NASDAQ Global Index Watch (GIW) Secure Web Service 2.1 Access

Transcription

1 NASDAQ Global Index Watch (GIW) Secure Web Service 2.1 Access Contents 1 Overview Web Service Introduction Architecture Output Formats Data Service Formats Standard Data Service Weightings Data Service Corporate Actions Service: History Service: PLUS Service Weightings PLUS Data Service Corporate Actions PLUS Data Service: History Service: Fixed Income Data Services Fixed Income Weightings Data Service Fixed Income Events Service: Fixed Income History Service: Support VERSION 1.0 PAGE 1

2 1 Overview NASDAQ Global Index Watch (GIW) Secure Web Service 2.1 Access NASDAQ OMX is a global leader in creating and licensing indexes and is home to the most widely tracked indexes and exchange traded funds (ETFs) in the world. NASDAQ OMX offers diverse indexes from multiple asset classes (i.e.: equities, bonds, and commodities) including many indexes calculated for third parties. This adds significant value to customers and helps them track market performance. GIW Web Service is available to Premier subscribers only. In order to access this service, users are now required to POST their username and password in the Web Request of the reporting service. NASDAQ OMX calculates and disseminates real-time values for its indices and listed ETFs throughout the trading day. Additionally NASDAQ OMX compiles and distributes the component securities and relative weightings information for index based products via secure access as part of the NASDAQ OMX Global Index Watch service. NASDAQ Global Index Watch (GIW) is an indispensable tool for investment professionals who track NASDAQ OMX indexes or trade NASDAQ OMX index-related derivative instruments. Features include: Advanced Corporate Actions/Index News Index Holdings Daily Summary Statistics Industry Breakdowns Index Methodologies Weighting Data Service Corporate Action Service History Service Weightings PLUS Data Service (enhanced with SEDOL) Corporate Actions PLUS Data Service (enhanced with SEDOL) Today NASDAQ OMX allows access to a variety of asset classes as well as packaging these into families of indexes. GIW provides the following entitlement families: NASDAQ OMX US Index Family (including NASDAQ OMX PHLX) NASDAQ OMX Nordic Index Family (including access to Nordic and Baltic indexes) NASDAQ OMX Sharia Index Family NASDAQ OMX Global Index Family NASDAQ OMX Green Economy Index Family NASDAQ OMX Commodities Index Family NASDAQ OMX Fixed Income Index Family VERSION 2.1 PAGE 2

3 2 Web Service Introduction This specification document outlines the file format for the GIW Secure Web Service. The Web Service provides the most recent and archived list of weightings, historical data and corporate actions for covered indexes. Typically the first files are posted to the GIW web service at approximately 2:00 a.m. Eastern Time. To have the most up-to-date information during the trading day, subscribers should continue to process the files periodically. 3 Architecture NASDAQ OMX has modified the authentication process for fetching files from the GIW Secure Web Service. NASDAQ OMX is making this change in an effort to meet industry security standards. For a list of indexes available please visit the index directory list on the GIW website. The following is an example call that can be used to retrieve files: GetFile(" &Date= &Type=pipe&FileType=SOD","YOURUSERNAME","YOURPASSWORD"); static private void GetFile(string url, string username, string password) { string postdata = String.Format("username={0}&password={1}", username, password); StreamReader sr = null; HttpWebRequest request = (HttpWebRequest)HttpWebRequest.Create(url); request.method = "POST"; request.cookiecontainer = new CookieContainer(); byte[] bytearray = System.Text.Encoding.UTF8.GetBytes(postData); request.contenttype = "application/x-www-form-urlencoded"; request.contentlength = bytearray.length; Stream datastream = request.getrequeststream(); datastream.write(bytearray, 0, bytearray.length); datastream.close(); try { using (HttpWebResponse response = (HttpWebResponse)request.GetResponse()) { if ((int)response.statuscode < 400 (int)response.statuscode > 499) { sr = new StreamReader(response.GetResponseStream()); //here you can parse the stream and store in db, or write to a file //i will simply write it to the console Console.WriteLine(sr.ReadToEnd()); } else { //error in web request returned by server Console.WriteLine(response.StatusCode + ": " + response.statusdescription); } } } VERSION 2.1 PAGE 3

