Implementation of Single
Stock Futures on the
Reuters and Bridge
Networks
White Paper, Version 2.1
Author: Brian McNelis
Single Stock Futures Project
October 29, 2002
Issued:
i
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Revision History
Updates
Pages
Updates in Version 1.1
Remove Distribution List for Web release
Add information on Island Futures Exchange
Add List of NQLX first 50 stocks
Add Information on locating Instruments from Desktop Devices
Updated info on last trading day for narrowly based indexes
Add Information on Existing RICs using new SSF Structure
iii
Various
Appendix C
12
19
26
Updates in Version 1.2
Minor edits to Introduction
Section on Symbology Revised
Correct Table on Form of Delivery indicator
Added Information on New Boston Options Exchange (BOX)
Relocated Section on Capacity to Follow Markets
Revised Section on Capacity to account for announcement of BOX
Updates in Version 2.1
Sections of document rearranged to improve readability
Exchanges Plan November 8 Launch
Impact statement added to aid client decision-making
Changes made to section on Bridge symbology
Information added on enumerated types
Information added on impact to Market Data Systems (MDS)
Information added on DataScope delivery
Lists of initial products revised by exchanges
2
4
5
10
11
11
Various
2
3
9
20, Appendices F & G
22
25
Appendices B, C & D
This document does not have any legal effect, but is for information purposes only. Nothing in this document shall in any
way be deemed to alter the legal rights and obligations contained in your agreements with Reuters relating to the products
described in this document. The information provided in this document may be deemed to include forward-looking
statements within the meaning of Section 27A of the US Securities Act of 1933 and Section 21E of the US Securities
Exchange Act of 1934. For a discussion of certain important factors that could cause actual results to differ materially
from those discussed in such forward-looking statements, please refer to the Risk Factors included in Reuters Preliminary
Results announcement for the year ended 31 December 2001. Copies of the Preliminary Results are available on request
from Reuters Group PLC, 85 Fleet Street, London EC4P 4AJ. Reuters shall not be liable for any errors in the information
or for any actions taken in reliance thereon.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Table of Contents
SUMMARY ..................................................................................................................................................... 1
INTRODUCTION ............................................................................................................................................ 2
W EB SITES OF INTEREST ................................................................................................................ 3
IMPACT STATEMENT ................................................................................................................................... 4
COMPLIANCE ISSUES ...................................................................................................................... 4
CAPACITY ISSUES........................................................................................................................... 4
SYMBOLOGY .................................................................................................................................. 4
RECORD TEMPLATES ...................................................................................................................... 4
DISPLAY TEMPLATES ...................................................................................................................... 4
ENUMERATED TYPE FILES .............................................................................................................. 4
SERVER RELEASES ........................................................................................................................ 4
DESKTOP APPLICATIONS................................................................................................................. 4
AVAILABILITY OF CONTENT.............................................................................................................. 4
ENTITLEMENTS ............................................................................................................................... 4
MARKETS ...................................................................................................................................................... 5
ONECHICAGO, LLC ........................................................................................................................ 5
NASDAQ LIFFE MARKETS, LLC (NQLX) .......................................................................................... 5
AMEX ........................................................................................................................................... 6
ISLAND FUTURES EXCHANGE (IFX) ................................................................................................. 6
BOSTON OPTIONS EXCHANGE GROUP LLC (BOX) .......................................................................... 6
CLEARING ..................................................................................................................................................... 7
THE OPTIONS CLEARING CORP (OCC)............................................................................................ 7
CHICAGO MERC CLEARING ............................................................................................................. 7
SYMBOLOGY................................................................................................................................................. 7
SYMBOLOGY ON REUTERS DESKTOP AND DATAFEED PRODUCTS ..................................................... 7
Exchange ID Needed for Reuters RICs ................................................................................... 7
Diagram of Stock Futures RIC Structure .................................................................................. 7
Possible Modifications to Approved RIC Structure .................................................................. 8
Form of Delivery/Corporate Action Indicator ............................................................................ 8
Examples of Proposed Full Quote RICs .................................................................................. 8
Example of a continuation series full quote RIC ...................................................................... 8
Construction of Futures Chain RICs ........................................................................................ 9
How to Locate SSF RICs on Desktop Devices ........................................................................ 9
SYMBOLOGY ON REUTERS BRIDGE PRODUCTS ................................................................................ 9
Individual Contract Symbols ................................................................................................... 10
Chains of SSF Contracts on Reuters Bridge products ........................................................... 11
SYMBOLOGY ON REUTERS BRIDGEFEED BROADCAST .................................................................... 11
Symbology for OneChicago on RBFB .................................................................................... 11
