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IDN and Elektron Data Enhancements July 2012 - Reuters

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<strong>IDN</strong> <strong>and</strong> <strong>Elektron</strong> <strong>Data</strong><br />

<strong>Enhancements</strong><br />

<strong>July</strong> <strong>2012</strong>


Index<br />

<strong>IDN</strong> - Global ................................................................................................................................... 3<br />

Asia Pacific ...................................................................................................................................... 4<br />

Japan .......................................................................................................................................... 4<br />

Asia Pacific .................................................................................................................................. 5<br />

China ........................................................................................................................................... 6<br />

Hong Kong ................................................................................................................................. 7<br />

Singapore ................................................................................................................................... 7<br />

Australia ...................................................................................................................................... 8<br />

Europe, Middle East, <strong>and</strong> Africa ................................................................................................ 9<br />

Iraq .............................................................................................................................................. 9<br />

Belgium, France, Netherl<strong>and</strong>s, Portugal ................................................................................. 10<br />

South Africa.............................................................................................................................. 11<br />

United Kingdom ....................................................................................................................... 12<br />

Malta ......................................................................................................................................... 13<br />

Portugal .................................................................................................................................... 13<br />

United Arab Emirates .............................................................................................................. 14<br />

Norway ..................................................................................................................................... 15<br />

Americas ....................................................................................................................................... 16<br />

United States............................................................................................................................ 16<br />

United States <strong>and</strong> Dubai ......................................................................................................... 18<br />

Canada ...................................................................................................................................... 19<br />

Peru ........................................................................................................................................... 19<br />

IN THE PIPELINE – <strong>IDN</strong> <strong>and</strong> <strong>Elektron</strong> ........................................................................................ 20


<strong>IDN</strong> - Global<br />

Global Initiative – Logical Population of Reference <strong>Data</strong><br />

Thomson <strong>Reuters</strong>‟ global <strong>IDN</strong> initiative to logically populate Closing Bid <strong>and</strong><br />

Ask prices, VWAP, Official Closing Price, Street Ticker <strong>and</strong> Trading Symbol<br />

continued in June with logical populations in the following markets:<br />

VWAP, Trading Symbol, Close Bid/Ask <strong>and</strong> Official Close<br />

Johannesburg SE (DN060261) – <strong>July</strong> 2<br />

VWAP, Street Ticker, Close Bid/Ask <strong>and</strong> Official Close<br />

Malta (DN063318) –<strong>July</strong> 9<br />

Close Bid/Ask <strong>and</strong> VWAP<br />

Turkish Derivatives Exchange (DN063005) – <strong>July</strong> 2<br />

Street Ticker<br />

MATba <strong>and</strong> BUSE (Buenos Aires markets) (DN063832) – <strong>July</strong> 16<br />

Field Definitions:<br />

CLOSE_BID/ASK (60/61) - Closing Bid/Ask<br />

OFF_CLOSE (3372) - Official Closing Price<br />

VWAP (3404) - Volume Weighted Average Price<br />

PROV_SYMB (3422) - Trading Symbol<br />

MNEMONIC (3694) - Street Ticker<br />

In The Pipeline<br />

Official Close, Close Bid/Ask<br />

Nairobi Securities Exchange (DN064289) - August 6<br />

Street Ticker, Trading Symbol<br />

Baltic Exchange (DN064203) – August 27<br />

VWAP<br />

Mexico Stock Exchange (DN064320) – August 27<br />

Spanish Futures <strong>and</strong> Options (DN064578) - September 4


Asia Pacific<br />

Japan<br />

Tokyo Pro Bond <strong>and</strong> Pro Market <strong>Data</strong> Launched<br />

Thomson <strong>Reuters</strong> now supports Tokyo Pro Market data following the<br />

integration of Tokyo AIM into the Tokyo Stock Exchange (TSE). The RIC<br />

structure of this market has changed as follows:<br />

Current RIC Structure: <br />

e.g. <br />

New RIC Structure: <br />

e.g. <br />

This RIC rename is detailed in <strong>Data</strong> Notification 063616.<br />

<strong>July</strong> also saw a similar change implemented on Tokyo AIM market <strong>and</strong> the RIC<br />

structure changed as follows:<br />

Exchange instrument code + “.JA” has been renamed to<br />

Exchange instrument + “.T”<br />

e.g. has been renamed <br />

The change is fully detailed in <strong>Data</strong> Notification 063257.<br />

These new RIC conventions reflect the fact that the market has been<br />

incorporated into the Tokyo Stock Exchange <strong>and</strong> allow for easier<br />

identification of the market structure.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 063616, <strong>Data</strong> Notification 063257


Tokyo SE Introduction of 5 <strong>and</strong> 25 days Moving Average Price<br />

