorCodeSet:

Code | Name | Description
1 | DuplicativeTradeReport | Duplicative Trade Report
- | UniqueTradeReport | Unique Trade Report

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

DynamicCircuitBreakerTolerancesPercent

Type: Price

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

DynamicReferencePrice

Type: Price

Used in messages: StatisticsSnapshot

ElectronicOrderBook

Type: Boolean

Allowed values in ElectronicOrderBookCodeSet:

Code | Name | Description
0 | NotAllowed | Not allowed
1 | Allowed | Allowed

Used in components: AllowedBookTypes

EmissionAllowanceType

Type: Alpha

Allowed values in EmissionAllowanceTypeCodeSet:

Code | Name | Description
EUAE | EuropeanUnionAllowance | European Union Allowance
CERE | CertifiedEmissionReductions | Certified Emission Reductions
ERUE | EmissionReductionUnits | Emission Reduction Units
EUAA | EuropeanUnionAviationAllowances | European Union Aviation Allowances
OTHR | Other | Other

Used in messages: MiFIDTradeReport

EndTime

Type: UDT

Used in messages: Analytics

EventCode

Type: Byte

Allowed values in EventCodeCodeSet:

Code | Name | Description
C | EndOfDay | End of Day
O | StartOfDay | Start of Day
T | StartOfOpen | Start of Open (applicable to TRADEcho only)
P | StartOfPreClose | Start of Pre Close

Used in messages: SystemEvent

ExchangeForPhysicalsFlag

Type: Alpha

Allowed values in ExchangeForPhysicalsFlagCodeSet:

Code | Name | Description
TPAC | TPAC | TPAC
XFPH | XFPH | XFPH

Used in messages: MiFIDTradeReport

ExchangeMarketSize

Type: UInt64

Used in messages: InstrumentDirectoryEquities

ExecutedSize

Type: Size

Used in messages: Trade, TradeCross

ExMarkerCode

Type: Alpha

Used in messages: InstrumentDirectoryEquities

ExpirationDate

Type: Date

Used in messages: InstrumentDirectoryEquities

FAFullDetailsFlag

Type: Alpha

Allowed values in FAFullDetailsFlagCodeSet:

Code | Name | Description
FULJ | FULJ | FULJ

Used in messages: MiFIDTradeReport

FarPrice

Type: Price

Used in messages: TradeSummary

FirmQuoteBook

Type: Boolean

Allowed values in FirmQuoteBookCodeSet:

Code | Name | Description
0 | NotAllowed | Not allowed
1 | Allowed | Allowed

Used in components: AllowedBookTypes

Flags

Defines the flags that are allowed for the instrument. Each designated bit represents a book type. ‘0’ means not allowed and ‘1’ means allowed.

Name | Mult. | Type | Description
InverseOrderBook | [0..1] | CodeSet | Inverse Order Book
PriorityFlag | [0..1] | CodeSet | Priority Flag
BidDepth | [0..1] | CodeSet | Bid Depth
OfferDepth | [0..1] | CodeSet | Offer Depth
TradeCancellation | [0..1] | CodeSet | Trade Cancellation
TradeCorrection | [0..1] | CodeSet | Trade Correction
PendingPrice | [0..1] | CodeSet | Pending Price
CrossTradeCancellation | [0..1] | CodeSet | Cross Trade Cancellation
CrossTradeCorrection | [0..1] | CodeSet | Cross Trade Correction
ContinueMarker | [0..1] | CodeSet | Continue Marker

Used in messages: Announcements, InstrumentDirectory, InstrumentDirectoryEquities, ModifyOrder, TopOfBook, Trade, TradeCross

FourWeeksAggregationFlag

Type: Alpha

Allowed values in FourWeeksAggregationFlagCodeSet:

Code | Name | Description
FWAF | FWAF | FWAF

Used in messages: MiFIDTradeReport

GroupID

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

Headline

Type: Alpha

Used in messages: Announcements

HiddenExecutionIndicator

Type: UInt8

Allowed values in HiddenExecutionIndicatorCodeSet:

Code | Name | Description
0 | NotApplicable | N/A
1 | Visible | Visible
2 | Hidden | Hidden

Used in messages: Trade

IAUPairedSize

Type: Size

Used in messages: StatisticsSnapshot

IAUPrice

Type: Price

Used in messages: StatisticsSnapshot

ImbalanceDirection

Type: Byte

Allowed values in ImbalanceDirectionCodeSet:

Code | Name | Description
B | BuyImbalance | Buy Imbalance
N | NoImbalance | No Imbalance
O | InsufficientOrdersForAuction | Insufficient Orders for Auction
S | SellImbalance | Sell Imbalance

Used in messages: StatisticsSnapshot

ImbalanceQuantity

Type: Size

Used in messages: StatisticsSnapshot, StatisticsUpdate

IndefiniteAggregationFlag

Type: Alpha

Allowed values in IndefiniteAggregationFlagCodeSet:

Code | Name | Description
IDAF | IDAF | IDAF

Used in messages: MiFIDTradeReport

IndexCode

Type: Alpha

Used in messages: FTSERussellIndicesUpdate

IndexStatus

Type: Alpha

Allowed values in IndexStatusCodeSet:

Code | Name | Description
N | Normal | Normal
I | Indicative | Indicative
H | Held | Held
C | Closed | Closed
K | PartCalculatedValue | Part Calculated Value
P | PreMarket | Pre Market