Symbology for Nasdaq Liffe Markets on RBFB ...................................................................... 12
SYMBOLOGY ON REUTERS PLUS PRODUCTS.................................................................................. 12
Quote Line Displays ............................................................................................................... 12
Order Book Data .................................................................................................................... 12
Chains on Reuters Plus Products .......................................................................................... 12
CAPACITY.....................................................................................................................................................12
DATABASE ................................................................................................................................... 13
BANDWIDTH ................................................................................................................................. 13
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
IMPLICATIONS FOR REUTERS BRIDGEFEED, REUTERS BRIDGEFEED BROADCAST ............................ 13
CONTENT......................................................................................................................................................13
TICKER FEEDS .............................................................................................................................. 13
CBOE Financial Network ........................................................................................................ 13
NMF Feed from NQLX ........................................................................................................... 14
Island Futures Exchange “ITCH” Feed .................................................................................. 14
DIFFERENCES BETWEEN STOCK AND COMMODITY FUTURES .......................................................... 14
Special Market Rules for Stock Futures ................................................................................. 14
Circuit Breakers / Market halts ............................................................................................... 15
Definition of the Trading Day .................................................................................................. 15
Minimum Price Increment....................................................................................................... 15
Contract Size .......................................................................................................................... 15
Last Trading Day .................................................................................................................... 15
Delivery Months ...................................................................................................................... 15
RECORD TEMPLATES .................................................................................................................... 15
Support for NQLX Data Records ............................................................................................ 15
Support for OneChicago Data Records ................................................................................. 16
NEW FIELDS REQUIRED ................................................................................................................ 16
Lot Size for 2nd Stock ............................................................................................................ 16
RIC of 2nd Stock ...................................................................................................................... 16
Cash in lieu of fractional shares ............................................................................................. 16
DISPLAY TEMPLATES .................................................................................................................... 16
REUTERS PLANNING ..................................................................................................................................17
GENERAL ..................................................................................................................................... 17
ENTITLEMENTS ............................................................................................................................. 17
Availability............................................................................................................................... 17
Reuters Desktop and DataFeed Products ............................................................................. 17
Reuters Plus ........................................................................................................................... 18
Reuters BridgeStation and Reuters BridgeFeed .................................................................... 18
HEAD ENDS ................................................................................................................................. 18
Reuters Datafeed (RDF) and Reuters BridgeFeed ................................................................ 18
MARKET DATA DISTRIBUTION SYSTEMS......................................................................................... 19
Triarch .................................................................................................................................... 19
TIB .......................................................................................................................................... 19
Reuters Market Data System (RMDS) ................................................................................... 19
Desktop Applications .............................................................................................................. 20
REUTERS INFORMATION PRODUCTS .............................................................................................. 20
Historical Data Products ......................................................................................................... 20
Third Party Sources ................................................................................................................ 21
Contributed Data .................................................................................................................... 21
REUTERS REGIONAL PRODUCTS ................................................................................................... 21
Reuters Plus ........................................................................................................................... 21
Bladerunner ............................................................................................................................ 21
IDN Selectfeed Server (ISFS) ................................................................................................ 21
Triarch Message Filter ............................................................................................................ 21
Other Bladerunner Products................................................................................................... 22
CLIENT PLANNING ......................................................................................................................................22
GENERAL ..................................................................................................................................... 22