Information<br />

Support has been added for the following two key analytics points on Tokyo<br />

SE:<br />

PMTH_PCTCH (FID 4124) - 5 Days Moving Average Price<br />

PQRT_PCTCH (FID 4125) - 25 Days Moving Average Price<br />

This introduction is as a result of customer dem<strong>and</strong> <strong>and</strong> offers greater insight<br />

into moving average price movements on TSE instruments.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 062614<br />

Asia Pacific<br />

Asia Pacific Wide Enhancement: Addition of Put & Call Volume<br />

<strong>and</strong> Open Interest RICs<br />

Thomson <strong>Reuters</strong> has introduced daily put & call volume <strong>and</strong> open interest<br />

ratios for Asia Pacific equity <strong>and</strong> equity index options, using the following RIC<br />

convention:<br />

-Put/Call Volume Ratio:<br />

+ “PCVR” + <br />

-Put/Call Open Interest Ratio:<br />

+ “PCOIR” + <br />

with the following fields being used to display this content:<br />

FID#996 (GEN_VAL1) for put/call volume or open interest ratio<br />

FID#16 (TRADE_DATE) for the date of last update<br />

The above fields will be updated once a day after market close <strong>and</strong> no closing<br />

run will be applied. This provides new, key analytic data to customers.<br />

Relevant venues that are covered by this enhancement are listed in the <strong>Data</strong><br />

Notification.<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 063598


China<br />

China Securities Index (CSI) High <strong>and</strong> Low Indicator Enhancement<br />

<strong>and</strong> Decimal Precision Change<br />

In order to bring more consistency to the CSI data model <strong>and</strong> also to bring<br />

customers more value-add content the following changes have been made to<br />

CSI year <strong>and</strong> 52 week high <strong>and</strong> low data:<br />

-YRHIGH (FID 90) previously supported the rolling 52 week high price. It now supports<br />

calendar year high price.<br />

-YRLOW (FID 91) previously supported the rolling 52 week low price. It now supports<br />

calendar year low price.<br />

-YRHIGHDAT (FID 350) previously supported the rolling 52 week high date. It now supports<br />

calendar year high date.<br />

-YRLOWDAT (FID 351) previously supported the rolling 52 week low date. It now supports<br />

calendar year low date.<br />

Please note: The newly supported calendar year high/low data only represent the year high<br />

<strong>and</strong> low starting from effective date of this enhancement (9 <strong>July</strong> <strong>2012</strong>) instead of 3 Jan <strong>2012</strong>.<br />

-GEN_VAL1 (FID 996) is now populated with the rolling 52 week high price. This data was<br />

populated in YRHIGH (FID 90) previously.<br />

-GEN_VAL2 (FID 997) is now populated with the rolling 52 week low price. This data was<br />

populated in YRLOW (FID 91) previously.<br />

-Date of rolling 52 week high price:<br />

GV1_DATE (FID 1028) is now populated with the date of the rolling 52 week high price. This<br />

data was populated in YRHIGHDAT previously.<br />

-Date of rolling 52 week low price:<br />

GV2_DATE (FID 1051) is now populated with the date of the rolling 52 week low price. This<br />

data was populated in YRLOWDAT previously.<br />

This provides new value add content on this market on the back of customer<br />

dem<strong>and</strong>.<br />

<strong>July</strong> also saw the introduction of increased decimal precision to 4 decimal<br />

places from 2 on a number of CSI end of day indices. This offers an accurate<br />

representation of exchange content <strong>and</strong> gives greater point granularity on<br />

this index data. A full list of impacted instruments is provided on the <strong>Data</strong><br />

Notification.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 061950


Hong Kong<br />

Availability of Last Indicative Equilibrium Prices <strong>and</strong> Volume<br />

throughout the Trading Day for Hong Kong SE<br />

The Indicative Equilibrium Price (IEP) <strong>and</strong> Indicative Equilibrium Volume (IEV)<br />

will be updated <strong>and</strong> retained on the "ta" (analytic <strong>and</strong> auction data) RICs for<br />

all Hong Kong Stock Exchange (HKSE) instruments.<br />

Previously, IEP [IEP_PRICE FID#3891] <strong>and</strong> IEV [IEP_VOLUME FID#3892] were<br />

reset to zero by the exchange message before market open. To enhance<br />

Thomson <strong>Reuters</strong> coverage <strong>and</strong> data availability, IEP <strong>and</strong> IEV are now copied<br />

to a respective instrument‟s "ta" RIC as reference information for the whole<br />

trading day. The structure of these RICs is as follows:<br />

Stock Code + "ta" + ".HK"<br />

The perpetual population of this content allows customers to snap <strong>and</strong><br />

process the last indicative auction price <strong>and</strong> volume at any time during the<br />

trading day.<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 061743<br />

Singapore<br />

Change in Decimal Precision for SGX-DT Nikkei 225 Derivatives<br />

Thomson <strong>Reuters</strong> has upgraded decimal precision in price fields populated on<br />