Used in messages: FTSERussellIndicesUpdate

IndexTime

Type: Time

Used in messages: FTSERussellIndicesUpdate

IndexValue

Type: Price

Used in messages: FTSERussellIndicesUpdate

Instrument

Type: UInt64

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, Analytics, DeleteOrder, InstrumentDirectory, InstrumentDirectoryEquities, InstrumentStatus, MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport, ModifyOrder, OrderBookClear, SIQuoting, Statistics, StatisticsSnapshot, StatisticsUpdate, TopOfBook, Trade, TradeCross, TradeSummary

InstrumentID

Type: Alpha

Used in messages: IndicativeQuoteInformation

InstrumentIdentificationCode

Type: Alpha

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

InstrumentIdentificationCodeType

Type: Alpha

Allowed values in InstrumentIdentificationCodeTypeCodeSet:

Code | Name | Description
ISIN | InternationalSecuritiesIdentificationNumber | International Securities Identification Number
OTHR | ApplicableToStrategyInstruments | Applicable to strategy instruments, specific to IDEM Market

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

Instruments

Type: Alpha

Used in messages: Announcements

InverseOrderBook

Type: Boolean

Allowed values in InverseOrderBookCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

ISIN

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

LastPriceInPrecedingSession

Type: Price

Used in messages: InstrumentDirectoryEquities

LastPriceInPrecedingSessionDate

Type: Date

Used in messages: InstrumentDirectoryEquities

LastTradePrice

Type: Price

Used in messages: StatisticsSnapshot

LastTradeQuantity

Type: Size

Used in messages: StatisticsSnapshot

LastTradeTime

Type: UDT

Used in messages: StatisticsSnapshot

LastValidityDate

Type: Date

Used in messages: InstrumentDirectoryEquities

LDFullDetailsFlag

Type: Alpha

Allowed values in LDFullDetailsFlagCodeSet:

Code | Name | Description
FULF | FULF | FULF

Used in messages: MiFIDTradeReport

Length

Type: UInt16

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, AddOrderShort, AddOrderShortMBP, Analytics, Announcements, DeleteOrder, FTSERussellIndicesUpdate, IndicativeQuoteInformation, InstrumentDirectory, InstrumentDirectoryDerivatives, InstrumentDirectoryEquities, InstrumentDirectoryFixedIncome, InstrumentDirectoryStrategies, InstrumentStatus, MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport, ModifyOrder, OrderBookClear, SIQuoting, Statistics, StatisticsSnapshot, StatisticsUpdate, SystemEvent, TopOfBook, Trade, TradeCross, TradeSummary

LeverageCertificatesBarrier

Type: Size

Used in messages: InstrumentDirectoryEquities

LimitedDetailsFlag

Type: Alpha

Allowed values in LimitedDetailsFlagCodeSet:

Code | Name | Description
LMTF | LMTF | LMTF

Used in messages: MiFIDTradeReport

ListingEndDate

Type: Date

Used in messages: InstrumentDirectoryEquities

ListingStartDate

Type: Date

Used in messages: InstrumentDirectoryEquities

MarketMechanism

Type: Byte

Allowed values in MarketMechanismCodeSet:

Code | Name | Description
1 | CentralLimitOrderBook | Central Limit Order Book
2 | QuoteDrivenMarket | Quote Driven Market
3 | DarkOrderBook | Dark Order Book
4 | OffBook | Off Book
5 | PeriodicAuction | Periodic Auction
6 | RequestforAuction | Request for Auction
7 | AnyOtherIncludingHybrid | Any Other, Including Hybrid

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

MeasurementUnit

Type: Alpha

Used in messages: MiFIDTrade, MiFIDTradeCross

MessageType

Type: Byte

Allowed values in MessageTypeCodeSet:

Code | Name | Description
- | Heartbeat | Used by the server, on the real-time service, to exercise the communication line during periods of inactivity.
(soh) | LoginRequest | Used by the client to log in to the replay or recovery channel.
(stx) | LoginResponse | Used by the server to accept or reject a login request to the replay or recovery channel.
(etx) | ReplayRequest | Used by the client to request a retransmission of messages on the replay channel.
(eot) | ReplayResponse | Used by the server to respond to a retransmission request on the replay channel.
• | RecoveryRequest | Used by the client to request data on the recovery channel.
‚ | RecoveryResponse | Used by the server to respond to a snapshot request on the Snapshot channel.
ƒ | ReplayAndRecoveryComplete | Used by the server to indicate the successful completion of servicing a message replay or a recovery request.
S | SystemEvent | Sent to indicate the start and end of the day. For TRADEcho, recoverable to provide the trading session.
p | InstrumentDirectory | Used to disseminate a common and limited set of data for all configured instrument types (except strategy instruments) on the real-time channels.
R | InstrumentDirectoryEquities | Used to disseminate reference data information of equity instruments.
v | InstrumentDirectoryDerivatives | Used to disseminate reference data information of derivative instruments.
n | InstrumentDirectoryFixedIncome | Used to disseminate reference data information of Fixed Income instruments.
o | InstrumentDirectoryStrategies | Used to disseminate reference data information of strategy (combination) instruments.
H | InstrumentStatus | Used to communicate scheduled and unscheduled session changes. When sent in the recovery channel, used to indicate the current trading status of an instrument.
A | AddOrder | Indicates the first order of a given side of an MBO snapshot.
e | AddOrderShort | Used to indicate individual orders of an MBO snapshot.
f | AddOrderMBP | Indicates the first price point of a given side of an MBP snapshot.
g | AddOrderShortMBP | Used to indicate individual price points of an MBP snapshot.
F | AddOrderIncremental | Sent to instruct recipients to add a new displayable order to the retrospective order book.
D | DeleteOrder | Sent to instruct recipients to delete an order from the retrospective order book.
U | ModifyOrder | Sent to instruct recipients to update an order’s price and/or size on the retrospective order book.
i | TopOfBook | Used to update the level 1 service following any change to the consolidated Best Bid and Offer.
y | OrderBookClear | Sent to instruct recipients to remove all orders from the order book for the specified instrument.
P | Trade | Sent to indicate trades executed on supported markets.
q | TradeCross | Sent to indicate a cross trade execution.
w | Statistics | Contains a set of statistics that are updated frequently, usually as a result of executions.
j | StatisticsUpdate | Contains a set of statistics that are not updated frequently.
k | StatisticsSnapshot | A snapshot of an instrument’s statistics that is used for recovery.
l | FTSERussellIndicesUpdate | Used to redistribute index values for a set of FTSE Russell indices.
u | Announcements | Used to disseminate announcements.
Ç | IndicativeQuoteInformation | Indicates the simple average of the bid and ask of a Request for Quote (RFQ) session.
Q | MiFIDTrade | Sent to represent different types of MiFID compliant trades published by markets.
T | MiFIDTradeReport | Sent to report the MiFID compliant details of a privately negotiated trade.
V | MiFIDTradeCross | Sent to indicate a MiFID compliant cross trade.
G | SIQuoting | Publishing Systematic Internaliser (SI) Quotes
W | TradeSummary | Publishing Trade Summaries for both Multi- and Single-Fill Trades
a | Analytics | Analytics Message is used to disseminate additional statistics including order book activity statistics.