4 } catch (Exception e) { Console.WriteLine(e.Message); } finally { sr.close(); } Clients are required to replace username and password with their unique assigned logon credentials from NASDAQ OMX. Additional authentication examples are available upon request. Sample Calls Using CURL: curl -b cookies.txt -c cookies.txt -d "username=xxx&password=yyy" url Using WGET: wget -q --no-check-certificate --post-data username=xxx&password=yyy -- cookies=on --keep-session-cookies --save-cookies=cookie.txt --loadcookies=cookie.txt url Note: Cookies should be turned on to retain sessions. In addition, explicitly post the username and password (lower case) and remove server variables. 4 Output Formats GIW data output can be provided in pipe ( ) or csv (,) delimited, ASCII-text format. To reduce the download time, NASDAQ OMX will not include extra spaces or leading/trailing zeros for any fields. Additionally, fields that contain no data will not be populated, data will be returned with two delimiters in a row. 5 Data Service Formats As a subscriber to the GIW premier service, clients can access the secure web services and receive access to the following information: Weighting Data Service Corporate Action Service History Service Weightings PLUS Data Service (enhanced with SEDOL) Corporate Actions PLUS Data Service (enhanced with SEDOL) Enhanced Fixed Income Services VERSION 2.1 PAGE 4

5 6 Standard Data Service 6.1 Weightings Data Service GLOBAL INDEX WATCH WEB SERVICE This service will return to the client a data stream representing the weightings and component information related to the specific index identified in the web query. This is the standard weightings data service format and unless defined in subsequent sections will be used for the majority of our index families. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Date of Weightings File - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe FileType values are either SOD (for start of day requests) or EOD (for end of day requests) Where XXXXXX = GIDS assigned instrument ID, ZZZZ = clients preferred return of data stream (pipe or csv) and WWW= whether the request is Start of Day or End of Day ate=yyyy-mm-dd&type=zzzz&filetype=www Header Parameter Parameter of the query Varchar (24) Alphanumeric Example: QQQQ EOD Weightings Content Symbol The identifier or ticker symbol of the index security. Varchar (18) Alphanumeric Closing Price For EOD files, the Closing Price is the last trade received from the primary market for all securities except NASDAQ securities where the NASDAQ Official Closing Price (NOCP) will be used instead. Market Value Index Shares For SOD files, the Closing price is the previous day s closing price adjusted for overnight corporate actions (if any). The market capitalization of the index security which is obtained by multiplying the instrument Market Value at the start of the day by the Index Shares. This value is based on the start of day market value of the underlying components provided by the instrument sponsor. This field represents the number of shares for an issue within a given index and is based on the specific index s Calculation Method. This value is used to calculate the issue s market value. The market value for each issue is summed to get the Aggregate Market Value used in the index calculation below: Varchar (53) Numeric Varchar (53) Numeric (including Index Value = (Aggregate Market Value / Divisor) Market Percentage The weighting of each security in the index (market Varchar (9) Numeric (including value of the security divided by the total market value of the index). Company Name The name of the issuer of the index security. Varchar (50) Alphanumeric VERSION 2.1 PAGE 5

6 Footer Index Market Value Total Index Shares Market Percentage Net Change High Low As Of Represents the summation of the market value of all component securities within the index. Represents the summation of the index shares of all component securities within the index. Represents the summation of the market percentage of all component securities within the index. This field reflects the difference between the current tick value and the prior day s closing tick value for a given instrument. Note: This value will be 0 for Start of Day requests. This field reflects the highest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. This field reflects the lowest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. Date of the report as of market close adjusted for corporate actions to become effective prior to market open on subsequent day. Varchar (53) Numeric (including Varchar (53) Numeric (including Varchar (9) Numeric (including Varchar (12) Alphanumeric (including special characters and spaces) MM/DD/YYYY (9/21/2009) Divisor The Divisor is a number that is adjusted periodically Varchar (53) Numeric (including (due to component changes and corporate actions) to ensure continuity of an index. This value is used in the index calculations. Current Index Value Calculated value: Index Market Value / Divisor Index Dividend Point Index Dividend Point = Dividend Market Value/Divisor Varchar (9) Numeric 9 Dividend Market Value Represents the summation of all index securities Varchar (19) Numeric 19 dividend market values Base Value Dividend Market Value = Cash dividend * index shares per security Index Value at inception. The base value represents the index inception value and may be adjusted by the sponsor occasionally. VERSION 2.1 PAGE 6