SGX-DT Nikkei 225 derivatives (futures, options, spreads) offering more<br />

granular data to consumers of this content. The change will be reflected in<br />

TRD_UNITS (FID 53) <strong>and</strong> this value will be updated from INT to 2DP.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 063998


Singapore Securities Trading SGX-ST Market <strong>Data</strong> Feed Upgrade<br />

Thomson <strong>Reuters</strong> has implemented several data enhancements on the back of<br />

the SGX-ST market feed upgrade, as follows:<br />

a) Indicative Equilibrium Price (IEP) is supported in GEN_VAL3 (FID 998).<br />

b) Instrument Series Code (example. 88-1-1-0-2-0-0) is supported in FUT_URIC (FID 4045).<br />

c) CPF Indicator is supported in FID 1002 (GV3_TEXT) for Level 1 RICs.<br />

d) Minimum Bid Schedule (MBS) is supported in FID 1000 (GV1_TEXT) for Level 1 RICs.<br />

This provides a better, fuller representation of the new feed to customers <strong>and</strong><br />

value-add information. A full list of new fields are provided in the <strong>Data</strong><br />

Notification.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 060609<br />

Australia Barrier Level Added to Australia Warrants<br />

Thomson <strong>Reuters</strong> has added barrier level information to Australian warrants.<br />

Barrier information is critical to trading strategies as breaching a barrier will<br />

result in certain consequences or payments being triggered. Providing this<br />

field means consumers of this content can programmatically respond as the<br />

barrier limit is approached or breached. The content is populated in the<br />

following field:<br />

MM_ASK (FID 3358) barrier level price<br />

Sample RICs: , <br />

Sample Chain: <br />

<strong>Data</strong> Notification 059167


Europe, Middle East, <strong>and</strong><br />

Africa<br />

Iraq Support Added for Iraq End of Day <strong>Data</strong><br />

Thomson <strong>Reuters</strong> has added support for Iraq Stock Exchange equities end of<br />

day data, exp<strong>and</strong>ing on the valuable content already provided in the middleeast<br />

region.<br />

The RIC structure for content on this market is below:<br />

Equity RICs have the RIC root + “.ISX”<br />

Equity RIC Example: <br />

Index RICs begin with a “.” followed by the index identifier:<br />

Example: <br />

The <strong>Data</strong> Notification contains a full list of fields that will be available for the<br />

market. This includes VWAP, close price <strong>and</strong> daily high <strong>and</strong> low content.<br />

Sample RICs: , < IKLV.ISX><br />

Sample Chains: <br />

<strong>Data</strong> Notification 063799


Belgium, France, Netherl<strong>and</strong>s, Portugal<br />

Third Phase of Euronext Cash Indices Harmonization Implemented<br />

The third phase of the Euronext indices harmonization has been completed,<br />

offering a more consistent <strong>and</strong> structured set of indices for consumers of this<br />

content. This allows for more uniform programming <strong>and</strong> application design.<br />

Key highlights <strong>and</strong> changes include:<br />

- GEN_VAL2 (997) – This FID previously displayed the gross index level. This has been<br />

discontinued. This information is now available on separate instruments (Gross Return<br />

Indices) listed on the exchange, e.g. .<br />

GEN_VAL4 (999) – This FID previously displayed Net Index Level. This has been<br />

discontinued. This information is now available on separate instruments (Net Return Indices)<br />

listed on the exchange, e.g. .<br />

THEO_OPEN (2335) – This FID previously displayed Pre-Opening Forerunner Index Level. It is<br />

no longer used as the relevant feed message has been discontinued.<br />

GEN_VAL7 (1031) – This new FID represents the Confirmed Reference Level of an Index.<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 061287


South Africa<br />

Upgrade of JSE Feed to the Millennium Trading Platform<br />

Thomson <strong>Reuters</strong> now supports the new Milliennium feed offered by the JSE.<br />

This provides customers with the latest trading platform provided by the<br />

market. Several key enhancements <strong>and</strong> data model changes have been made<br />

to Thomson <strong>Reuters</strong> representation of equities <strong>and</strong> indices on the market.<br />