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, AddOrderShort, AddOrderShortMBP, Analytics, Announcements, DeleteOrder, FTSERussellIndicesUpdate, IndicativeQuoteInformation, InstrumentDirectory, InstrumentDirectoryDerivatives, InstrumentDirectoryEquities, InstrumentDirectoryFixedIncome, InstrumentDirectoryStrategies, InstrumentStatus, MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport, ModifyOrder, OrderBookClear, SIQuoting, Statistics, StatisticsSnapshot, StatisticsUpdate, SystemEvent, TopOfBook, Trade, TradeCross, TradeSummary

MiFIDPrice

Type: MiFIDDecimal

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

MiFIDQuantity

Type: MiFIDDecimal

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

MiFIDTradingDateTime

Type: DateTime

Used in messages: MiFIDTradeReport

MinimumLotMinimumExecutionSize

Type: Size

Used in messages: InstrumentDirectoryEquities

MinimumPeakSizeMultiplier

Type: Size

Used in messages: InstrumentDirectoryEquities

ModificationIndicator

Type: Byte

Allowed values in ModificationIndicatorCodeSet:

Code | Name | Description
C | TradeCancellation | Trade Cancellation (CANC)
A | TradeAmendment | Trade Amendment (AMND)
- | NewTrade | New Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

NegotiationIndicator

Type: Byte

Allowed values in NegotiationIndicatorCodeSet:

Code | Name | Description
N | NegotiatedTrade | Negotiated Trade
1 | NegotiatedTradeInLiquidFinancialInstruments | Negotiated Trade in Liquid Financial Instruments (NLIQ)
2 | NegotiatedTradeInIlliquidFinancialInstruments | Negotiated Trade in Illiquid Financial Instruments (OILQ)
3 | NegotiatedTradeSubjectToConditionsOtherThanCurrentMarketPrice | Negotiated Trade Subject to Conditions Other than the Current Market Price (PRIC)
- | NotANegotiatedTrade | Not a Negotiated Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

NetChangePreviousDay

Type: Price

Used in messages: FTSERussellIndicesUpdate

NewEndTime

Type: Time

Used in messages: InstrumentStatus

NewPrice

Type: Price

Used in messages: ModifyOrder

NewQuantity

Type: Size

Used in messages: ModifyOrder

NewYield

Type: Price

Used in messages: ModifyOrder

NonPriceContributionToDiscovery

Type: NonPriceContributionToDiscoveryCodeSet

Used in messages: MiFIDTradeReport

NonPriceFormingTransactionsFlag

Type: Alpha

Allowed values in NonPriceFormingTransactionsFlagCodeSet:

Code | Name | Description
NPFT | NPFT | NPFT

Used in messages: MiFIDTradeReport

NotionalAmount

Type: MiFIDDecimal

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

NotionalCurrency

Type: Alpha

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

NTLiquidityFlag

Type: Alpha

Allowed values in NTLiquidityFlagCodeSet:

Code | Name | Description
NLIQ | NLIQ | NLIQ
OILQ | OILQ | OILQ

Used in messages: MiFIDTradeReport

NTPriceConditionsFlag

Type: Alpha

Allowed values in NTPriceConditionsFlagCodeSet:

Code | Name | Description
PRIC | PRIC | PRIC

Used in messages: MiFIDTradeReport

NumberOfSharesInCirculation

Type: UInt64

Used in messages: InstrumentDirectoryEquities

NumberOfTrades

Type: UInt32

Used in messages: Statistics, StatisticsSnapshot

NumberOfTradesOnBookOnly

Type: UInt32

Used in messages: Statistics, StatisticsSnapshot

OffBook

Type: Boolean

Allowed values in OffBookCodeSet:

Code | Name | Description
0 | NotAllowed | Not allowed
1 | Allowed | Allowed

Used in components: AllowedBookTypes

OffBookAutomatedIndicator

Type: Byte

Allowed values in OffBookAutomatedIndicatorCodeSet:

Code | Name | Description
M | OffBookNonAutomated | Off Book Non-Automated
Q | OffBookAutomated | Off Book Automated
- | UnspecifiedOrDoesNotApply | Unspecified or does not apply

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

OfferDepth

Type: Boolean

Allowed values in OfferDepthCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

OfferLimitPrice

Type: Price

Used in messages: TopOfBook

OfferLimitSize

Type: UInt8

Used in messages: TopOfBook

OfferMarketSize

Type: Price

Used in messages: TopOfBook

OfferYield

Type: Size

Used in messages: TopOfBook

OfficialClosingPrice

Type: Price

Used in messages: StatisticsSnapshot

OfficialOpeningPrice

Type: Price

Used in messages: StatisticsSnapshot

OpeningClosingPriceIndicator

Type: Alpha

Allowed values in OpeningClosingPriceIndicatorCodeSet:

Code | Name | Description
A | UT | UT
B | AT | AT
C | MidOfBBO | Mid of BBO
D | LastAT | Last AT
E | LastUT | Last UT
F | Manual | Manual
H | VWAPnMins | VWAP n mins (not required for London Stock Exchange)
I | PreviousClose | Previous Close
i | NormalHoursClosingPrice | Normal Hours Closing Price

Used in messages: StatisticsUpdate

OpeningPriceIndicator

Type: Byte

Used in messages: StatisticsSnapshot

OpenInterest

Type: Size

Used in messages: StatisticsSnapshot

OptionStyle

Type: Byte

Allowed values in OptionStyleCodeSet:

Code | Name | Description
E | European | European option style
A | American | American option style
P | Periodic | Periodic option style

Used in messages: InstrumentDirectoryEquities

OrderBookType

Type: Alpha

Allowed values in OrderBookTypeCodeSet:

Code | Name | Description
0 | AllBooks | All Books
1 | FirmQuote | Firm Quote
2 | OffBook | Off-book
3 | Electronic | Electronic
4 | PrivateRFQ | Private RFQ

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, DeleteOrder, InstrumentStatus, ModifyOrder, OrderBookClear, SIQuoting, TopOfBook

OrderID

Type: Alpha

Used in messages: AddOrder, AddOrderIncremental, AddOrderShort, DeleteOrder, ModifyOrder, SIQuoting

OrderType

Type: UInt8

Allowed values in OrderTypeCodeSet:

Code | Name | Description
0 | LimitOrderFirmQuote | Limit Order/Firm Quote (default)
1 | MarketOrder | Market Order
2 | ImpliedOrder | Implied Order
3 | NamedLimit | Named Limit
4 | NamedMarket | Named Market
5 | ExecutableQuotes | Executable Quotes

Used in messages: AddOrderIncremental, SIQuoting

Parity

Type: Size

Used in messages: InstrumentDirectoryEquities

Participant

Type: Alpha

Used in messages: AddOrder, AddOrderIncremental, AddOrderShort, SIQuoting

PendingPrice

Type: Boolean

Allowed values in PendingPriceCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

PostTradeDeferralReason

Type: Byte

Allowed values in PostTradeDeferralReasonCodeSet:

Code | Name | Description
2 | DeferralForLargeInScale | Non-Immediate Publication: Deferral for Large in Scale” (LRGS)
3 | DeferralForIlliquidInstrument | Non-Immediate Publication: Deferral for “Illiquid Instrument” (ILQD)
4 | DeferralForSizeSpecific | Non-Immediate Publication: Deferral for “Size Specific” (SIZE)
5 | DeferralsOfIlliquidAndSize | Non-Immediate Publication: Deferrals of “ILQD” and “SIZE”
6 | DeferralsOfIlliquidAndLargeInScale | Non-Immediate Publication: Deferrals of “ILQD” and “LRGS”
- | ImmediatePublication | Immediate Publication

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PreviousDayClosingPrice

Type: Price

Used in messages: InstrumentDirectoryEquities

PreviousPrice

Type: Price

Used in messages: DeleteOrder, ModifyOrder

PreviousQuantity

Type: Size

Used in messages: DeleteOrder, ModifyOrder

PreviousYield

Type: Price

Used in messages: DeleteOrder, ModifyOrder

Price

Type: Price

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, AddOrderShort, AddOrderShortMBP, SIQuoting, Trade, TradeCross

PriceBandTolerancesPercent

Type: Price

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

PriceCurrency

Type: Alpha

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PriceFormationIndicator

Type: Byte

Allowed values in PriceFormationIndicatorCodeSet:

Code | Name | Description
P | PlainVanillaTrade | Plain-Vanilla Trade
T | NonPriceFormingTrade | Non-Price Forming Trade (NPFT)
J | TradeNotContributingToPriceDiscovery | Trade not Contributing to Price Discovery (TNCP)
N | PendingPrice | Pending Price

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PriceImprovementFlag

Type: Alpha

Allowed values in PriceImprovementFlagCodeSet:

Code | Name | Description
RPRI | RPRI | RPRI

Used in messages: MiFIDTradeReport

PriceNotation

Type: Alpha

Allowed values in PriceNotationCodeSet:

Code | Name | Description
MONE | Monetaryvalue | Monetary value
PERC | Percentage | Percentage
YIEL | Yield | Yield
BAPO | BasisPoints | Basis Points

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PriorityFlag

Type: Boolean

Allowed values in PriorityFlagCodeSet:

Code | Name | Description
0 | PriorityLost | Priority Lost
1 | PriorityRetained | Priority Retained