7 6.2 Corporate Actions Service: This service will return to the client a stream representing the corporate action information related to the specific index identified in the web query. This service will also allow the client to enter a future date and if an advance corporate action exists the stream will include this data with the effective date populated. This is the standard weightings data service format and unless defined in subsequent sections will be used for the majority of our index families. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Start Date - format yyyy-mm-dd EndDate - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID and ZZZZ = clients preferred return of data stream (pipe or csv) StartDate=YYYY-MM-DD&EndDate=YYYY-MM-DD&Type=ZZZZ Optional Input Format to return changes since last request By including an optional input, in place of the start and end dates, the client can receive a return of just the changes since the last client update request (Delta Date). IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Delta Date format mm/dd/yyyy hh:mm:ss (time represented as 24 hour input) Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID; mm/dd/yyyy hh:mm:ss = optional input of date and time of last record (Delta Date) pull and ZZZZ = clients preferred return of data stream (pipe or csv); DeltaDate=mm/dd/yyyy hh:mm:ss&type=zzzz Header Parameter Parameter of the query Example: QQQQ _QQQQ Varchar (40) Alphanumeric Output Stream Data Field Description Max Field Length / Attribution ID Assigned ID value in the NASDAQ OMX GIW Varchar (9) - Numeric service Effective Date Date the corporate action will take effect and may include a date later than the current date. Field Length (8) Numeric represented as (YYYYDDMM) Current Symbol New Symbol The current identifier or ticker symbol of the index security. The new identifier or ticker symbol of the index security. Varchar (18) - Alphanumeric Varchar (18) - Alphanumeric VERSION 2.1 PAGE 7

8 Output Stream Data Field Description Max Field Length / Attribution Current Company Name The current name of the issuer of the index security. Varchar (50) - Alphanumeric New Company Name The new name of the issuer of the index security. Varchar (50) - Alphanumeric Current Index Shares This field represents the current number of shares for an issue within a given index and is based on the specific index s Calculation Method. Varchar (53) - Numeric (including New Index Shares Reason Split Ratio This field represents the new number of shares for an issue within a given index and is based on the specific index s Calculation Method. This represents the reason for the corporate action. Allowable values currently defined: o Addition o Adjustment o Component Change o Deletion o Divisor Change o Index News o Name Change o Name and Symbol Change o Quarterly o Share Change o Special Corporate Action o Stock Split o Stock Dividend o Symbol Change o Update Represents the split ratio to take place on effective date Varchar (53) - Numeric (including Variable Variable Alphanumeric represented as (#:# 0r ##:#) 2:1 Comments Free form space available for comment Variable Last update date/time This field represents the last time that the record was updated. Varchar (18) - Alphanumeric represented as (MM/dd/yyyy HH:mm:ss) Deleted Flag This field represents if a record has been deleted from previous files. Field Length (1) Alphanumeric allowable values: Empty consecutive delimiters (,, or ) Deleted D VERSION 2.1 PAGE 8