Highlights include:<br />

1. New logical support of the below fields:<br />

CLOSE_BID/ASK (60/61) - Closing Bid/Ask<br />

OFF_CLOSE (3372) - Official Closing Price<br />

VWAP (3404) - Volume Weighted Average Price<br />

PROV_SYMB (3422) - Trading Symbol<br />

2. Alignment of some statistics RICs to the exchange‟s confirmed logic.<br />

3. New trade flags provided by the market are now displayed.<br />

Full details of this change <strong>and</strong> what it means for consuming applications is<br />

provided in <strong>Data</strong> Notification 060261.<br />

Sample RICs: , <br />

Sample chains: , <br />

<strong>Data</strong> Notification 060261


United Kingdom<br />

Changes to Closing Bid <strong>and</strong> Ask Values on the London Stock<br />

Exchange<br />

In order to provide a more useful value for close bid <strong>and</strong> ask on the LSE a<br />

vendor initiative has resulted in changes to the processing of fields<br />

CLOSE_BID <strong>and</strong> CLOSE_ASK (FIDs 60 <strong>and</strong> 61) on Thomson <strong>Reuters</strong>. The<br />

changes are as follows:<br />

a) If the London Stock Exchange provides a Closing Bid/Ask then this will be populated in<br />

CLOSE_BID <strong>and</strong> CLOSE_ASK on the relevant instrument.<br />

-For order-driven instruments (SETS, SETSqx <strong>and</strong> Securitized Derivatives) where no<br />

uncrossing occurs at the Closing Auction the best bid/ask immediately prior to the closing<br />

auction will be provided.<br />

- For quote-driven instruments the best bid/ask at the end of the m<strong>and</strong>atory quote period will<br />

be provided.<br />

b) If the London Stock Exchange does not provide a Closing Bid/Ask then:<br />

-If there is an uncrossing at the Closing Auction, <strong>and</strong> both BID <strong>and</strong> ASK exist, these prices will<br />

populate CLOSE_BID <strong>and</strong> CLOSE_ASK.<br />

- If there is an uncrossing at the Closing Auction, <strong>and</strong> BID <strong>and</strong>/or ASK do not exist, then the<br />

final best BID/ASK from the last continuous trading session, if both existed, will update<br />

CLOSE_BID <strong>and</strong> CLOSE_ASK. In the event that the final best BID/ASK from the last<br />

continuous trading session was also single-sided, or neither existed, then a single-sided<br />

BID/ASK following the Closing Auction uncrossing will update CLOSE_BID <strong>and</strong> CLOSE_ASK.<br />

- if no orders existed during the trading day or following the closing auction uncrossing, then<br />

CLOSE_BID <strong>and</strong> CLOSE_ASK will not be updated.<br />

c) There will be one new FID: GV7_TEXT which will be populated with AUC if CLOSE_BID <strong>and</strong><br />

CLOSE_ASK are derived from the Closing Auction uncrossing, otherwise it will be filled with<br />

spaces.<br />

d) CLOSE_BID, CLOSE_ASK, BID_ASK_DT (date of Closing Bid/Ask) <strong>and</strong> GV7_TEXT will be<br />

retained (not cleared) during the overnight closing run (the activity which, among other<br />

actions, clears TRDPRC_1-5).<br />

e) MID_CLOSE will be impacted by this change because it is calculated as the mid-point<br />

between CLOSE_BID <strong>and</strong> CLOSE_ASK when they are updated.<br />

The above changes offer a consistent reflection of these values in data<br />

products <strong>and</strong> also provide value-add content for consumers.<br />

Sample RICs: , <br />

Sample chains: , < 0#.FTASX2750><br />

<strong>Data</strong> Notification 063926


Malta Malta Stock Exchange <strong>Data</strong> Provided in Real Time<br />

Thomson <strong>Reuters</strong> now provides real-time data for Malta, enhancing <strong>and</strong><br />

exp<strong>and</strong>ing coverage for European equities <strong>and</strong> exchange traded bonds, with<br />

the new real-time content being sourced from the Deutsche Borse‟s CEF feed.<br />

A full list of fields for this market is provided on the <strong>Data</strong> Notification<br />

Sample RICs: , <br />

Sample chains: , <br />

<strong>Data</strong> Notification 063318<br />

Portugal OPEX has been launched on <strong>Elektron</strong><br />

OPEX has been launched on <strong>Elektron</strong>. <strong>Elektron</strong> offers additional content, a low<br />

latency network, <strong>and</strong> a more consistent data model while maintaining<br />

backward compatibility with <strong>IDN</strong>. This new implementation of OPEX has<br />

several data enhancements <strong>and</strong> additions when compared to the <strong>IDN</strong> data<br />

structure of this market.<br />

Key highlights include:<br />

-Logical fields for content.<br />

-Introduction of OMM st<strong>and</strong>ards.<br />

-The addition of a level 2 offering.<br />

-Real-time updates, improving upon previous snap-shot content.<br />

Further details of this launch <strong>and</strong> full information on the changes <strong>and</strong><br />

advantages of the new implementation are available in the <strong>Data</strong> Notification.<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 060274


United Arab Emirates<br />

Launch of Level 2 data for Dubai Gold <strong>and</strong> Commodities Exchange<br />