Used in components: Flags

PrivateRFQ

Type: Boolean

Allowed values in PrivateRFQCodeSet:

Code | Name | Description
0 | NotAllowed | Not allowed
1 | Allowed | Allowed

Used in components: AllowedBookTypes

PTAlgoTrade

Type: Alpha

Allowed values in PTAlgoTradeCodeSet:

Code | Name | Description
ALGO5 | ALGO5 | ALGO5

Used in messages: MiFIDTrade, MiFIDTradeCross

PTAmendmentFlag

Type: Alpha

Allowed values in PTAmendmentFlagCodeSet:

Code | Name | Description
AMND | AMND | AMND

Used in messages: MiFIDTrade, MiFIDTradeCross

PTCancellationFlag

Type: Alpha

Allowed values in PTCancellationFlagCodeSet:

Code | Name | Description
CANC | CANC | CANC

Used in messages: MiFIDTrade, MiFIDTradeCross

PTDeferralReasonFlag

Type: Alpha

Allowed values in PTDeferralReasonFlagCodeSet:

Code | Name | Description
SIZE | SIZE | SIZE
LRGS | LRGS | LRGS

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PTIliquidFlag

Type: Alpha

Allowed values in PTIliquidFlagCodeSet:

Code | Name | Description
ILQD | ILQD | ILQD

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

PTLiquidityFlag

Type: PTLiquidityFlagCodeSet

Used in messages: MiFIDTradeCross

PTRefPriceWaiverFlag

Type: Alpha

Allowed values in PTRefPriceWaiverFlagCodeSet:

Code | Name | Description
RFPT | RFPT | RFPT

Used in messages: MiFIDTrade

PTTradeTypeFlag

Type: Alpha

Allowed values in PTTradeTypeFlagCodeSet:

Code | Name | Description
TPAC | PackageTransaction | Package Transaction
XFPH | ExchangeForPhysicalTransaction | Exchange for Physical Transaction

Used in messages: MiFIDTradeCross

PTTransTypeFlag

Type: Alpha

Allowed values in PTTransTypeFlagCodeSet:

Code | Name | Description
TPAC | PackageTransaction | Package Transaction
XFPH | ExchangeForPhysicalTransaction | Exchange for Physical Transaction

Used in messages: MiFIDTrade

PublicationDateTime

Type: DateTime

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

QuantityInMeasurementUnit

Type: MiFIDDecimal

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

ReferencePriceIndicator

Type: Byte

Allowed values in ReferencePriceIndicatorCodeSet:

Code | Name | Description
B | BenchmarkTrade | Benchmark Trade (BENC)
S | ReferencePriceTrade | Reference Price Trade (RFPT)
- | NotAReferencePriceTrade | Not a Reference Price Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

ReferencePriceTransactionFlag

Type: Alpha

Allowed values in ReferencePriceTransactionFlagCodeSet:

Code | Name | Description
RFPT | RFPT | RFPT

Used in messages: MiFIDTradeReport

Reserved

Type: Alpha

Used in messages: SIQuoting

ReservedField

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities, MiFIDTradeReport

ReservedField1

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities, MiFIDTradeReport

ReservedField2

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

ReservedField3

Type: Alpha

Used in messages: InstrumentDirectory

ReservedField4

Type: Alpha

Used in messages: InstrumentDirectory

RFQID

Type: Alpha

Used in messages: AddOrderIncremental, IndicativeQuoteInformation

SecondaryPublication

Type: UInt8

Allowed values in SecondaryPublicationCodeSet:

Code | Name | Description
0 | FirstTimePublication | First time publication (default)
1 | SecondaryPublication | Secondary publication

Used in messages: MiFIDTradeReport

SecurityMaximumSpread

Type: Price

Used in messages: InstrumentDirectoryEquities

SecuritySubtype

Type: UInt8

Used in messages: InstrumentDirectoryEquities

SecurityType

Type: Alpha

Allowed values in SecurityTypeCodeSet:

Code | Name | Description
1 | InternationalEquity | International Equity. Non-bond
10 | TradableActiveFund | Tradable Active Fund. Non-bond
11 | TradableCommodities | Tradable Commodities. Non-bond
12 | TradableInRegulatedSegment | Tradable in Regulated Segment. Non-bond
13 | TradableFund | Tradable Fund. Non-bond
15 | FixedRate | Fixed Rate. Bond
16 | FloatingRate | Floating Rate. Bond
17 | ZeroCoupon | Zero Coupon. Bond
18 | OneCoupon | One Coupon. Bond
19 | MultiCoupon | Multi Coupon. Bond
2 | ItalianEquity | Italian Equity. Non-bond
20 | Reverse | Reverse. Bond
21 | StepCoupon | Step Coupon. Bond
22 | LeverageProductsCoveredWarrantCall | Leverage Products – Covered Warrant (call). Non-bond
23 | LeveragedProductsCoveredWarrantPut | Leveraged Products – Covered Warrant (put). Non-bond
24 | LeveragedProductsBull | Leveraged Products – Bull. Non-bond
25 | LeveragedProductsBear | Leveraged Products – Bear. Non-bond
26 | LeveragedProductsExotic | Leveraged Products – Exotic. Non-bond
27 | InvestmentProducts | Investment Products. Non-bond
3 | ForeignShare | Foreign Share. Non-bond
37 | AutomatedInputFacilityNotification | Automated Input Facility Notification. Non-bond
38 | AllotmentLetters | Allotment Letters. Non-bond
39 | BondsBD | Bonds. Bond
4 | ConvertibleBond | Convertible Bond. Bond
40 | Bulldogs | Bulldogs. Non-bond
41 | BondsBO | Bonds. Non-bond
42 | CommercialPaper | Commercial Paper. Non-bond
43 | CoveredWarrants | Covered Warrants. Non-bond
44 | Debenture | Debenture. Bond
45 | UKEquity | UK Equity. Non-bond
46 | DepositReceipts | Deposit Receipts. Non-bond
47 | EquityWarrants | Equity Warrants. Non-bond
48 | ForeignGovernmentBonds | Foreign Government Bonds. Bond
49 | FinancialCertificates | Financial Certificates. Non-bond
5 | Right | Right. Non-bond
50 | FullyPaidLetter | Fully Paid Letter. Non-bond
51 | ForeignUnitTrusts | Foreign Unit Trusts. Non-bond
52 | FundUnits | Fund Units. Non-bond
53 | Gilts | Gilts. Bond
54 | GiltWarrants | Gilt Warrants. Non-bond
55 | KrugerRandGroup | Kruger Rand Group. Non-bond
56 | LoanStock | Loan Stock. Bond
57 | MediumTermLoans | Medium Term Loans. Bond
58 | NewsAnnouncement | News Announcement. Non-bond
59 | NilPaidLetter | Nil Paid Letter. Non-bond
6 | Warrant | Warrant. Non-bond
60 | ProvisionalJSEOrdinaryShare | Provisional JSE Ordinary Share. Non-bond
61 | PrimaryCapitalCertificates | Primary Capital Certificates. Non-bond
62 | PartiallyPaidLetter | Partially Paid Letter. Non-bond
63 | PortfolioNotification | Portfolio Notification. Non-bond
64 | PreferenceShares | Preference Shares. Non-bond
66 | PackageUnits | Package Units. Non-bond
67 | Rights | Rights. Non-bond
68 | Share | Share. Non-bond
69 | StructuredProducts | Structured Products. Non-bond
7 | ClosedEndFund | Closed End Fund. Non-bond
70 | StapledUnit | Stapled Unit. Non-bond
71 | UnitTrust | Unit Trust. Non-bond
72 | Warrants | Warrants. Non-bond
73 | ZeroCouponCommercialPaper | Zero Coupon Commercial Paper. Non-bond
75 | ProfessionalSegment | Professional Segment. Bond
76 | ExchangeTradedCurrency | Exchange Traded Currency. Non-bond
77 | Equity | Equity. Non-bond
78 | ExchangeTradedCommodity | Exchange Traded Commodity. Non-bond

Used in messages: InstrumentDirectoryEquities

SEDOL

Type: Alpha

Used in messages: InstrumentDirectoryEquities

SellLimitOrderCancellations

Type: UInt32

Used in messages: Analytics

SellMarketOrderCancellations

Type: UInt32

Used in messages: Analytics

SellOrderCancellations

Type: UInt32

Used in messages: Analytics

SellOrderCount

Type: UInt32

Used in messages: Analytics

SellOrderSize

Type: Size4

Used in messages: Analytics

SessionChangeReason

Type: UInt8

Allowed values in SessionChangeReasonCodeSet:

Code | Name | Description
0 | ScheduledTransition | Scheduled Transition
1 | ExtendedbyMarketOps | Extended by Market Ops
2 | ShortenedbyMarketOps | Shortened by Market Ops
3 | MarketOrderImbalance | Market Order Imbalance
4 | PriceOutsideRange | Price Outside Range
5 | CircuitBreakerTripped | AESP/Circuit Breaker Tripped
9 | Unavailable | Unavailable

Used in messages: InstrumentStatus

SettlementDate

Type: Date

Used in messages: InstrumentDirectoryEquities

SettlementSystem

Type: UInt8

Allowed values in SettlementSystemCodeSet:

Code | Name | Description
1 | RRG | RRG
2 | ExpressI | Express I
3 | ExpressII | Express II
4 | Clearstream | Clear stream
5 | UndefinedValue | Undefined Value
6 | T2S | T2S

Used in messages: InstrumentDirectoryEquities

Side

Type: Byte

Allowed values in SideCodeSet:

Code | Name | Description
B | BuyOrder | Buy Order
S | SellOrder | Sell Order

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, DeleteOrder, ModifyOrder, SIQuoting, TradeSummary

Size

Type: Size

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, AddOrderShort, AddOrderShortMBP, SIQuoting

SourceVenue

Type: UInt16

Allowed values in SourceVenueCodeSet:

Code | Name | Description
1 | LondonStockExchange | London Stock Exchange
11 | TRADEcho | TRADEcho
12 | TurquoisePlatoLitAuctionsOrderBookTGHL | Turquoise Plato Lit Auctions Order Book (TGHL)
13 | TurquoiseNYLONCashOrderBook | Turquoise NYLON Cash Order Book
14 | TurquoiseLitOrderBookTGHE | Turquoise Lit Order Book (TGHE)
15 | TurquoisePlatoOrderBookTGHE | Turquoise Plato Order Book (TGHE)
16 | TurquoisePlatoLitAuctionsOrderBookTGHE | Turquoise Plato Lit Auctions Order Book (TGHE)
5 | TurquoiseLitOrderBookTGHL | Turquoise Lit Order Book (TGHL)
6 | TurquoisePlatoOrderBookTGHL | Turquoise Plato Order Book (TGHL)

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, Analytics, DeleteOrder, IndicativeQuoteInformation, InstrumentDirectory, InstrumentDirectoryEquities, InstrumentStatus, MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport, ModifyOrder, OrderBookClear, SIQuoting, Statistics, StatisticsSnapshot, StatisticsUpdate, SystemEvent, TopOfBook, Trade, TradeCross, TradeSummary

