Tick Data Prices and Volumes

Transcription

1 Indices Tick Data Prices and Volumes Technical Specifications BME Market Data Product Code 3200 End of Day file External Use Tick Data Prices and Volumes BME MARKET DATA Versión: /09/ :22:00 BME Market Data

2 VERSION CONTROL Version Date Author /04/2011 BME Market Data DISTRIBUTION CONTROL This document is not available in paper format. MODIFICATION CONTROL BY CHANGE OF VERSION New document. 2

3 Index 1 PRODUCTS DESCRIPTION FILE AVAILABILITY CLIENT SUPPORT FORMAT AND DATA DELIVERY FILE FORMAT DATA FORMAT Numeric Format Date and Time Conventions Headings of TXT files, XML files tags Data delivery Name of files INDICES TICK DATA PRICES AND VOLUMES IBEX & LATIBEX FAMILIES STATUS STATISTICAL INFORMATION IGBM FAMILY

4 1 PRODUCTS DESCRIPTION Indices Tick Data Prices and Volumes. Information available at the end of the trading day with closing data on the IBEX, LATIBEX and IGBM Indices. 1.1 FILE AVAILABILITY The files will normally be available at 20:00 CET, and (excluding exceptional circumstances) will always be available before 23:59 CET every trading of the stock market calendar. 1.2 CLIENT SUPPORT Address Telephone Palacio de la Bolsa Plaza de la Lealtad 1, Madrid marketdata@grupobme.es Users have at their disposal a client support service Monday to Friday from 09:00 to 18:30 CET. BME Market Data will keep the Client updated on any modification on the files, as well as on any technical improvements. 4

5 2 FORMAT AND DATA DELIVERY 2.1 FILE FORMAT BME MARKET DATA provides the data for this product in files in the following formats: Format TXT ( ; as field separator and. or, as decimal separator). This format is compatible both with databases and spreadsheets. Each field in the file will be separated from the following field by ; and each line ends with the specific character of line end. Format XML (each field is included in a tag). 2.2 DATA FORMAT Numeric Format No thousand separation is included. Depending on each file the. or, will be used as decimal separator Date and Time Conventions Unless stated otherwise, the date fields are in the format YYYYMMDD being YYYY the year, MM the month and DD the day. Time fields are stated following the format HHMMSS or HHMMSSXX being HH the hour, MM the minute, SS the second and XX second hundredth. Dates and times refer to CET (Central European Time). 5

6 2.2.3 Headings of TXT files, XML files tags The first line of ASCII files (extensions TXT or similar) contains the headings of the file; the rest of lines contain the data. Product XML TXT Indices Coincides with FIELD CODE Coincides with FIELD CODE Data delivery The information is available via Internet through a FTP (File Transfer Protocol) at the address ftp://ftp.bolsasymercados.es (ftp:// ) and in the folders \Productos Fin de Día e Históricos\Ficheros diario\índices\ticks de precios y volúmenes Name of files Name of the file by product and type: 6

7 PRODUCT PRICES AND VOLUMES TYPE DAILY TICKS INDICES PRICES AND VOLUMES IBEX FAMILY IGBM FAMILY IND_TPV_SI_YYYYMMDD.TXT IND_TPV_SI_YYYYMMDD.XML IND_TPV_ES_YYYYMMDD.TXT IND_TPV_ES_YYYYMMDD.XML IGBM_TPV_YYYYMMDD.TXT IGBM _TPV_YYYYMMDD.XML 7