Futures <strong>and</strong> Spreads<br />

New level 2 data has been launched for Dubai Gold <strong>and</strong> Commodities<br />

Exchange Futures <strong>and</strong> Spreads. This offers the 10 best levels of bid, ask, bid<br />

size <strong>and</strong> ask size data, exp<strong>and</strong>ing Thomson <strong>Reuters</strong> content <strong>and</strong> coverage of<br />

emirates markets.<br />

Sample RICs: , <br />

Sample chains: , <br />

<strong>Data</strong> Notification 064101


Norway<br />

Oslo Options Exchange Identifier Enhancement<br />

Oslo options exchange ID fields have been updated to accurately reflect the<br />

market these instruments trade on, allowing for unique <strong>and</strong> automated<br />

identification of this market on a per instrument level. The changes<br />

implemented were:<br />

-RDN_EXCHID (FID 4) <strong>and</strong> RDN_EXCHD2 (FID 1709) are populated with „OSL‟<br />

More information is provided in the <strong>Data</strong> Notification.<br />

Sample RICs: , <br />

Sample chains: , <br />

<strong>Data</strong> Notification 064083


Americas<br />

United States<br />

Change in Weekend Close Run (Close <strong>and</strong> Clear) Time for CME<br />

<strong>and</strong> CBT Exchange<br />

Thomson <strong>Reuters</strong> has moved the closing run process for CME <strong>and</strong> CBT RICs<br />

in order to ensure the correct reflection of GTC <strong>and</strong> GTD information. This<br />

change only impacts composite <strong>and</strong> Globex RICs. The PIT RICs are not<br />

impacted. This change ensures customers are able to see the GTC <strong>and</strong> GTD<br />

orders <strong>and</strong> process these. Full information about the changes are provided in<br />

the data notification.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 063547<br />

ERIS Exchange Launches on Thomson <strong>Reuters</strong><br />

Thomson <strong>Reuters</strong> is pleased to announce ERIS Exchange data has now been<br />

made available on Thomson <strong>Reuters</strong> products. The ERIS Exchange is a<br />

Designated Contract Market (DCM) for USD Interest Rate Swap Futures that<br />

provides liquidity <strong>and</strong> anonymity to their customers. These futures contracts<br />

consist of plain-vanilla transaction terms for date <strong>and</strong> rate flexibility. Please<br />

refer to the spreadsheet attached to the <strong>Data</strong> Notification for additional<br />

details <strong>and</strong> RIC structure.<br />

The addition of this content is part of a Thomson <strong>Reuters</strong> initiative to exp<strong>and</strong><br />

<strong>and</strong> enhance its coverage for futures data.<br />

Sample RICs: , <br />

Sample Chain: <br />

<strong>Data</strong> Notification 063236


OPRA Level 1 <strong>Elektron</strong> Only Content <strong>Enhancements</strong><br />

Following the introduction of OPRA Level 1 to the new low-latency <strong>Elektron</strong><br />

network, data for this venue is being enhanced on the <strong>Elektron</strong> AD service.<br />

Thomson <strong>Reuters</strong> has complemented existing <strong>Elektron</strong> content by improving<br />

FID behavior <strong>and</strong> adding content while maintaining backwards compatibility<br />

with existing FID usage on <strong>IDN</strong>. Highlights include:<br />

-The End of Day regional summary messages will be used as a further, confirmatory update<br />

for the following FIDs:<br />

1. IRGPRC (FID 372), populated with the last price.<br />

2. IRGCOND (FID 374), populated with a value of 311, indicating that the IRGPRC came from<br />

the summary message.<br />

3. OPEN_PRC (FID 19), populated with the open price.<br />

4. HIGH_1 (FID 12), populated with the high price<br />

5. LOW_1 (FID 13), populated with the low price.<br />

6. OPINT_1 (FID 64), populated with the Open Interest.<br />

7. ACVOL_1 (FID 32), populated with the volume.<br />

This ensures data from the trading day accurately reflects the market‟s official values<br />

provided in its end of day summary message.<br />

-In addition, OPINT_1 (64) on Consolidated RICs is populated with values sent in the relevant<br />

Regional Summary Messages.<br />

-Improvements have been made to the speed with which new options are added to the<br />

network.<br />

-The following New FIDs have been added:<br />

1. UND_EXCH (FID 8988) contains the underlying instrument‟s exchange.<br />

2. UNDLY_TYPE (FID 8925) contains the underlying instrument‟s type.<br />

3. EXPIR_CYCL (FID 8934) is populated with a value indicating a weekly or quarterly<br />

expiration.<br />

4. ANA_EXP_DT (FID 6765): this is the analytics expiration date <strong>and</strong>, based on option style. It<br />

is populated with the day after the last date the option is allowed to trade.<br />