SpecialDividendFlag

Type: Alpha

Allowed values in SpecialDividendFlagCodeSet:

Code | Name | Description
SDIV | SDIV | SDIV

Used in messages: MiFIDTradeReport

SpecialDividendIndicator

Type: Byte

Allowed values in SpecialDividendIndicatorCodeSet:

Code | Name | Description
E | SpecialDividendTrade | Special Dividend Trade (SDIV)
- | NoSpecialDividendTrade | No Special Dividend Trade

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

Splits

Type: UInt16

Used in messages: AddOrderMBP, AddOrderShortMBP

StartTime

Type: UDT

Used in messages: Analytics

StaticCircuitBreakerTolerancesPercent

Type: Price

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

StaticReferencePrice

Type: Price

Used in messages: StatisticsSnapshot

StatisticPrice

Type: Price

Used in messages: StatisticsUpdate

StatisticSize

Type: Size

Used in messages: StatisticsUpdate

StatisticType

Type: UInt16

Allowed values in StatisticTypeCodeSet:

Code | Name | Description
1 | IndicativeAuctionUncrossingData | Indicative Auction Uncrossing Data
2 | OfficialOpeningPrice | Official Opening Price
3 | OfficialClosingPrice | Official Closing Price
4 | TradeHighOnBook | Trade High On-Book
5 | TradeLowOnBook | Trade Low On-Book
6 | TradeHighAllTrades | Trade High All Trades
7 | TradeLowAllTrades | Trade Low All Trades
8 | 52WeekTradeHighAllTrades | 52-week Trade High All Trades
9 | 52WeekTradeLowAllTrades | 52-week Trade Low All Trades
10 | BestClosingBid | Best Closing Bid
11 | BestClosingAsk | Best Closing Ask
12 | TradeHighOffBook | Trade High Off-Book
13 | TradeLowOffBook | Trade Low Off-Book
14 | OpenInterest | Open Interest
15 | Volatility | Volatility
16 | StaticReferencePrice | Static Reference Price
17 | DynamicReferencePrice | Dynamic Reference Price
18 | PBBOMidpointPriceWFMCshavePassed | PBBO Midpoint Price – WFMCs have Passed
19 | Bookmark | Bookmark

Used in messages: StatisticsUpdate

StrikePrice

Type: Price

Used in messages: InstrumentDirectoryEquities

Symbol

Type: Alpha

Used in messages: InstrumentDirectoryEquities

Text

Type: Alpha

Used in messages: Announcements

TickID

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

Timestamp

Type: UDT

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, Analytics, Announcements, DeleteOrder, FTSERussellIndicesUpdate, IndicativeQuoteInformation, InstrumentDirectory, InstrumentDirectoryEquities, InstrumentStatus, MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport, ModifyOrder, OrderBookClear, SIQuoting, Statistics, StatisticsSnapshot, StatisticsUpdate, SystemEvent, TopOfBook, Trade, TradeCross, TradeSummary

TotalExecutedQuantity

Type: Size

Used in messages: TradeSummary

TotalHiddenExecutedQuantity

Type: Size

Used in messages: TradeSummary

TotalReturnValue

Type: Price

Used in messages: FTSERussellIndicesUpdate

TradeCancellation

Type: Boolean

Allowed values in TradeCancellationCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

TradeCorrection

Type: Boolean

Allowed values in TradeCorrectionCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in components: Flags

TradeHigh

Type: Price

Used in messages: StatisticsSnapshot

TradeHighOffBook

Type: Price

Used in messages: StatisticsSnapshot

TradeHighOnBookOnly

Type: Price

Used in messages: StatisticsSnapshot

TradeID

Type: UInt64

Used in messages: Trade, TradeCross

TradeLow

Type: Price

Used in messages: StatisticsSnapshot

TradeLowOffBook

Type: Price

Used in messages: StatisticsSnapshot

TradeLowOnBookOnly

Type: Price

Used in messages: StatisticsSnapshot

TradeQualifier

Type: Byte

Allowed values in TradeQualifierCodeSet:

Code | Name | Description
Space | NotApplicable | N/A
C | ClosingPriceCross | Closing Price Cross (CPX)
T | TradeAtLast | Trade at Last (TAL)

Used in messages: MiFIDTrade, Trade

TradeType

Type: UInt8

Allowed values in TradeTypeCodeSet:

Code | Name | Description
0 | RegularOrContinuousTrade | Regular (or Continuous) Trade
1 | AuctionTradeBulk | Auction Trade – Bulk
2 | AuctionTradeIndividual | Auction Trade – Individual
8 | Reserve | Reserve
9 | TradeCancellation | Trade Cancellation
11 | TradeCorrection | Trade Correction
22 | RFQTrade | RFQ Trade
23 | RFQTradeCancellation | RFQ Trade Cancellation
24 | RFQTradeCorrection | RFQ Trade Correction

Used in messages: MiFIDTrade, Trade

TradingDateTime

Type: DateTime

Used in messages: MiFIDTrade, MiFIDTradeCross

TradingMode

Type: Byte

Allowed values in TradingModeCodeSet:

Code | Name | Description
1 | UndefinedAuction | Undefined Auction
O | ScheduledOpeningAuction | Scheduled Opening Auction
K | ScheduledClosingAuction | Scheduled Closing Auction
I | ScheduledIntradayAuction | Scheduled Intraday Auction
U | UnscheduledAuction | Unscheduled Auction
2 | ContinuousTrading | Continuous Trading
3 | AtMarketCloseTrading | At Market Close Trading
4 | OutOfMainSessionTrading | Out of Main Session Trading
5 | TradeReportingOnExchange | Trade Reporting (On Exchange)
6 | TradeReportingOffExchange | Trade Reporting (Off Exchange)
7 | TradeReportingSystemicInternaliser | Trade Reporting (Systemic Internaliser)

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

TradingStatus

Type: TradingStatusCodeSet

Used in messages: InstrumentStatus

TransactionCategory

Type: Byte

Allowed values in TransactionCategoryCodeSet:

Code | Name | Description
D | DarkTrade | Dark Trade
R | TradeThatHasReceivedPriceImprovement | Trade that has Received Price Improvement (RPRI)
Z | PackageTradeExcludingExchangeForPhysicals | Package Trade, excluding Exchange for Physicals (TPAC)
Y | ExchangeForPhysicalsTrade | Exchange for Physicals Trade (XFPH)
- | NoneApply | None apply

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

TransactionIdentificationCode

Type: Alpha

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

TransactionTime

Type: UDT

Used in messages: Trade, TradeCross, TradeSummary

TransactionToBeCleared

Type: Byte

Allowed values in TransactionToBeClearedCodeSet:

Code | Name | Description
0 | No | No
1 | Yes | Yes

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

Turnover

Type: Price4

Used in messages: Statistics, StatisticsSnapshot

TurnoverOnBookOnly

Type: Price4

Used in messages: Statistics, StatisticsSnapshot

UnderlyingInstrumentID

Type: Alpha

Used in messages: InstrumentDirectory

UnderlyingISINCode

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

UnderlyingMarket

Type: Alpha

Used in messages: Announcements

UnderlyingType

Type: UInt8

Allowed values in UnderlyingTypeCodeSet:

Code | Name | Description
0 | NotCodified | Underlying type is not codified in basic data
1 | Share | Share
2 | ForeignCurrency | Foreign currency
3 | Indices | Indices
4 | Commodity | Commodity
5 | ForeignIndices | Foreign Indices
6 | Future | Future
7 | ForeignShare | Foreign Share
8 | Basket | Basket
9 | ExchangeRate | Exchange Rate

Used in messages: InstrumentDirectoryEquities

VenueBookDefinitionID

Type: UInt8

Allowed values in VenueBookDefinitionIDCodeSet:

Code | Name | Description
0 | OnBook | On Book
1 | OffBook | Off Book

Used in messages: MiFIDTradeReport

VenueInstrumentID

Type: Alpha

Used in messages: InstrumentDirectory, InstrumentDirectoryEquities

VenueMeasurementUnitNotation

Type: Alpha

Used in messages: MiFIDTradeReport

VenueOfExecution

Type: Alpha

Allowed values in VenueOfExecutionCodeSet:

Code | Name | Description
XOFF | OTC | OTC
SINT | SystematicInternaliser | Systematic Internaliser
{MIC} | ReportedByExecutionVenue | Reported by RM/MTF/OTF (the MIC corresponding to the relevant venue)

Used in messages: MiFIDTrade, MiFIDTradeCross, MiFIDTradeReport

VenueOfPublication

Type: Alpha

Allowed values in VenueOfPublicationCodeSet:

Code | Name | Description
ECHO | PublishedUnderUKAPARegulation | Published under UK APA Regulation
ECEU | PublishedUnderEUAPARegulation | Published under EU APA Regulation
{MIC} | ReportedByPublicationVenue | Reported by RM/MTF/OTF (the MIC corresponding to the relevant venue).

Used in messages: MiFIDTradeReport, SIQuoting

VenueType

Type: UInt8

Allowed values in VenueTypeCodeSet:

Code | Name | Description
0 | Unspecified | Unspecified
1 | MTF | MTF
2 | OTF | OTF
3 | RegulatedMarket | Regulated Market

Used in messages: MiFIDTradeReport

VenueUnderlyingID

Type: Alpha

Used in messages: InstrumentDirectoryEquities

VOFullDetailsFlag

Type: Alpha

Allowed values in VOFullDetailsFlagCodeSet:

Code | Name | Description
FULV | FULV | FULV

Used in messages: MiFIDTradeReport

Volatility

Type: Price

Used in messages: StatisticsSnapshot

Volume

Type: Size4

Used in messages: Statistics, StatisticsSnapshot

VolumeOmissionFlag

Type: Alpha

Allowed values in VolumeOmissionFlagCodeSet:

Code | Name | Description
VOLO | VOLO | VOLO
VOLW | VOLW | VOLW

Used in messages: MiFIDTradeReport

VolumeOmissionFlag1

Type: Alpha

Allowed values in VolumeOmissionFlagCodeSet:

Code | Name | Description
VOLO | VOLO | VOLO
VOLW | VOLW | VOLW

Used in messages: MiFIDTradeReport

VolumeOnBookOnly

Type: Size4

Used in messages: Statistics, StatisticsSnapshot

VWAP

Type: Price4

Used in messages: Statistics, StatisticsSnapshot

VWAPBuy

Type: Price

Used in messages: Analytics

VWAPOnBookOnly

Type: Price4

Used in messages: Statistics, StatisticsSnapshot

VWAPSell

Type: Price

Used in messages: Analytics

Yield

Type: Price

Used in messages: AddOrder, AddOrderIncremental, AddOrderMBP, AddOrderShort, AddOrderShortMBP, SIQuoting, Trade, TradeCross