9 6.3 History Service: This service will return to the client data representing the historical daily summary information related to a specific index identified in the web query. This is the standard weightings data service format and unless defined in subsequent sections will be used for the majority of our index families. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Start Date - format yyyy-mm-dd EndDate - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe FileType values are either SOD (for start of day requests) or EOD (for end of day requests) Where XXXXXX = GIDS assigned instrument ID,ZZZZ = clients preferred return of data stream (pipe or csv) and WWW= whether the request is Start of Day or End of Day Example: Date=YYYY-MM-DD&EndDate=YYYY-MM-DD&Type=ZZZZ&FileType=WWW Header Parameter Parameter of the query Varchar (40) Alphanumeric Example: QQQQ _QQQQ EOD Output Stream Trade Date Represents the trade date for the index Field Length (8) Numeric represented as (YYYYDDMM) Index Value Net Change High Low Total Index Shares Total Market Value Divisor This field reflects the final calculated value for an instrument for the defined trade date. This value may be adjusted for corporate actions from prior days. This field reflects the difference between the current tick value and the prior day s closing tick value for a given instrument. Note: This value will be 0 for Start of Day requests. This field reflects the highest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. This field reflects the lowest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. Represents the summation of the index shares of all component securities within the index. This field reflects the closing Market Value at the end of day trade reporting for the instrument identified in the message. The Divisor is a number that is adjusted periodically (due to component changes and corporate actions) to ensure continuity of an index. This value is used in the index calculations. Varchar (12) - Numeric (including Varchar (12) - Numeric (including Varchar (12) - Numeric (including Varchar (12) - Numeric (including Varchar (53) Numeric (including Varchar (53) - Numeric (including Varchar (53) - Numeric (including VERSION 2.1 PAGE 9

10 Index Dividend Point Dividend Market Value GLOBAL INDEX WATCH WEB SERVICE Index Dividend Point = Dividend Market Value/Divisor Represents the summation of all index securities dividend market values Varchar (9) Numeric 9 Varchar (19) - Numeric Dividend Market Value = Cash dividend * index shares per security Base Value Index Value at inception (as adjusted) Varchar (12) - Numeric (including 7 PLUS Service 7.1 Weightings PLUS Data Service Weightings PLUS Data Service is based on the current weightings data service with additional fields. This service is available for the Green Economy Index Family and will be available for the Global Index Family in early The weightings plus service has added the following data elements in order to facilitate the global nature of these indexes: SEDOL Currency Exchange FX Rate (to be added in Q4 2010) Please Note: SEDOL information is fee liable and is populated for those users entitled, by LSE, to receive SEDOL information. It is the client s responsibility to have proper approval from LSE prior to requesting SEDOL access. If the user is NOT entitled to receive SEDOLs, the SEDOL field will be blank. The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID Date of Weightings File - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe FileType values are either SOD (for start of day requests) or EOD (for end of day requests) Where XXXXXX = GIDS assigned instrument ID, ZZZZ = clients preferred return of data stream (pipe or csv) and WWW= whether the request is Start of Day or End of Day X&Date=YYYY-MM-DD&Type=ZZZZ&FileType=WWW The data fields are as follows: Header Parameter Parameter of the query Example: QQQQ EOD Varchar (24) Alphanumeric Weightings Content VERSION 2.1 PAGE 10

11 Company Name The name of the issuer of the index security. Varchar (50) Alphanumeric SEDOL The Stock Exchange Daily Official List number, a code used by the London Stock Exchange to identify foreign stocks, indexes and shares. Varchar (12) - Alphanumeric Please Note: SEDOL information is fee liable and is populated for those users entitled, by LSE, to receive SEDOL information. It is the client s responsibility to have proper approval from LSE prior to requesting SEDOL access. Symbol The identifier or ticker symbol of the index security. Varchar (18) Alphanumeric Exchange (MIC) Indicates the market place on which the issue within Varchar (4) - Alphanumeric the message is primarily listed. NASDAQ OMX will support the ISO standard, an ISO standard for Codes for exchanges and market identification (MIC): it defines codes for stock markets. This standard is updated frequently and the latest published standard is available at the maintenance organization of ISO Closing Price For EOD files, the Closing Price is the last trade received from the primary market for all securities except NASDAQ securities where the NASDAQ Official Closing Price (NOCP) will be used instead. Currency FX Rate Index Shares For SOD files, the Closing price is the previous day s closing price adjusted for overnight corporate actions (if any). Local currency where the underlying constituent is trading. Rate at which one currency may be converted into another. (currently not supported anticipate inclusion in Q1 2011) This field represents the number of shares for an issue within a given index and is based on the specific index s Calculation Method. This value is used to calculate the issue s market value. The market value for each issue is summed to get the Aggregate Market Value used in the index calculation below: Varchar (3) - Alphanumeric Varchar (23) Numeric (including Varchar (53) Numeric (including Index Value = (Aggregate Market Value / Divisor) Market Value The market capitalization of the index security which Varchar (53) Numeric is obtained by multiplying the instrument Market Value at the start of the day by the Index Shares. This value is based on the start of day market value of the underlying components provided by the instrument sponsor. Market Percentage The weighting of each security in the index (market Varchar (9) Numeric (including value of the security divided by the total market value of the index). Footer Index Currency The currency of an issue in ISO Currency codes. Varchar (3) - Alphanumeric NASDAQ OMX will support the ISO 4217 standard, ISO 4217 is the international standard describing three-letter codes (also known as the currency code) to define the names of currencies established by the International Organization for Standardization (ISO) Current Index Value Calculated value: Index Market Value / Divisor Index Market Value Represents the summation of the market value of all Varchar (53) Numeric (including component securities within the index. Total Index Shares Represents the summation of the index shares of all Varchar (53) Numeric (including component securities within the index. VERSION 2.1 PAGE 11