5. ANA_EXP_DY (FID 6888): this is the number of days to expiration. It is calculated using<br />

ANA_EXP_DT (FID 6765) minus the current date.<br />

This offers new content on Thomson <strong>Reuters</strong> strategic network, providing<br />

customers utilizing this service a further enhanced offering.<br />

Sample RICs: < ROLB161302500.U>, <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 063949


NASDAQ Totalview Launches Exclusively on <strong>Elektron</strong><br />

Thomson <strong>Reuters</strong> has introduced new order book content from NASDAQ<br />

OMX US exclusively to the new low-latency <strong>Elektron</strong> network, further<br />

exp<strong>and</strong>ing the breadth <strong>and</strong> depth of coverage available to customers trading<br />

in the U.S. equity markets. This new feed displays the top 30 price levels of<br />

order book depth for NASDAQ market participants<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 058680<br />

United States <strong>and</strong> Dubai<br />

NYMEX, COMEX, Dubai. CBOT, MGE, KCBT <strong>and</strong> Green Exchanges<br />

Retain GTC <strong>and</strong> GTD Orders <strong>and</strong> Recovery Mechanisms<br />

Thomson <strong>Reuters</strong> has begun retaining GTC (Good till Cancelled) <strong>and</strong> GTD<br />

(Good till Date) orders throughout the week on the exchanges listed above.<br />

Previously, these orders were cleared daily at closing run. They are now<br />

retained at the closing run along with all corresponding quote FIDs. Non-GTC<br />

<strong>and</strong> Non-GTD orders will continue to be deleted at the daily closing run.<br />

This change offers a better reflection of the order book <strong>and</strong> allows consumers<br />

to snap or process this content throughout the day.<br />

<strong>July</strong> also saw an enhancement to the recovery mechanism on these feeds in<br />

the event of messages missed or restarts. These will be clearly flagged using<br />

the following methodology:<br />

SALTIM (FID 379) will be cleared on the top of book event that <strong>IDN</strong> enters recovery (on<br />

NYMEX, COMEX, Dubai Mercantile, Green Exchange, CBOT, KCBT <strong>and</strong> MGE)<br />

TIMACT (FID 5) in Market Depth will be cleared on the top of book event that <strong>IDN</strong> enters<br />

recovery (on CBOT, Dubai, MGE, <strong>and</strong> KCBT)<br />

This provides a clear indication when a recovery event occurs on these<br />

markets allowing for programmatic responses.<br />

Sample RICs: , <br />

Sample Chains: , <br />

<strong>Data</strong> Notification 061531, <strong>Data</strong> Notification 061533, <strong>Data</strong> Notification 063716,<br />

<strong>Data</strong> Notification 061533, <strong>Data</strong> Notification 063991


Canada<br />

Halt Condition <strong>Enhancements</strong> for TMX Select <strong>and</strong> Chi-X Canada<br />

TMX Select <strong>and</strong> Chi-X Canada now have a persistent halt state which is not<br />

cleared during the closing run. This means customers can now determine<br />

whether an instrument is halted at any time, not just prior to the closing run.<br />

Full details of the Chi-X Canada change are provided in <strong>Data</strong> Notification<br />

063755 <strong>and</strong> the TMX Select change in <strong>Data</strong> Notification 063752.<br />

Thomson <strong>Reuters</strong> has also added support for another halt code for TMX<br />

Select, as follows:<br />

-PRC_QL2 (FID 131) will display “INH” for a stock in the “Inhibited Halt” state<br />

- PRC_QL2 (FID 131) will continue display “TH” for a stock in the “Trade Halt” state<br />

This additional condition code allows customers to write specific application<br />

logic for the inhibited halt state <strong>and</strong> is detailed in <strong>Data</strong> Notification 063752.<br />

Both halt conditions will clear when a resume status is received from the<br />

exchange on an individual instrument.<br />

Sample RICs: , <br />

<strong>Data</strong> Notification 063752, <strong>Data</strong> Notification 063755<br />

Peru<br />

Lima Stock Exchange Supports Lot Size<br />

Lima Stock Exchange now supports lot size data as follows:<br />

LOT_SIZE (FID 55)<br />

This key new content provides critical trade information for instruments<br />

available on this market. This provides value-add information to allow lot size<br />

to be easily discerned directly from the feed.<br />

Note: at the current time all stocks, bar three, have a lot size of 1 on this<br />

market.<br />

Sample RICs: , <br />

Sample Chain: <br />

<strong>Data</strong> Notification 063827


IN THE PIPELINE – <strong>IDN</strong> <strong>and</strong> <strong>Elektron</strong><br />

