Global Data Products – End-of-Day and Basic Data file products
TIP file format specification
2013-09-09
version 2.3 – GCF 2.4.5
Contents
CONTENTS ................................................................................ III
1
OVERVIEW ........................................................................... 1
1.1
1.2
1.3
1.4
1.5
2
BASIC DATA AND CLOSE DATA FILES ................................... 3
2.1
2.2
2.3
3
Files and Configuration ................................................................. 11
Output Inet reference data files .................................................... 12
TSTAT FILE ........................................................................ 14
6.1
6.2
7
Files and file types ........................................................................ 10
Output in CAADS_FULL_DAY file ................................................... 10
INET REFERENCE DATA FILES ............................................ 11
5.1
5.2
6
Files and file types .......................................................................... 9
Output in LMI file ............................................................................ 9
CORPORATE ACTION MESSAGES ........................................ 10
4.1
4.2
5
Files and file types .......................................................................... 3
Output in Basic Data and Close files ................................................ 4
Output in Issuers basic data file ..................................................... 8
LIQUIDITY MEASUREMENT INDICATOR DATA ..................... 9
3.1
3.2
4
Introduction.................................................................................... 1
Concepts ......................................................................................... 1
Developer’s information.................................................................. 1
References ...................................................................................... 1
Document revision history .............................................................. 2
Files and file types ........................................................................ 14
Output in TSTAT file ...................................................................... 14
VOCABULARIES AND OTHER .............................................. 15
7.1
7.2
External standard vocabularies ..................................................... 15
Instruments .................................................................................. 15
8
CHANGES AND KNOWN PROBLEMS .................................... 16
9
APPENDIX.......................................................................... 17
Nasdaq Omx• 2011
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1
Overview
1.1
Introduction
This document describes the basic data, end-of-day and other files that are produced from the
Genium Consolidated Feed (GCF). The files are in included in NASDAQ OMX Nordic’s market
data products and distributed via the File Delivery Service (FDS). See more information on
available market data products on the web:
http://nordic.nasdaqomxtrader.com/marketdata/reports/
1.2
Concepts
Basic data – relatively static information used as the basis of real-time activities. NASDAQ OMX
Nordic basic data model defines both the structure and contents of the relevant market data.
Close data – instrument closing prices, identification data, and statistics.
TIP – interaction protocol for the customer systems interfacing with Genium Consolidated Feed.
Also the files produced from GCF are in TIP format.
Genium Consolidated Feed (GCF) – disseminates consolidated real-time data from all NASDAQ
OMX Nordic Markets source systems.
INET reference data files – files containing basic data from the INET Nordic source, generated in
the morning.
1.3
Developer’s information
This document will not describe the details of the TIP protocol but only describe which TIP
messages the output files will contain and in what order. See the TIP protocol specification [1] for
TIP format details.
Tip messages will be written to file only if they are mapped and exist.
Table entry with a * before a TIP message means an iteration are made over messages (also stated
in description part).
Solution is based on iteration over the tradable securities (orderbooks), hence one unique tip
messages may occur more than ones.
Note that OrderbookSummary message might occur ones or twice per orderbook, depending on if
the official closing flags price and turnover came in separate or in one message.
Changes to NASDAQ OMX TIP file format will be documented. Major changes will increase the
major revision number.
1.4

References
1. NASDAQ OMX GENIUM™ Consolidated Feed TIP Specification 2.4.5.0
http://nordic.nasdaqomxtrader.com/marketdata/datafeeds/geniumconsolidatedfeed/
Nasdaq Omx• 2011
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1.5
Document revision history
Table 1:
Document revision history
Date
ID
Version
Comments
2011-04-07
JoBu
0.1
First draft, Recorder/TIP 2.3.0
2011-04-14
JaIm
1.0
Published version
2011-05-10
JoBu
1.1
Updated chapter 5.1 and Appendix.
2012-05-07
JoBu
2.0
Recorder/TIP 2.4.2. Updated chapter 2.2.4. Inserted
chapter 6.
2013-08-09
JoBu
2.1
Updated reference to MIC chapter and TIP version.
Added NOTE in 7.1.1 to clarify that NOMX is not a
MIC. Replaced market/file mapping table in
Appendix with a reference to the document. TSTAT
file added.
2013-08-20
JoBu
2.2
Added NOTE on 2.1. Removed
BasicDataTickSizeTable and Entry from 2.2.4.
2013-09-09
JoBu
2.3
Changed where BasicDataTickSizeTable and Entries
are written. See Note in chapter 2.2.