ENTITLEMENTS ............................................................................................................................. 22
TEST INSTRUMENTS...................................................................................................................... 22
Test Instruments for NQLX..................................................................................................... 22
Test Instruments for OneChicago .......................................................................................... 23
Some Domestic US Finacial Futures symbols ....................................................................... 23
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Some Futures RICs that Include Exchange ID Suffixes ........................................................ 23
APPENDIX A – FIF DRAFT NOTE ON SSF SYMBOLOGY ........................................................................... I
FUNGIBLE PRODUCTS ..................................................................................................................... II
NON-FUNGIBLE PRODUCTS............................................................................................................. IV
APPENDIX B – ONECHICAGO INITIAL STOCK LISTING ............................................................................ I
APPENDIX C – ONECHICAGO INITIAL LIST OF NARROW-BASED INDEXES .......................................... I
APPENDIX D – NASDAQ LIFFE MARKETS LLC INITIAL STOCK LISTING ................................................ I
APPENDIX E – ENUMERATION FILES FOR MARKET DATA SYSTEMS .................................................... I
INTRODUCTION ................................................................................................................................. I
IDN ................................................................................................................................................. I
BRIDGEFEED................................................................................................................................... II
SERVICE PACKS ............................................................................................................................. III
SDK APIs Template Service Pack 2.0 ..................................................................................... iii
TIB Feed Handler Service Packs ............................................................................................. iii
Reuters BridgeFeed Source Server (RBFSS) Service Packs.................................................. iv
Date of Availability .................................................................................................................... iv
Distribution................................................................................................................................ iv
Notification ................................................................................................................................ iv
APPENDIX F – RECORD TEMPLATES FOR NASDAQ LIFFE MARKET DATA .......................................... I
APPENDIX G – RECORD TEMPLATE FOR ONECHICAGO MARKET DATA .............................................. I
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Summary
This white paper is a work in progress from the Reuters Single Stock Futures Project. It is a
compilation of all activities taking place within Reuters (including former Bridge assets acquired
by Reuters) related to the launch of a single stock futures market in the US. Its purpose is two
fold: 1) to help inform clients of the progress on Reuters single stock futures readiness and 2) to
provide a coherent set of guidelines aimed at assisting clients with their site capacity and systems
management in preparation for the planned single stock futures market in the US.
Reuters has culled the information contained in this white paper from internal and industry
sources deemed reliable. The information is believed to be accurate as of the date of publication.
However, there are a number of important factors that could cause actual events to differ
materially from the estimated dates, forecasts, and other expectations contained in this white
paper. Accordingly, although Reuters will strive to inform clients on a timely basis of any
significant changes, the information contained in this white paper is subject to change without
notice.
The focal point of Reuters efforts related to US single stock futures is the SSF Project Team
(SSFPT). All questions and requests relating to US single stock futures should be directed to
Brian McNelis for both Reuters products and former Bridge products.
SSFPT intends to report its progress on a monthly basis until the conclusion of the project for US
single stock futures. The updates will be posted to the Single Stock Futures section of the
Reuters public Web site, http://www.reuters.com/stockfutures. It is important to keep informed of
what will likely be continued significant changes in the market and regulatory environment
surrounding the US securities and futures industries.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Introduction
The U.S. securities and futures industries are preparing to launch a completely new market in the
U.S. for trading futures on individual stocks and on narrow-based indexes, as defined by U.S.
law. Such products are available in other markets around the world but had been illegal in the
U.S. until Congress passed authorizing legislation at the end of 2000. As originally passed, the
law provided for trading in single stock futures on a principal-to-principal basis beginning August
21, 2001 and on a retail basis by December 21, 2001. Neither date was met. The exchanges
now plan a November 8 start date.
Single Stock Futures had been banned in the U.S. by the so-called Shad-Johnson accord of
1983. It was named for the respective chairmen of the Securities and Exchange Commission and
the Commodity Futures Trading Commission. These two organizations, which regulate U.S.
stock and futures markets independently, could not agree which should regulate single stock
futures. As a result, they agreed to ban trading in single stock and narrowly based index futures.
In 2000, the London International Financial Futures Exchange and the Montreal Exchange (newly
constituted as the marketplace for Canadian derivatives), both announced plans to trade single
stock futures. These markets are now live and include futures on U.S. stocks. (Technically,
Montreal is trading futures on Canadian stocks, but its initial pick, Nortel Networks, is cross-listed
in the U.S. and thus a means of hedging equity positions in Nortel held by U.S. investors.)
These two competitors galvanized U.S. futures exchanges to petition Congress for relief from the
Shad-Johnson restrictions. In the mini-session held in December 2000, during the Florida
presidential vote recounts, Congress passed the Commodity Futures Modernization Act of 2000
("the CFMA") authorizing single stock futures trading.
The law was passed so hastily it was impossible to resolve all of the legal questions in time to
meet either the August 21, 2001 date for institutional participation or the December 21, 2001 date
for individual investor participation. Following the events of September 11, 2001, the industry
asked for an extension of the start date for trading until early April, 2002. However, that date
proved impossible to meet as well.