12 Market Percentage Net Change High Low As Of GLOBAL INDEX WATCH WEB SERVICE Represents the summation of the market percentage of all component securities within the index. This field reflects the difference between the current tick value and the prior day s closing tick value for a given instrument. Note: This value will be 0 for Start of Day requests. This field reflects the highest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. This field reflects the lowest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. Date of the report as of market close adjusted for corporate actions to become effective prior to market open on subsequent day. Varchar (9) Numeric (including Varchar (12) Alphanumeric (including special characters and spaces) MM/DD/YYYY (9/21/2009) Divisor The Divisor is a number that is adjusted periodically Varchar (53) Numeric (including (due to component changes and corporate actions) to ensure continuity of an index. This value is used in the index calculations. Index Dividend Point Index Dividend Point = Dividend Market Value/Divisor Varchar (9) Numeric 9 Dividend Market Value Represents the summation of all index securities Varchar (19) Numeric 19 dividend market values Base Value Dividend Market Value = Cash dividend * index shares per security Index Value at inception. The base value represents the index inception value and may be adjusted by the sponsor occasionally. 7.2 Corporate Actions PLUS Data Service: Corporate Actions PLUS Data Service is based on the current corporate actions data service with additional fields. This service is available for the Green Economy Index Family and will be available for the Global Index Family in early The corporate actions plus service has added the following data elements in order to facilitate the global nature of these indexes: SEDOL Currency Exchange FX Rate (to be added in Q4 2010) Please Note: SEDOL information is fee liable and is populated for those users entitled, by LSE, to receive SEDOL information. It is the client s responsibility to have proper approval from LSE prior to requesting SEDOL access. If the user is NOT entitled to receive SEDOLs, the SEDOL field will be blank. The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Start Date - format yyyy-mm-dd EndDate - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID and ZZZZ = clients preferred return of data stream (pipe or csv) VERSION 2.1 PAGE 12

13 Optional Input Format to return changes since last request By including an optional input, in place of the start and end dates, the client can receive a return of just the changes since the last client update request (Delta Date). o o o IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Delta Date format mm/dd/yyyy hh:mm:ss (time represented as 24 hour input) Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID; mm/dd/yyyy hh:mm:ss = optional input of date and time of last record (Delta Date) pull and ZZZZ = clients preferred return of data stream (pipe or csv); XX&StartDate=YYYY-MM-DD&EndDate=YYYY-MM-DD&Type=ZZZZ The data fields are as follows: Header Parameter Parameter of the query Varchar (40) Alphanumeric Example: QQQQ _QQQQ Output Stream Data Field Description Max Field Length / Attribution ID Assigned ID value in the NASDAQ OMX GIW Varchar (9) - Numeric service Effective Date Date the corporate action will take effect and may include a date later than the current Field Length (8) Numeric represented as (YYYYDDMM) date. Current Symbol The current identifier or ticker symbol of the index security. Varchar (18) - Alphanumeric New Symbol The new identifier or ticker symbol of the index security. Varchar (18) - Alphanumeric Current SEDOL The Stock Exchange Daily Official List number, a code used by the London Stock Exchange to identify foreign stocks, indexes and shares. Varchar (12) - Alphanumeric New SEDOL Current Company Name New Company Name Current Index Shares Please Note: SEDOL information is fee liable and is populated for those users entitled, by LSE, to receive SEDOL information. It is the client s responsibility to have proper approval from LSE prior to requesting SEDOL access. The Stock Exchange Daily Official List number, a code used by the London Stock Exchange to identify foreign stocks, indexes and shares. Please Note: SEDOL information is fee liable and is populated for those users entitled, by LSE, to receive SEDOL information. It is the client s responsibility to have proper approval from LSE prior to requesting SEDOL access. The current name of the issuer of the index security. The new name of the issuer of the index security. This field represents the current number of shares for an issue within a given index and is based on the specific index s Calculation Varchar (12) - Alphanumeric Varchar (50) - Alphanumeric Varchar (50) - Alphanumeric Varchar (53) - Numeric (including VERSION 2.1 PAGE 13