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2
Basic data and Close data files
2.1
Files and file types
NASDAQ OMX Nordic publishes the following basic data (morning) files in TIP:
Table 2:
Basic data files in TIP
File name
File type
Published
before (CET)
Stockholm
Helsinki
Published
before (CET)
Riga Tallinn
Vilnius
<MIC>_Stock_BasicData.tip
Stock
07:25
07:25
<MIC>_EquityRelated_BasicData.tip
EquityRelated 07:25
07:25
<MIC>_Bond_BasicData.tip
Bond
07:25
07:25
<MIC>_BondDeriv_BasicData.tip
BondDeriv
07:25
07:25
<MIC>_Deriv_BasicData.tip
Deriv
07:25
07:25
<MIC>_Comm_BasicData.tip
Comm
07:25
07:25
Issuers.tip
Issuer
07:25
07:25
NASDAQ OMX Nordic publishes the following closing files in TIP:
Table 3:
Published closing files in TIP
File name
<MIC>_Stock_Close2.tip
<MIC>_EquityRelated_Close2.tip
<MIC>_Bond_Close2.tip
<MIC>_BondDeriv_Close2.tip
<MIC>_Deriv_Close2.tip
<MIC>_Comm_Close2.tip
File type
Published
before (CET)
Stockholm
Helsinki
Copenhagen
Iceland
Published
before (CET)
Riga Tallinn
Vilnius
Stock
18:02-18:12
15:36
EquityRelated
18:10
15:36
Bond
18:02-18:12
15:36
BondDeriv
18:10
Deriv
18:08
Comm
18:08
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic. The expression <MIC> is XSTO, XHEL, XCSE etc, see 7.1.1 Exchange
and market for further description.
File types specify the high-level market model of an exchange.
Table 4:
File types
File type
SOURCE
Market
Stock
INET/GITS
Equities and ETFs
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File type
SOURCE
Market
EquityRelated
INET
Equity related
Bond
GITS/INET
Fixed income
BondDeriv
GITS
Fixed income derivatives
Deriv
GITS
Derivatives
Comm
NORDPOOL/N2EX Commodities
2.2
Output in Basic Data and Close files
Each of the file types defined above may contain one or more of the message categories defined
below – Share, ETF, Right, Derivative, Rate, UTC, Bond. Basic Data files are sent in the morning
and, in addition to reference data, may contain closing price data from the previous day within the
OrderbookSummary messages. Close files are sent in the evening after the markets close and
contain the official closing prices of the day within the OrderbookSummary messages.
NOTE: Last in basic data files message BasicDataTickSizeTable (BDTs) with its entries in form of
BasicDataTickSizeEntry (BTTz) are written once for all instrument types.
2.2.1
Share basic data and close messages
Iteration over one Share, the write order is:
Table 5:
The Shares write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
BasicDataShare
The share
BDSh
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
2.2.2
ETF basic data and close messages
Iteration over one ETF, the write order is:
Table 6:
The ETF write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
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Message name
Description
Type
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
BasicDataETF
The etf
BDEt
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
2.2.3
Right basic data and close messages
Iteration over one Right, the write order is:
Table 7:
The Rights write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
*BasicDataTradable
Iteration over tradable underlying’s (only in basic data
file) or:
BDt
*BasicDataNonTradable
iteration over non tradable underlying’s (only in basic
data file)
BDNt
BasicDataRight
The right
BDRi
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
2.2.4
Derivate basic data and close messages
Iteration over one Derivative, the write order is:
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Table 8:
The Derivatives write order.
Message name
Description
Type
BasicDataSource
The source system (only in close file)
BDSr
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
BasicDataDerivative
The derivative
BDDe
*BasicDataUnderlyingInfo
*Iteration over underlying info (only in basic data file)
BDUi
*BasicDataTradable
Iteration over tradable underlying’s (only in basic data
file) or:
BDt
*BasicDataNonTradable
iteration over non tradable underlying’s (only in basic
data file)
BDNt
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
OpenInterest
The open interest (only in close file)
Oi
2.2.5
Rate basic data and close messages
Iteration over one Rate, the write order is:
Table 9:
The Rates write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
BasicDataRate
The rate
BDv
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
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2.2.6
UTC basic data and close messages
Iteration over one UTC, the write order is:
Table 10: The UTC write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
BasicDataUTC
The utc
BDUt
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
2.2.7
Bond basic data and close messages
Iteration over one Bond, the write order is:
Table 11: The Bonds write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataMarket
The market
BDm
BasicDataMarket
The parent market
BDm
*BasicDataTableEntry
Iteration over stop codes
BDTe
*BasicDataTableEntry
Iteration over note codes
BDTe
BasicDataTableEntry
Instrument subtype (only in basic data file)
BDTe
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
BasicDataTradable
The tradable
BDt
*BasicDataTradable
Iteration over tradable underlying’s (only in basic data
file) or:
BDt
*BasicDataNonTradable
iteration over non tradable underlying’s (only in basic
data file)
BDNt
BasicDataBond
The bond
BDBo
*BasicDataList
Iteration over lists
BDLi
OrderbookSummary
The orderbooksummary (one or two messages)
OBs
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2.3
Output in Issuers basic data file
The file contains Issuer related basic data. For each Issuer, its share data is also written.