Recently, most of the legal and regulatory issues have been resolved and exchanges are working
with the securities and futures trading houses on final preparations.
Market data vendors, likewise, are preparing to support this new market.
Reuters has implemented a number of programs aimed at preparing our infrastructure and
networks to support single stock futures, and to assist our clients in their efforts to ensure that
desktop applications and systems are ready for this new market.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Web Sites of Interest
Additionally, industry groups such as the Securities Industry Association, the Futures Industry
Association and the Financial Information Forum have set up web sites to provide information to
parties interested in the implementation of this new market. The following web sites may be of
interest:
Securities Industry Association web site - http://www.sia.com/ssf/
Futures Industry Association web site – http://www.futuresindustry.org/
Financial Information Forum web site – http://www.fif.com/ssf.asp
SEC Web site – http://www.sec.gov/
CFTC Web Site – http://www.cftc.gov/
The National Futures Association - http://www.nfa.futures.org/
Nasdaq Liffe Markets LLC (NQLX) web site – http://www.nqlx.com/
OneChicago, LLC - http://www.onechicago.com/
The American Stock Exchange - http://www.amex.com/
Island Futures Exchange, LLC - http://www.island.com/
The Options Clearing Corp - http://www.theocc.com/initiatives/security_futures/security_futures.jsp
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Impact Statement
This section has been added to highlight to clients some key issues they will need to address in
their preparations for this new market.
Compliance Issues
At this time Reuters is not aware of any mandatory requirements from the exchanges for
display of market data that need to be highlighted to broker/dealer or FCM compliance
officers. However, see the section on special market rules for stock futures on page 14.
Capacity Issues
See the section on capacity beginning on page 12
Symbology
See the section on symbology beginning on page 7
Record Templates
Information on IDN record templates used to deliver the data is covered in the section on
Content beginning on page 15
Display Templates
Information on display templates required to view the data on display devices is covered
in the section on Content beginning on page 16
Enumerated Type Files
Information on enumerated type files is covered in the section on display templates (see
above) and also in the section on Market Data Systems on page 22 and Appendix E
Server Releases
At this time, Reuters is not aware of any mandatory server releases required to access
data on US single stock futures.
Desktop Applications
Information on desktop applications is on page 24
Availability of Content
Information on the availability of US single stock futures market data by Reuters service
or systems is contained in the section on content, beginning on page 17 and the section
on entitlements beginning on page 27.
Entitlements
Information on entitlements and how to ensure access to the data is contained in the
section on Entitlements on page 27.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Markets
OneChicago, LLC
The Chicago Mercantile Exchange the Chicago Board Options Exchange and the
Chicago Board of Trade have formed a joint venture exchange, OneChicago,
LLC, to trade single stock futures. The CME and CBOE have an equal share at
45% while the CBOT holds a 10 % stake. Jointly, they represent tremendous
experience and understanding of equity derivative products.
OneChicago announced January 14 that it would use CBOEdirectTM, the screenbased trading system of CBOE, as the matching engine for OneChicago’s single
stock futures market. CBOEdirectTM screens will provide access to the new
market. The CME’s Globex electronic trading facility will also provide an
interface to the new market.
CME members may clear trades either through the CME Clearing House or the
Options Clearing Corp (OCC). An agreement on clearing was reached January 8
in which the OCC will guarantee its clearing members to the CME, and the CME
will guarantee its clearing members to the OCC.
OneChicago has stated its preference not to trade a fungible product.
OneChicago will use the CBOE Financial Network (CFN) to deliver market data
to vendors and other direct recipients. It has issued a new ticker specification to
support the new market. OneChicago recently announced a target launch date
of October 25 but due to regulatory issues has postponed the launch to
November 8.
OneChicago plans to trade futures on about 70 underlying stocks and 15 narrowbased stock indexes. (See Appendix B.)
Nasdaq Liffe Markets, LLC (NQLX)
The Nasdaq Stock Market has formed a 50/50 joint venture with the London
International Financial Futures Exchange (LIFFE) to offer single stock futures.
LIFFE has an existing single stock futures product, called Universal Stock
Futures. LIFFE trades Universal Stock Futures on more than 90 major
international companies including a number of US blue chips.