14 Method. New Index Shares This field represents the new number of shares for an issue within a given index and is based on the specific index s Calculation Method. Reason This represents the reason for the corporate Variable action. Allowable values currently defined: o Addition o Adjustment o Component Change o Deletion o Divisor Change o Index News o Name Change o Name and Symbol Change o Quarterly o Share Change o Special Corporate Action o Stock Split o Stock Dividend o Symbol Change o Update o SEDOL Split Ratio Represents the split ratio to take place on effective date Comments Free form space available for comment Variable Last update date/time This field represents the last time that the record was updated. Deleted Flag This field represents if a record has been deleted from previous files. Varchar (53) - Numeric (including Variable Alphanumeric represented as (#:# 0r ##:#) 2:1 Varchar (18) - Alphanumeric represented as (MM/dd/yyyy HH:mm:ss) Field Length (1) Alphanumeric allowable values: Empty consecutive delimiters (,, or ) Deleted D 7.1 History Service: This service will return to the client data representing the historical daily summary information related to a specific index identified in the web query. Please refer to section 6.3 for file definition and formats. VERSION 2.1 PAGE 14

15 8 Fixed Income Data Services 8.1 Fixed Income Weightings Data Service This service will return to the client a data stream representing the weightings and component information related to the specific fixed income index identified in the web query. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Date of Weightings File - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe FileType values are either SOD (for start of day requests) or EOD (for end of day requests) Where XXXXXX = GIDS assigned instrument ID, ZZZZ = clients preferred return of data stream (pipe or csv) and WWW= whether the request is Start of Day or End of Day Date=YYYY-MM-DD&Type=ZZZZ&FileType=WWW Header Parameter Parameter of the query Example: QQQQ EOD Varchar (24) Alphanumeric Index Name Index Name Varchar(18) Alphanumeric Index Value This field reflects the final calculated value for an instrument for the defined trade date. Varchar(12) Alphanumeric SOD Index Value Start of day Index Value Varchar(12) Alphanumeric Divisor Divisor for the Index, expressed in index base currency. The Divisor is a number that is adjusted Varchar(53) Alphanumeric periodically (due to component changes and corporate actions) to ensure continuity of an index. This value is used in the index calculations. SOD Divisor Start of day Index divisor Varchar(53) Alphanumeric Market Cap Index market capitalization. Varchar(53) Alphanumeric SOD Market Cap Start of day Market Cap Varchar(53) Alphanumeric Control Value Market Cap from end of previous trade day Varchar(53) Alphanumeric Yield Yield for the index Varchar(20) Alphanumeric SOD Yield Start of day Yield for index Varchar(20) Alphanumeric Index Coupon Index coupon Varchar(20) Alphanumeric Price Risk Index Price Risk Varchar(20) Alphanumeric Duration Index duration value calculated as Macaulay's duration Varchar(20) Alphanumeric VERSION 2.1 PAGE 15