2.3.1
Issuers basic data messages
Iteration over one Issuer, the write order is:
Table 12: The Issuer write order.
Message name
Description
Type
BasicDataSource
The source system
BDSr
BasicDataSector
The sector
BDs
BasicDataIssuer
The issuer
BDIs
The Issuer data is then followed by iteration over all shares belonging to the Issuer where the data
bellow is written to file.
Table 13: The Shares data write order.
Message name
Description
Type
BasicDataExchange
The exchange
BDx
BasicDataTradable
The shares tradable message
BDt
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3
Liquidity Measurement
Indicator Data
3.1
Files and file types
NASDAQ OMX Nordic publishes the following Liquidity Measurement Indicator (LMI) files in
TIP:
Table 14: Published LMI files in TIP
File name
File type
Official
data
Published
before
(CET)
Stockholm
Helsinki
Copenhagen
Iceland
Published
before
(CET)
Riga
Tallinn
Vilnius
<MIC>_LMI_all.tip
Lmi
Lmi
19:05-19:15
14:40
<MIC>_LMI_end_of_day.tip
Lmi
Lmi
19:05-19:15
14:40
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic. The expression <MIC> is XSTO, XHEL, XCSE etc, see 7.1.1 Exchange
and market for further description.
3.2
Output in LMI file
The files will contain LMI data.
3.2.1
LMI messages
Iteration over one LMI, the write order is:
Table 15: The LMI write order.
Message name
Description
Type
BasicDataSource
The source system
BDSr
BasicDataExchange
The exchange
BDx
BasicDataTradable
The tradable
BDt
The instrument message
type2
The periodic indicator
PEr
BasicDataCommon
PeriodicIndicator
1
1
BasicDataCommon = instrument type. Can be one of BasicDataBond, BasicDataDerivative, BasicDataETF,
BasidDataRate, BasicDataRight, BasicDataShare, BasicDataUTC, see chapter 6.2 for details.
2
See chapter 6.2 Table 28 for details.
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4
Corporate Action Messages
4.1
Files and file types
NASDAQ OMX Nordic publishes the following Corporate Action Messages data (CAADS) files
in TIP:
Table 16: Published CAADS files in TIP
File name
File type
Official
data
Published
before
(CET)
Stockholm
Helsinki
Copenhagen
Iceland
CAADS_FULL_DAY.tip
CAADS
CAADS
18:13
Published
before
(CET)
Riga
Tallinn
Vilnius
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic.
4.2
Output in CAADS_FULL_DAY file
The file will contain CAADS data.
4.2.1
Corporate Action messages
Iteration over one CAADS, the write order is:
Table 17: The CAADS write order.
Message name
Description
Type
CorporateActionMeta
Meta information on disclosure
CDCm
*CorporateActionText
Company disclosures. Iteration over messages (one or
several)
CDCt
*CorporateActionLink
Additional URL for a disclosure. Iteration over messages,
(zero or more)
CDCl
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5
Inet reference data files
5.1
Files and Configuration
NASDAQ OMX Nordic publishes the following basic data (morning) files in TIP:
Table 18: Basic data files in TIP and accounts.
File name
Account/Filters
Published
before
(CET)
Stockholm
Helsinki
Published
before
(CET) Riga
Tallinn
Vilnius
Baltic_Equity_RefData.tip
<name>_BALTIC
07:00
07:00
Nordic_Equity_RefData.tip
<name>_NORDIC
07:00
07:00
ICE_Bond_RefData.tip
<name>_ICE_BOND
07:00
07:00
Index_RefData.tip
<name>_INDEX
07:00
07:00
Aktietorget_RefData.tip
<name>_AKTIETORGET 07:00
07:00
Formatted: Normal
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic.
Account: <name> stands for TIPSPY_RD.
Filters: <name> stands for REF_DATA.
Table 19: Filter settings.
Filter
Description
BALTIC
Contains all Baltic markets in INET.
NORDIC
Contains all Nordic markets in INET.
ICE_BOND
Contains INET Exchange/Market:
- NASDAQ OMX Iceland hf. / OMX ICE Fixed Income
- NASDAQ OMX Iceland hf. / OMX ICE CP Fixed Income
- NASDAQ OMX Iceland hf. / OMX ICE DP Fixed Income
INDEX
Contains:
- Source ICS: All Baltic and Nordic indexes.
- Source ICS_INDEX: NASDAQ OMX Europe + OMX Oslo 20
indexes.
- Source ICS_INDEX2: NASDAQ OMX CER, Carbon, EUA & SHB FX
Model indexes.
AKTIETORGET
Contains data from Aktietorget.
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic.