August <strong>2012</strong><br />

Please note that <strong>Data</strong> Notification (DN) statuses change regularly <strong>and</strong> that this report is<br />

updated monthly. Target dates are also not firm <strong>and</strong> cannot be considered a commitment to<br />

deliver. Please follow the link to the associated DN for updates.<br />

Any omitted months have no relevant pipeline DNs associated with that month, as yet.<br />

*Global Thomson <strong>Reuters</strong> pipeline enhancements affecting key <strong>IDN</strong> reference fields can be<br />

found in the Global section of this newsletter. Where these enhancements impact multiple<br />

fields or result in a major change in processing they will be present in both this section <strong>and</strong><br />

the Global section.<br />

Tel Aviv options strike price denomination change<br />

<strong>Data</strong> Notification 064232 – August 1<br />

Retail Liquidity indicators to be supported on NYSE <strong>and</strong> NYSE MKT<br />

<strong>Data</strong> Notification 064209 – August 1<br />

FTSE Curex: additional content available<br />

<strong>Data</strong> Notification 064336 – August 5<br />

<strong>Elektron</strong> Launch: CME level 2<br />

<strong>Data</strong> Notification 062806 – August 5<br />

Nairobi Stock Exchange data enhancements<br />

<strong>Data</strong> Notification 064289 – August 6<br />

Introduction of level 2 continuation RICs for SAFEX Index <strong>and</strong> Commodities Futures<br />

<strong>Data</strong> Notification 064105 – August 6<br />

Hungarian Power Exchange: launch of new futures <strong>and</strong> block data<br />

<strong>Data</strong> Notification 064616 – August 6<br />

Introduction of dynamic price format on NYSE Euronext Cash<br />

<strong>Data</strong> Notification 060940 – August 6<br />

<strong>Elektron</strong> launch: Osaka Securities Exchange<br />

<strong>Data</strong> Notification 061109 – August 6<br />

NYSE Euronext Cash level 2 data st<strong>and</strong>ardization (field changes <strong>and</strong> removals)<br />

<strong>Data</strong> Notification 060787 – August 6<br />

Symbol index provided on NYSE Euronext Cash<br />

<strong>Data</strong> Notification 062035 – August 6


<strong>Elektron</strong> Launch: Montreal Exchange<br />

<strong>Data</strong> Notification 060751 – August 6<br />

Introduction of chain identifying instruments eligible for French financial<br />

transactions tax<br />

<strong>Data</strong> Notification 064669 – August 7<br />

Adjusted close precision enhancement for US equities on <strong>IDN</strong> <strong>and</strong> <strong>Elektron</strong><br />

<strong>Data</strong> Notification 063670 – August 17<br />

RIC Rename for Bulgarian Stock Exchange<br />

<strong>Data</strong> Notification 063147 – August 20<br />

Addition of VWAP <strong>and</strong> other data improvements for Nordic Equities Trading on<br />

NOMX<br />

<strong>Data</strong> Notification 064178 – August 20<br />

<strong>Elektron</strong> launch: Japan Nikkei<br />

<strong>Data</strong> Notification 060665 – August 20<br />

<strong>Elektron</strong> launch: Turquoise cash<br />

<strong>Data</strong> Notification 061998 – August 20<br />

NASDAQ GIDS (index) implementation<br />

<strong>Data</strong> Notification 064114 – August 20<br />

BMF migrates to the UMDF PUMA feed resulting in field enhancements <strong>and</strong><br />

additions<br />

<strong>Data</strong> Notification 060424 – August 20<br />

<strong>Elektron</strong> Launch: Sigma X MTF<br />

<strong>Data</strong> Notification 062450 – August 20<br />

<strong>Elektron</strong> Launch: NYSE Euronext Cash<br />

<strong>Data</strong> Notification 061837 – August 20<br />

<strong>Elektron</strong> Launch: NYSE Euronext Bondmatch<br />

<strong>Data</strong> Notification 062448 – August 20<br />

Support of National Spot Exchange (India)<br />

<strong>Data</strong> Notification 063324 – August 27<br />

<strong>Elektron</strong> launch: Turquoise <strong>and</strong> Oslo derivatives<br />

<strong>Data</strong> Notification 063766 – August 27<br />

RIC rename for Johannesburg SE certificate instruments<br />

<strong>Data</strong> Notification 063884 – August 27


NASDAQ L1 FID additions <strong>and</strong> changes to the <strong>Elektron</strong> implementation<br />

<strong>Data</strong> Notification 061589 – August 27<br />

September <strong>2012</strong><br />

Bourse Montreal Level 2 RICs remove sequence number<br />

<strong>Data</strong> Notification 061363 – September 1<br />

<strong>Enhancements</strong> to TSE <strong>IDN</strong> data<br />

<strong>Data</strong> Notification 064635 – September 3<br />

Stock Exchange of Thail<strong>and</strong> (SET) <strong>and</strong> AFET migrate to an enhanced feed<br />