8 3 INDICES TICK DATA PRICES AND VOLUMES 3.1 IBEX & LATIBEX FAMILIES Two files are available with all the tick data of the status and statistical information on the indices. The key to access the data of each index is the combination of ([VALOR] + [IDEN_INDICE]+ [SECUENCIA]). N entries of status/statistics per index. The contents of each file are as follows: STATUS File with all the tick data of the indices: ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES IND FECHA X(8) DATE YYYYMMDD IND SECUENCIA 9(7) SEQUENCE NUMBER IND IDEN_INDICE X(1) INDEX ID I - IBEX 35 C - IBEX MEDIUM CAP S - IBEX SMALL CAP L - FTSE LATIBEX BRASIL T - FTSE LATIBEX TOP N - FTSE4Good IBEX D - IBEX TOP DIVIDENDO B - FTSE LATIBEX ALL SHARE J - IBEX 35 CON DIVIDENDOS K - IBEX 35 INVERSO H - IBEX 35 IMPACTO DIV V - IBEX 35 DOBLE INVERSO W - IBEX 35 TRIPLE INVERSO 8

9 ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES F - IBEX 35 DOBLE APALANCADO M - IBEX 35 TRIPLE APALANCADO Y - IBEX 35 CON DIVIDENDOS NETOS IND VALOR X(5) INSTRUMENT ID Always IND IND TITULOS_NEG 9(11) VOLUME TRADED (THOUSANDS) OF THE INDEX CONSTITUENTS AT THAT TIME OF THE TRADING DAY IND INDICE_COMP 9(12)V9(6) ÍNDEX IBEX 35 COMPRA. IND INDICE_VENT 9(12)V9(6) ÍNDEX IBEX 35 VENTA. IND EFEC_NEG 9(17)V9(5) TURNOVER TRADED IN EUROS (THOUSANDS) BY THE INDEX CONSTITUENTS AT THAT TIME OF THE TRADING DAY. IND INDICE_ACTUAL 9(12)V9(6) PRESENT INDEX PRICE (DURING THE ADJUSTMENT PERIOD IT SHOWS THE PREVIOUS DAY CLOSING PRICE) IND INDICE_MEDIO 9(12)V9(6) AVERAGE INDEX PRICE AT THAT TIME OF THE TRADING DAY IND SIGNO_VARIA X(1) CHANGE SIGN + - Positive change - - Negative change IND VARIACION 9(12)V9(6) LAST PRICE CHANGE WITH REGARD TO THE REFERENCE PRICE (CLOSING PRICE OF THE PREVIOUS TRADING DAY) IND PORCEN_VARIA 9(12)V9(6) % CHANGE IN THE LAST PRICE WITH REGARD TO THE REFERENCE PRICE (CLOSING PRICE OF THE PREVIOUS TRADING DAY) IND INDICE_LIQ 9(12)V9(6) SETTLEMENT INDEX Always 0 for indices other than IBEX 35 IND ESTIMADOR 9(12)V9(6) BALANCE PRICE IN AUCTIONS IND PROCESO_LIQ X(2) SETTLEMENT PROCESS 00 indicates that the settlement index is not being calculated. Always 00 for indices other than IBEX to 30 Indicates the number ID of the settlement index being calculated IP Indicates that the settlement index calculated is provisional IL Indicates that the settlement index calculated is official IND HORA X(8) REGISTRATION TIME HHMMSSXX IND ORIGEN X(2) DATA ORIGIN RV - Equities 9