Please note that there can be some basic data messages in the reference data files which are not
directly related neither to the INET source nor markets. These are so called “global” messages
which are always part of the TIP feed, and thereby also the reference data files, regardless the
source system those come from. If a customer system must be able to recognize those messages
Nasdaq Omx• 2011
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that can be done based on the source id (tag ‘s’), in those messages. The ones related to INET have
always value 8.
5.2
Output Inet reference data files
5.2.1
Baltic, Nordic and ICE_BOND files
The filters for Baltic, Nordic and ICE_Bond contains the Basic Data messages listed in the table
below:
Table 20: Basic data messages in filters for Baltic, Nordic and ICE_BOND.
Message name
Type
BasicDataExchange
BDx
BasicDataMarket
BDm
BasicDataTradable
BDt
BasicDataShare
BDSh
BasicDataDerivate
BDDe
BasicDataBond
BDBo
BasicDataETF
BDEt
BasicDataUTC
BDUt
BasicDataRight
BDRi
BasicDataRate
BDv
BasicDataUnderlyingInfo
BDUi
BasicDataNonTradable
BDNt
BasicDataExternal
BDe
BasicDataIndex
BDIn
BasicDataList
BDLi
BasicDataSector
BDs
BasicDataIndexMember
BDIm
BasicDataListMember
BDLm
BasicDataSectorMember
BDSm
BasicDataTableEntry
BDTe
BasicDataIssuer
BDIs
BasicDataCrossCurrency
BDCc
BasicDataTickSizeTable
BDTs
BasicDataTickSizeEntry
BDTz
BasicDataTranslationTable
ATb
BasicDataCashFlow
BDCf
BasicDataCircuitBreaker
BDCb
BasicDataClearingVenue
BDCv
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Message name
Type
BasicDataTradeType
BDTt
BasicDataParticipant
BDp
BasicDataBankDays
BDBd
BasicDataTradingDays
BDTd
BasicDataTradingScheme
BDTm
BasicDataTrader
BDTr
5.2.2
Index file
The filter for Index contains the Basic Data messages listed in the following table:
Table 21: Basic data messages in filters for Index.
Message name
Type
BasicDataIndex
BDIn
BasicDataIndexMember
BDIm
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6
TSTAT file
6.1
Files and file types
NASDAQ OMX Nordic publishes the following Corporate Action Messages data (CAADS) files
in TIP:
Table 22: Published CAADS files in TIP
File name
Official data
NOMX_Comm_TSTAT.tip
Commodities, OTC.
Published
before
(CET)
Stockholm
Helsinki
Copenhag
en
Iceland
Published
before
(CET)
Riga
Tallinn
Vilnius
Every 15 min
0900-1830
Please note that the publish times are indicative and may vary on daily basis or changed by
NASDAQ OMX Nordic.
6.2
Output in TSTAT file
The file contains commodities and OTC data written at a repeated interval during day.
6.2.1
Messages
Table 23: The TSTAT write order.
Message name
Description
Type
TradeStatistics
The trade statistics
TSt
*Orderbook
Orderbook message. Iteration over messages (one or
several)
OBk
OpenInterest
The open interest.
Oi
*Trade
OTC trade. Iteration over messages (one or several).
TRd
*TradeReportExternal
OTC trade report external. Iteration over messages (one
or several).
TRe
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7
Vocabularies and other
7.1
External standard vocabularies
7.1.1
Exchange and market
ISO 10383 Exchange/Market Identifier Codes used for the files. NOTE: One exception, see table
25.
Complete MIC table found at: http://www.iso15022.org/MIC/homepageMIC.htm
Table 24: Exchange and market
Value
Name
XCSE
Nasdaq OMX Copenhagen
XHEL
Nasdaq OMX Helsinki
XICE
Nasdaq OMX Iceland
XLIT
Nasdaq OMX Vilnius
XRIS
Nasdaq OMX Riga
XSAT
AktieTorget
XSTO
Nasdaq OMX Stockholm
XTAL
Nasdaq OMX Tallinn
N2EX
N2EX
Table 25: Exchange and market NOT in ISO 10383.
Value
Name
NOMX
Nasdaq OMX Derivatives and Commodities Markets
7.2
Instruments
BasicDataCommon is the general name for all instruments and these are:
Table 26: BasicDataCommon
Basic data message
Type
BasicDataBond
BDBo
BasicDataDerivative
BDDe
BasicDataETF
BDEt
BasicDataRate
BDv
BasicDataRight
BDRi
BasicDataShare
BDSh
BasicDataUTC
BDUt
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8
Changes and known problems
NASDAQ OMX Nordic reserves the right to change the TIP file format description. All changes
into the TIP file format description are made with prior notice.
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9
Appendix
Below is the reference to market/file mapping document. This document might change.
http://nordic.nasdaqomxtrader.com/digitalAssets/75/75112_eod_products_june20.xls
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