<strong>Data</strong> Notification 061288 – September 3<br />

Auction identifier added <strong>and</strong> general data improvements to Spanish Equity, ETF,<br />

Futures, Options <strong>and</strong> Latibex markets<br />

<strong>Data</strong> Notification 064542, <strong>Data</strong> Notification 064578 – September 4<br />

Support of alias RICs for Japan bond futures<br />

<strong>Data</strong> Notification 064165 – September 7<br />

RIC rename in order to harmonize Warsaw RIC structure<br />

<strong>Data</strong> Notification 063368 – September 10<br />

FID changes on Vienna SE<br />

<strong>Data</strong> Notification 062598 – September 10<br />

Short sale restricted chain available for US equities<br />

<strong>Data</strong> Notification 064468 – September 10<br />

FID changes, including enhancements to Pure Level 1 <strong>and</strong> 2 <strong>IDN</strong> content<br />

<strong>Data</strong> Notification 063635 – September 10 (placeholder date - will be updated when a firm date is<br />

available)<br />

<strong>Elektron</strong> Launch: Tokyo SE<br />

<strong>Data</strong> Notification 063160 – September 17<br />

NYSE level 1 FID additions on <strong>Elektron</strong> <strong>and</strong> <strong>IDN</strong><br />

<strong>Data</strong> Notification 063947 – September 24<br />

<strong>Elektron</strong> launch: SBI Japannext (OMX)<br />

<strong>Data</strong> Notification 063576 – September 24<br />

<strong>Elektron</strong> launch: Osaka Securities Exchange Derivatives<br />

<strong>Data</strong> Notification 064141 – September 24


Support of intraday volatility interruption for GTSM (Taiwan)<br />

<strong>Data</strong> Notification 064604 – September 24<br />

FID changes to Hanoi bonds as a result of feed upgrade<br />

<strong>Data</strong> Notification 063441 – September 28<br />

October <strong>2012</strong><br />

RIC structure change for level 2 data on the Istanbul SE treasury market<br />

<strong>Data</strong> Notification 064018 – October 1<br />

OPRA FID changes on <strong>Elektron</strong> DD service<br />

<strong>Data</strong> Notification 064085 – October 8<br />

OPRA FID changes on <strong>IDN</strong> as a result of <strong>Elektron</strong> enhancement<br />

<strong>Data</strong> Notification 063950 – October 8<br />

China CFETS – RIC Rename <strong>and</strong> FID remapping<br />

<strong>Data</strong> Notification 064332 – October 8<br />

BATS EMEA FID changes on <strong>Elektron</strong> DD service<br />

<strong>Data</strong> Notification 063398 – October 15<br />

BATS EMEA <strong>IDN</strong> FID changes as a result of <strong>Elektron</strong> enhancement<br />

<strong>Data</strong> Notification 063371 – October 15<br />

Pure FID changes on <strong>Elektron</strong> impacting the <strong>Elektron</strong> DD service<br />

<strong>Data</strong> Notification 063801 – October 28 (placeholder date - will be updated when a firm date is<br />

available)<br />

<strong>Elektron</strong> Launch: Xetra <strong>and</strong> Xetra International Market<br />

<strong>Data</strong> Notification 064161 – October 29<br />

November <strong>2012</strong><br />

Warsaw feed migration to the UTP trading platform<br />

<strong>Data</strong> Notification 063645 – November 2<br />

Oslo Bors Millennium migration<br />

<strong>Data</strong> Notification 063942 – November 12<br />

Change in Exchange Code ID (RDN_EXCHD2) for NYSE LIFFE instruments<br />

<strong>Data</strong> Notification 064692 – November 25<br />

Several CME contracts convert from US cents to US dollars<br />

<strong>Data</strong> Notification 063237 – November 25<br />

Price tick <strong>and</strong> other changes <strong>and</strong> enhancements to Osaka SE<br />

<strong>Data</strong> Notification 064248 – November 26


December <strong>2012</strong><br />

Changes to native condition codes on NYSE, NYSE AMEX <strong>and</strong> NYSE ARCA<br />

<strong>Data</strong> Notification 062732 – December 10<br />

© <strong>2012</strong> Thomson <strong>Reuters</strong>. All rights reserved.<br />

Republication or redistribution of Thomson <strong>Reuters</strong> content, including by framing or similar means, is prohibited without the prior written<br />

consent of Thomson <strong>Reuters</strong>. 'Thomson <strong>Reuters</strong>' <strong>and</strong> the Thomson <strong>Reuters</strong> logo are registered trademarks <strong>and</strong> trademarks of Thomson<br />

<strong>Reuters</strong> <strong>and</strong> its affiliated companies.

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