However, US citizens are not permitted to trade LIFFE products directly. As a
result, Nasdaq and LIFFE created a joint venture exchange to meet US
regulatory requirements. NQLX is an electronic trading market. It uses LIFFE’s
“LIFFE CONNECT™” platform to provide an anonymous and transparent central
limit order book. The market data output for NQLX products is being delivered
via a new data feed called Nasdaq Liffe Markets FEED (NMF). The feed
specification is nearly identical to the existing LIFFE Markets FEED (LMF).
NQLX issued the specification for NMF in November 2001. NQLX has said it is
willing to trade either a fungible or a non-fungible product but would prefer
fungible. It supports the FIF symbology approach, but its market data system
has limitations that will prevent use of those symbols in the short term. It will be
up to market data vendors to convert the NQLX symbols into FIF standard
symbols. Since NQLX has stated a preference to trade a fungible product,
Reuters intends to use the FIF-recommended symbology for fungible products.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
NQLX was operationally ready to begin trading April 5 but due to regulatory
delays, trading will begin November 8. NQLX has arrangements with OCC,
BOTCC and NSCC to clear and settle the transactions. Initially, NQLX plans to
offer the market data free of exchange fees.
NQLX has issued a list of 70 stocks on which it plans to trade single stock
futures. It also plans to trade futures on exchange-traded funds (ETFs). See
Appendix C.
AMEX
The American Stock Exchange has expressed interest in participating in the new
market. It has the knowledge and experience of trading a wide range of equity,
index and option products. The AMEX has said it wants to trade a fungible
product because it wants to compete on the basis of liquidity and not product
differentiation.
AMEX has not announced when it may be ready to begin trading the new
product.
Island Futures Exchange (IFX)
Island Futures Exchange, LLC has registered as a Designated Contract Market
in stock futures. The CFTC declared its registration effective March 5. IFX is
also “notice registered” with the SEC as a securities market. A subsidiary of The
Island ECN, IFX was in the very early stages of its planning to trade single stock
futures when Instinet and Island announced plans to merge. That deal recently
closed and Island Futures Exchange subsequently said it put its plans to trade
single stock futures on hold for a while.
IFX plans to distribute market data through its existing “ITCH” feed, which is used
to provide order book and trade information on equities. It will introduce
modifications to the “ITCH” specification. Order book information for single stock
futures will be included in its market data feed. All single stock futures market
data from IFX will be included in the existing feed and will be free of any market
data fees. IFX has said it plans to trade single stock futures from 07:00 to 17:00
New York time. It also indicated it would like to trade fungible products.
Boston Options Exchange Group LLC (BOX)
On February 19, Bourse de Montréal Inc., Boston Stock Exchange, Inc. (BSE),
and Interactive Brokers Group LLC said they formed the Boston Options
Exchange Group LLC (BOX) to jointly establish an electronic exchange for
securities derivatives.
The partners said BOX would operate as a fully automated equity options market
that would conduct trading in options on individual U.S. equities, equity indexes
and exchange-traded funds. They also said the new exchange would trade single
stock futures. While the initial announcement said BOX would start options trading
the last quarter of 2002, it did not provide information on when trading in single stock
futures might begin.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Clearing
The Options Clearing Corp (OCC)
The Options Clearing Corp (OCC) has arranged to be the clearing entity for
contracts traded on NQLX, OneChicago AMEX and IFX. It has also made
arrangements with the Chicago Board of Trade Clearing Corp (BOTCC) to do
give-up accounting through BOTCC’s GAINS system. And it has arranged to
pass settlement information to the National Securities Clearing Corp (NSCC) for
aggregation and delivery.
Chicago Merc Clearing
The partners in OneChicago include the Chicago Mercantile Exchange, which
has its own clearing entity. For contracts traded on OneChicago, firms will have
a choice of clearing through OCC or the Chicago Mercantile Exchange Clearing
House. This will allow FCM’s that already have clearing arrangements with Merc
Clearing to take advantage of those existing facilities. Similarly, broker/dealers
who already have clearing arrangements through OCC can use those facilities.
OCC has agreed to guarantee its clearing firms to Merc Clearing and Merc
Clearing has agreed to guarantee its clearing members to OCC.
Symbology
The symbology for Single Stock Futures is seen by the industry as a key issue. All
interested parties expressed a strong desire to get the symbology for single stock futures
right before anything else was done.