16 Mod. Duration Index duration value calculated as Modified duration Varchar(20) Alphanumeric Convexity Index Convexity Varchar(20) Alphanumeric Nom. Amount Index nominal amount Varchar(53) Alphanumeric SOD Nom. Amount Start of day Index Nominal Amount Varchar(53) Alphanumeric No. of Constituents Accumulated number of active Security Constituents for the Index Varchar(4) Alphanumeric Constituents Added Number of constituents added since previous day. Varchar(4) Alphanumeric Constituents Removed Number of constituents removed since previous day. Varchar(4) Alphanumeric ISIN ISIN for index. ISIN is an unambiguous international identification of assets in accordance with ISO Standard ISIN stands for International Securities Identification Number. Weightings Content (Detail) Varchar(12) Alphanumeric Symbol The identifier or ticker symbol of the index security. Symbol: Varchar(14) ISIN ISIN for the security. ISIN is an unambiguous international identification of assets in Varchar(12) Alphanumeric accordance with ISO Standard ISIN stands for International Securities Identification Number. Nom. Amount Varchar(53) Alphanumeric Constituent Nominal Amount SOD Nom. Amount Varchar(53) Alphanumeric Start Of Day Constituent Nominal Amount Yield Constituent Yield Varchar(20) Alphanumeric Yield Corr. Price Constituent Yield corresponding price Varchar(18) Alphanumeric SOD Yield Start of day Constituent Yield Varchar(20) Alphanumeric SOD Yield Corr. Price Start of day Constituent Yield corresponding price Varchar(18) Alphanumeric Accrued Interest Constituent Accrued Interest Varchar(20) Alphanumeric Duration Index duration value calculated as Macaulay's duration Varchar(20) Alphanumeric Mod. Duration Constituent duration value calculated as Modified duration Varchar(20) Alphanumeric Convexity Constituent convexity Varchar(20) Alphanumeric Price Risk Constituent price risk Varchar(20) Alphanumeric Market Cap Constituent market capitalization Varchar(53) Alphanumeric SOD Market Cap Start of day constituent market cap Varchar(53) Alphanumeric Weight Constituent weight Varchar(10) Alphanumeric VERSION 2.1 PAGE 16

17 8.2 Fixed Income Events Service: This service will return to the client a stream representing the corporate action (event) information related to the specific fixed income index identified in the web query. This service will also allow the client to enter a future date and if an advance event exists the stream will include this data with the effective date populated. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Start Date - format yyyy-mm-dd EndDate - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID and ZZZZ = clients preferred return of data stream (pipe or csv) StartDate=YYYY-MM-DD&EndDate=YYYY-MM-DD&Type=ZZZZ Optional Input Format to return changes since last request By including an optional input, in place of the start and end dates, the client can receive a return of just the changes since the last client update request (Delta Date). IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Delta Date format mm/dd/yyyy hh:mm:ss (time represented as 24 hour input) Type format provided as either pipe( ) or csv(,); default is pipe Where XXXXXX = GIDS assigned instrument ID; mm/dd/yyyy hh:mm:ss = optional input of date and time of last record (Delta Date) pull and ZZZZ = clients preferred return of data stream (pipe or csv); DeltaDate=mm/dd/yyyy hh:mm:ss&type=zzzz Header Parameter Parameter of the query Varchar (40) Alphanumeric Example: QQQQ _QQQQ Output Stream Data Field Description Max Field Length / Attribution ID Assigned ID value in the NASDAQ OMX GIW Varchar (9) - Numeric service Effective Date Date the corporate action will take effect and may include a date later than the current date. Field Length (8) Numeric represented as (YYYYDDMM) Current Symbol New Symbol Current Company Name The current identifier or ticker symbol of the index security. The new identifier or ticker symbol of the index security. The current name of the issuer of the index security. Varchar (18) - Alphanumeric Varchar (18) - Alphanumeric Varchar (50) - Alphanumeric VERSION 2.1 PAGE 17

