Annex ‘A’ MARKET DATA DISSEMINATION POLICY
This document sets out the general policy adopted by the Colombo Stock Exchange (CSE) with
regard to sale and dissemination of real time market data of the CSE (hereinafter referred to as
‘market data’).
All users of market data shall enter into an agreement with the CSE, in terms of which the use
and distribution of such data will be governed.
CATEGORIES OF MARKET DATA
The CSE offers the following categories of market data:
1.
REAL TIME MARKET DATA FEED (RAW DATA FEED)
The Real Time Market Data Feed is a stream of FAST [(FIX Adapted for STreaming) encoded
FIX (Financial Information eXchange)] messages that provide real-time market data pertaining
to each security traded on the CSE.
The market data included in the Real Time Market Data Feed is set out in Annex 1.
Frequency of Dissemination: Intra Day – Real Time
Medium of Dissemination: Leased Line - UDP FAST protocol
2.
XML TICKER
The market data included in the XML Ticker is set out below.
(a)
(b)
(c)
Data pertaining to the indices of the CSE
Data pertaining to each securities transaction carried out on the CSE such as;

Company name,

Price per security,

Quantity of securities

Variation of securities
Turnover (including Sector Turnover)
Frequency of Dissemination: Intra Day – Real Time
Medium of Dissemination: XML format via the CSE Website provider
FEE STRUCTURE
The fees payable by the users are set out in the table below. The CSE may, at its discretion,
revise/waive the fee applicable to any category of market data.
1 The fees set out herein do not include Value Added Tax (VAT) or any other taxes that may be
imposed by the relevant authority.
Category of Market Data
Real Time Market Data Feed /
Raw Data Feed
Fee
Local Users*
Rs. 500,000/- per annum
Foreign Users**
USD 10,000/- per annum
(The fees applicable for present users will be reduced at the next
renewal of the agreement)
XML Ticker
Local Users*
Rs. 100,000/- per annum
Foreign Users**
USD 1000/- per annum
* Organizations/ Companies established/ incorporated in Sri Lanka or residents of Sri
Lanka
** Organizations/Companies established/incorporated outside Sri Lanka or non-residents
of Sri Lanka
2 ANNEX 1
MARKET DATA INCLUDED IN THE REAL TIME MARKET DATA FEED (RAW DATA FEED)
(a)
Order Book Information  Instrument
 Price
 Number of shares / contracts
 Side - Buy or Sell
 Highest bid price for the day
 Lowest offer price for the day
 Best bid price
 Best bid quantity
 Bid price movement
 Best ask price
 Best ask quantity
 Ask price movement
(b)
Trade Information  Last trade price
 Last trade size(In the case of auctioned trades, this value will represent the
total traded volume in the auction)
 Last trade time
(c)
Other information  Opening price
 Closing price
 High price – The highest trade price for the day.
 Low price - Lowest trade price for the day.
 VWAP
 Total Volume – The number of shares/contracts traded for the day
 Turnover for the day
 Number of trades for the day
 Market announcements
(d)
Statistics  Market and Sector Statistics
 Value of each index
3