10 3.1.2 STATISTICAL INFORMATION File with all the statistical ticks of indices: ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES IND FECHA X(8) DATE YYYYMMDD IND SECUENCIA 9(7) SEQUENCE NUMBER IND IDEN_INDICE X(1) INDEX ID I - IBEX 35 C - IBEX MEDIUM CAP S - IBEX SMALL CAP L - FTSE LATIBEX BRASIL T - FTSE LATIBEX TOP N - FTSE4Good IBEX D - IBEX TOP DIVIDENDO B - FTSE LATIBEX ALL SHARE J - IBEX 35 CON DIVIDENDOS K - IBEX 35 INVERSO H - IBEX 35 IMPACTO DIV V - IBEX 35 DOBLE INVERSO W - IBEX 35 TRIPLE INVERSO F - IBEX 35 DOBLE APALANCADO M - IBEX 35 TRIPLE APALANCADO Y - IBEX 35 CON DIVIDENDOS NETOS IND VALOR X(5) INSTRUMENT ID Always IND.H IND SUBEN_INDICE 9(8) NUMBER OF INDEX CONSTITUENTS THAT RISE UNTIL THE REGISTRATION TIME IND SUBEN_MDO 9(8) NUMBER OF SECURITIES THAT RISE UNTIL THE REGISTRATION TIME IND BAJAN_INDICE 9(8) NUMBER OF INDEX CONSTITUENTS THAT FALL UNTIL THE REGISTRATION TIME IND BAJAN_MDO 9(8) NUMBER OF SECURITIES IN THE MARKET THAT FALL UNTIL THE REGISTRATION TIME IND REPITEN_INDICE 9(8) NUMBER OF INDEX CONSTITUENTS THAT REPEAT PRICE UNTIL THE REGISTRATION TIME IND REPITEN_MDO 9(8) NUMBER OF SECURITIES IN THE MARKET THAT REPEAT PRICE UNTIL THE REGISTRATION TIME. 10

11 ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES IND INDICE_ANTERIOR 9(12)V9(6) CLOSING INDEX PRICE OF THE PREVIOUS TRADING DAY IND APERTURA_INDICE 9(12)V9(6) OPENING INDEX PRICE IND HORA_APERTURA X(8) OPENING TIME HHMMSSXX IND INDICE_MAXIMO 9(12)V9(6) HIGH PRICE IND HORA_MAXIMO X(8) HIGH PRICE TIME HHMMSSXX IND INDICE_MINIMO 9(12)V9(6) LOW PRICE IND HORA_MINIMO X(8) LOW PRICE TIME HHMMSSXX IND HORA X(8) REGISTRATION TIME HHMMSSXX IND ORIGEN X(2) DATA ORIGIN RV - Equities 3.2 IGBM FAMILY One file is generated for all the ticks of the IGBM in the session as well as sector indices. The key to access the data for each index is the combination of ([INM_CVALISO] + [ILD_NUMSEC]). N situation registers for each index, being the register ILD_IND_POS = * those referring to the official market close. The contents of the file are detailed in the following table: ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES IND INM_CVALISO X(12) CODE ISIN IND INM_NOMRED X(12) SHORT NAME IND INM_NOMBRE X(80) LONG NAME IND CSE_GRUPO_IND X(2) INDEX SECTOR SECTOR CODE IND CSE_GRUPO_SUB X(2) INDEX SUBSECTOR SUBSECTOR CODE IND ILD_FECHA_SESION X(8) DATE YYYYMMDD IND ILD_HORA_GRAB X(8) STORAGE TIME HHMMSSXX IND ILD_NUMSEC 9(8) ASSIGNED SEQUENCY NUMBER 11

12 ASSET TYPE FIELD CODE LENGTH DESCRIPTION VALUES IND ILD_PRECIO_ULT 9(12)V9(6) LAST PRICE IND ILD_IND_POS 9(12)V9(6) LAST PRICE POSITION * Precio de cierre IND ILD_PRECIO_ANT 9(12)V9(6) PREVIOUS PRICE IND ILD_PRECIO_MAX 9(12)V9(6) MAXIMUM PRICE IND ILD_PRECIO_MIN 9(12)V9(6) MINIMUM PRICE IND ILD_PRECIO_ULTANT 9(12)V9(6) PRICE LAST TRADING SESSION IND ILD_NUMERO_SUBEN 9(8) NUM. SECURITIES THAT RISE IND ILD_NUMERO_BAJAN 9(8) NUM. SECURITIES THAT FALL IND ILD_NUMERO_REPITEN 9(8) NUM. SECURITIES REPEAT PRICE IND ILD_IND_TENDENCIA X(1) TREND + = - The sequency numbers are consecutive and shared by all indices. 12