18 New Company Name The new name of the issuer of the index security. Varchar (50) - Alphanumeric Current Index Shares This field represents the current number of shares for an issue within a given index and is Varchar (53) - Numeric (including based on the specific index s Calculation Method. New Index Shares This field represents the new number of shares for an issue within a given index and is based Varchar (53) - Numeric (including on the specific index s Calculation Method. Reason This represents the reason for the corporate Variable action. Allowable values currently defined: o Addition o Adjustment o Component Change o Deletion o Divisor Change o Index News o Name Change o Name and Symbol Change o Quarterly o Share Change o Special Corporate Action o Stock Split o Stock Dividend o Symbol Change o Update Split Ratio Represents the split ratio to take place on effective date Variable Alphanumeric represented as (#:# 0r ##:#) 2:1 Comments Free form space available for comment Variable Last update date/time This field represents the last time that the record was updated. Varchar (18) - Alphanumeric represented as (MM/dd/yyyy HH:mm:ss) Deleted Flag This field represents if a record has been deleted from previous files. Field Length (1) Alphanumeric allowable values: Empty consecutive delimiters (,, or ) Deleted D 8.3 Fixed Income History Service: This service will return to the client data representing the historical daily summary information related to a specific fixed income index identified in the web query. Input Format The service takes in the following parameters: IndexSymbol format uses the Global Index Data Service (GIDS) assigned instrument ID; Start Date - format yyyy-mm-dd EndDate - format yyyy-mm-dd Type format provided as either pipe( ) or csv(,); default is pipe FileType values are either SOD (for start of day requests) or EOD (for end of day requests) Where XXXXXX = GIDS assigned instrument ID,ZZZZ = clients preferred return of data stream (pipe or csv) and WWW= whether the request is Start of Day or End of Day Example: rtdate=yyyy-mm-dd&enddate=yyyy-mm-dd&type=zzzz&filetype=www VERSION 2.1 PAGE 18

19 Header Parameter Parameter of the query Example: QQQQ _QQQQ EOD Varchar (40) Alphanumeric Output Stream Trade Date Represents the trade date for the index Varchar (8) (YYYYDDMM) Index Value This field reflects the final calculated value for an instrument for the defined trade date. This value may be adjusted for corporate actions from prior days. Varchar (12) - Numeric (including Net Change High Low Total Index Shares Total Market Value Divisor Index Dividend Point This field reflects the difference between the current tick value and the prior day s closing tick value for a given instrument. Note: This value will be 0 for Start of Day requests. This field reflects the highest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. This field reflects the lowest calculated value for an instrument during the business day. Note: This value will be 0 for Start of Day requests. Represents the summation of the index shares of all component securities within the index. This field reflects the closing Market Value at the end of day trade reporting for the instrument identified in the message. The Divisor is a number that is adjusted periodically (due to component changes and corporate actions) to ensure continuity of an index. This value is used in the index calculations. Index Dividend Point = Dividend Market Value/Divisor Varchar (12) - Numeric (including Varchar (12) - Numeric (including Varchar (12) - Numeric (including Varchar (53) Numeric (including Varchar (53) - Numeric (including Varchar (53) - Numeric (including Varchar (9) Numeric 9 Yield Yield for the index Varchar (10) - Numeric (including Index Duration Index duration value calculated as Macaulay's duration Varchar (8) - Numeric (including 9 Support o o For general product support for NASDAQ data feeds, please contact NASDAQ OMX Global Data Products at or dataproducts@nasdaqomx.com. For technical support for NASDAQ data feeds, please contact NASDAQ OMX Systems Engineering at devsupport@nasdaqomx.com. VERSION 2.1 PAGE 19

20 Appendix A Documentation Revision Control Log GLOBAL INDEX WATCH WEB SERVICE April 13, 2009 GIW WebService Version 0.10 (DRAFT) o Released initial product specification, in draft format, to a few developers for comment. May 15, 2009 GIW WebService Version 1.0 (Final) o Released initial product specification March 2010 GIW WebService Version 2.0 o Revised Weightings and History Data Service to include Start of Day and End of Day files o Modified Authentication Protocol to conform with industry standards April 2010 GIW WebService Version 2.0 o Revised format of Parameter field in History Data Service o Revised History Data Service to include Total Index Shares o Revised Corporate Actions Data Service to include the parameter of the query call o Revised format of As Of field in Weightings Data Service October 2010 GIW WebService Version 2.1 o Added enhanced version of Weightings and Corporate Actions web services: Weighting PLUS and Corporate Actions PLUS o Added new Fixed Income web services: Weighting, Events and History web services VERSION 2.1 PAGE 20