The Financial Information Forum (FIF), a venue for analysis and discussion of issues
affecting the financial services industry, established a small working group in the summer
of 2001 to look at the issue. The group issued recommendations to the industry on a
proper symbol structure. The latest draft of the symbol report is attached as Appendix A
at the end of this paper.
Symbology on Reuters Desktop and DataFeed Products
Exchange ID Needed for Reuters RICs
With multiple markets trading futures on the same underlying stocks, there is a
need to add exchange ID extensions to Reuters stock futures RICs, something
Reuters has been able to avoid for traditional commodity and financial futures,
including broad based stock index futures. Most futures traders are not familiar
with exchange IDs on their products, so this is a change.
The existing approved RIC structure for single stock futures does incorporate an
exchange ID, although up to now it has not been used. Reuters will assign
exchange IDs for the markets that will trade US single stock futures. We intend
to leave existing commodity futures RICs as they are, with no exchange ID
extension.
Diagram of Stock Futures RIC Structure
The approved RIC structure for a full quote on a single equity futures contract is:
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
This alleviates the threat of RIC conflicts when equity root symbols are duplicated
by different exchanges.
Possible Modifications to Approved RIC Structure
As explained in the FIF recommendations on symbology (see Appendix A),
additional coding is needed to distinguish futures on the same stock pre- and
post- certain corporate actions and to distinguish the form of delivery.
The FIF recommendation is to use one digit numbers after the stock symbol for
these purposes. To date, all of the US markets have decided to issue contracts
calling for physical delivery of the securities. However, in the event cash settled
contracts are issued in the future, the symbology will be capable of distinguishing
the form of delivery.
Form of Delivery/Corporate Action Indicator
The current recommendation is that the numbers 1 through 5 will apply to
physical delivery and 6 to zero will apply to cash delivery. In each case, the
numbers will increase monotonically for each outstanding corporate action.
The table below indicates the manner in which the numbers will be used.
Description
Physical
Delivery
1
2
3
4
5
No O/S Corporate Actions
1 O/S Corporate Action
2 O/S Corporate Actions
3 O/S Corporate Actions
4 O/S Corporate Actions
Cash
Delivery
6
7
8
9
0
Examples of Proposed Full Quote RICs
IBM1H3:QX
= IBM, physical delivery (no corporate action adjustments) expires March of ‘03
MSFT1M3:OX = Microsoft, physical delivery (no corporate action adjustments) expires June ‘03
Example of a continuation series full quote RIC
IBM1c1:QX
= IBM, physical delivery (no corporate action adjustments) always the nearby month
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Construction of Futures Chain RICs
Futures chains will follow the normal RIC construction rules for futures except
that an exchange ID must be added after the colon (:) to retrieve the chain of
stock futures contracts.
Taking the examples above, the equivalent futures chain RICs would be:
0#IBM:QX
0#MSFT:OX
= IBM futures chain on Nasdaq Liffe.
= Microsoft futures chain on OneChicago
How to Locate SSF RICs on Desktop Devices
Reuters will create a set of Speed Guide pages for each of the new single stock
futures exchanges. They will follow the standard format for futures market speed
guides. An example of a speed guide page is shown below. Information on the
specific exchanges can be found in the page series <US/FUTEX1> -3.
Symbology on Reuters Bridge Products
The database container chosen to house the data records drives the form of
symbol used on the Reuters Bridge network. In the case of single stock futures,
the most obvious choices are either the corporates container or the futures
container. In the corporates container, the futures could be related to all the
other instruments (equities, options, debt, etc.) associated with a single issuer.
On the other hand, the corporates container may not have some of the fields
required to properly represent futures products.
The futures container would have the correct fields but would not have the
desirable linkages to the underlying stock and other associated instruments.
Reuters Bridge products will use the commodities container and symbology.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Individual Contract Symbols
NQLX SSF contracts originating from the source systems in London will have
LIFFE-style symbology. NQLX contracts will reside on the Commodities
Database and use the GB@ prefix in the symbols. They will inherit the existing
system and product structure for futures contracts.
Because of that structure, symbols on Reuters BridgeStation and Reuters
BridgeFeed will not use the numeric designators for corporate actions. Instead,
the root code for the underlying equity will be modified to reflect a corporate
action. This will be similar to the current approach with US equity options.
