IDN and Elektron Data Enhancements July 2012 - Reuters

United Kingdom
Changes to Closing Bid and Ask Values on the London Stock
Exchange
In order to provide a more useful value for close bid and ask on the LSE a
vendor initiative has resulted in changes to the processing of fields
CLOSE_BID and CLOSE_ASK (FIDs 60 and 61) on Thomson Reuters. The
changes are as follows:
a) If the London Stock Exchange provides a Closing Bid/Ask then this will be populated in
CLOSE_BID and CLOSE_ASK on the relevant instrument.
-For order-driven instruments (SETS, SETSqx and Securitized Derivatives) where no
uncrossing occurs at the Closing Auction the best bid/ask immediately prior to the closing
auction will be provided.
- For quote-driven instruments the best bid/ask at the end of the mandatory quote period will
be provided.
b) If the London Stock Exchange does not provide a Closing Bid/Ask then:
-If there is an uncrossing at the Closing Auction, and both BID and ASK exist, these prices will
populate CLOSE_BID and CLOSE_ASK.
- If there is an uncrossing at the Closing Auction, and BID and/or ASK do not exist, then the
final best BID/ASK from the last continuous trading session, if both existed, will update
CLOSE_BID and CLOSE_ASK. In the event that the final best BID/ASK from the last
continuous trading session was also single-sided, or neither existed, then a single-sided
BID/ASK following the Closing Auction uncrossing will update CLOSE_BID and CLOSE_ASK.
- if no orders existed during the trading day or following the closing auction uncrossing, then
CLOSE_BID and CLOSE_ASK will not be updated.
c) There will be one new FID: GV7_TEXT which will be populated with AUC if CLOSE_BID and
CLOSE_ASK are derived from the Closing Auction uncrossing, otherwise it will be filled with
spaces.
d) CLOSE_BID, CLOSE_ASK, BID_ASK_DT (date of Closing Bid/Ask) and GV7_TEXT will be
retained (not cleared) during the overnight closing run (the activity which, among other
actions, clears TRDPRC_1-5).
e) MID_CLOSE will be impacted by this change because it is calculated as the mid-point
between CLOSE_BID and CLOSE_ASK when they are updated.
The above changes offer a consistent reflection of these values in data
products and also provide value-add content for consumers.
Sample RICs: ,
Sample chains: , < 0#.FTASX2750>
Data Notification 063926