Reuters Bridge Symbol Structure for Nasdaq Liffe
Origin
eg:
|
Class
|
eg:
|
| Equity Root
|
|
eg:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Delivery Year
eg:
|Delivery Month
|eg:
||
GB
02Z
@
CVX
An example of an NQLX SSF symbol would be:
GB@CVX02Z (ChevronTexaco December 2002 future traded on NQLX, no
corporate actions).
GB@CVY02Z (ChevronTexaco December 2002 future traded on NQLX, one
corporate action).
Note that in the event that futures on the same underlying stock are traded on
both NQLX and LIFFE, the letter “L” will be appended to the root code for the
contracts traded on LIFFE to prevent symbol conflicts.
Reuters Bridge Symbol Structure for OneChicago
For OneChicago and any other US markets, the US commodities-style
symbology with a double @ sign would be used. In this structure, the root
symbol will not be modified for a corporate action but the exchange designation
will carry that information in the final letter. A final letter of A will indicate no
corporate action. A final letter of B will indicate one corporate action, and so on.
Origin
eg:
|
Class
|
eg:
|
| Equity Root
|
|
eg:
|
|
|
Delimiter(.)
|
|
|
eg:
|
|
|
|
Exchange Identifier
|
|
|
|
(plus corp. action code)
|
|
|
|
eg:
|
|
|
|
|
Delivery Year
|
|
|
|
|
eg:
|
|
|
|
|
|Delivery Month
|
|
|
|
|
|eg:
US
@@
AOL
.
CHA
02Z
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Examples:
US@@AOL.CHA02Z (AOL December 2002 future traded on OneChicago, no
corporate actions)
US@@AOL.CHB02Z (AOL December 2002 future traded on OneChicago, one
outstanding corporate action)
US@@MSQ.CHA03H (Microsoft March 2003 traded on OneChicago, no
corporate actions)
US@@MSQ.CHB03M (Microsoft June 2003 traded on OneChicago, one
outstanding corporate action)
Chains of SSF Contracts on Reuters Bridge products
Once the root symbol for a future has been identified, vehicles can be
chained using the /AV switch in Analytics or the chaining feature
available in MarketWatch.
For example:
gb@cvx/av
Will return a chain display of the ChevronTexaco futures trading on
NQLX.
Analytic Look Up
For example:
us@@aol.cha/av
Will return all available futures for AOL on OneChicago.
MarketWatch
To chain futures vehicles in MarketWatch the client must type
“..US@@AOL.CHA” <SHIFT> and <ENTER>. The application will
retrieve a list of all available single stock future contracts for AOL on
OneChicago.
Symbology on Reuters BridgeFeed Broadcast
Symbology for OneChicago on RBFB
Single stock futures will be classified as commodities; security type 3, security
sub type 62. The symbology will be as follows:
Root symbol, forward slash (/), exchange code (CHA for OneChicago), 1 digit
year expiration code, standard futures month code
The single stock future for AOL expiring December 2002 would be:
AOL/CHA2Z
Futures on Nasdaq stocks will use the OPRA root symbol. For example, the root
for Microsoft (MSFT) would be MSQ. The single stock future symbol for MSFT
expiring December 2002 would be:
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
MSQ/CHA2Z
Symbology for Nasdaq Liffe Markets on RBFB
Root symbol, forward slash (/), exchange code (N for NQLX), 1 digit year
expiration code, and standard futures month code
The single stock future for AOL on NQLX expiring December 2002 would be:
AOL/N2Z
Futures on Nasdaq stocks will use the OPRA root symbol. For example, the root
for Microsoft (MSFT) would be MSQ. The single stock future symbol for MSFT on
NQLX expiring December 2002 would be:
MSQ/N2Z
Symbology on Reuters Plus Products
Quote Line Displays
The symbology for SSF on Reuters Plus will be akin to that of the RICs on
Reuters 3000 products. Individual contracts would have virtually the same
symbol except that the colon (:) in the RIC would be replaced by a period.
Converting RICs as described, the Reuters Plus symbols would become:
RIC
Reuters Plus Symbol
IBM1H3:OX
IBM1H3.OX
MSFT2U2:QX MSFT2U2.QX
Order Book Data
To view NQLX Order Book data in Reuters Plus, the user will input the symbol in
the Input Box, and select Order Book from the GO Menu, then select “.NLO”
(NQLX) from the drop down menu.
Chains on Reuters Plus Products
Reuters Plus dynamic single stock futures chains will require new PC and server
software and will be included via Monitor - Futures in an upcoming release
(TBA). Static chains will be available in all releases in a web browser and may
be retrieved by entering the underlying stock (example: IBM or MSFT) and
selecting the option from the GO menu. This is the default in v5.09. If you are
on a lower Reuters Plus release you may add the URL manually or select the
option from the Web DSS Home Page.
Capacity
As with any new market, capacity may or may not be an issue, depending on how successful the
product is. Assuming the exchanges are able to win a large following for this new market,
capacity will become an issue. But even with success, it will take time for the market to develop
and the full capacity impact will not hit us all at once.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Database
Currently, two exchanges are ready to trade single stock futures. This number
could grow to four or more over time but helps to frame the size of the
requirement.
Preliminary information is that the same stocks eligible to be underlying issues
for options trading will also be eligible to serve as underlying issues for futures
trading. That being the case, we are talking about some 2,000 underlying issues.
NQLX plans to trade five quarterly months plus the two nearby interleaved
months. OneChicago plans to trade two quarterly months plus two nearby
interleaved months. Neither exchange has indicated an intention to conduct
multiple session trading. However, allowing for multiple session records,
continuation records and link records for two markets trading 2000 underlying
stocks, we could have a worst-case total of about 100,000 data records.
The day one requirement, assuming continuation records but no session records,
would be considerably less. NQLX and OneChicago are ready to launch
November 8 with futures on 10 and 20 underlying instruments respectively.
Shortly thereafter they would be trading about 70 and 85 underlying instruments
respectively. That would put the count at about 1800 records, not counting order
book records.
Bandwidth
Bandwidth requirements are harder to estimate. Of course, everything always
starts slow and builds, so the full impact will take some time, probably several
years to be felt. NQLX has indicated that its feed can send a maximum of 300
MPS. OneChicago Has expectations of delivering 1500 to 2000 MPS when it is
fully operational. The exchange recently advised that it expects that with
autoquoting on its initial list of underlying issues, the message rate might be
about 300 MPS.
Implications for Reuters BridgeFeed, Reuters BridgeFeed Broadcast
The message rate impact on the Reuters BridgeFeed would be about the same
as on the Reuters DataFeed.
Content
Ticker feeds
CBOE Financial Network
OneChicago has contracted with the Chicago Board Options Exchange
(CBOE) to provide market data dissemination services for all
OneChicago (ONE) products. CBOE is also supplying the trading engine
to be used by OneChicago. The infrastructure to support the market
data distributed from that engine will be known as the CBOE Financial
Network (CFN).
CFN will utilize a TCP/IP multicast protocol for the dissemination of ONE
information. OneChicago is recommending vendors establish 512 Kbps
connections to the network.
The CFN vendor interface specification does not currently include any
support for order book information.
In addition to the CBOE trading engine, traders with access to the CME’s
Globex trading platform will also be able to trade ONE contracts through
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
that system. Market data will still be reported via the CFN, even if the
trades are done through Globex.
NMF Feed from NQLX
Nasdaq Liffe is using existing LIFFE market data production facilities in
London. It has created a new feed called “NMF” which is nearly identical
in protocol and specification to the current “LMF” feed, with the exception
of the market center ID. The output would use the existing LIFFE
communications network but have its own “port.”
The feed operates at 56 or 64 Kbps and is capable of 300 messages per
second. NQLX issued version 1.0 of the NMF feed specification in
November, 2001.
The feed supports a variety of products and messages including support
for various types of spread and combination trades. Through an ancillary
feed NQLX will also provide “top of book” information giving the ten best
bids and offers in the market. Data for the order book will come down
the LIFFE ConnectTM network, providing more messages per second for
any given contract.
Island Futures Exchange “ITCH” Feed
Before it postponed its active planning, Island Futures Exchange said it
would provide order book and trade information by way of the existing
“ITCH” feed that supplies its market data for The Island ECN’s equity
trading operation. Market Data Vendors already processing this feed
would find the single stock futures data on the same feed. However,
IFX would need to make some modifications to the “ITCH” protocol to
support specialized content specific to single stock futures.
IFX has not issued any specification to vendors covering such changes.
Differences Between Stock and Commodity Futures
Single stock futures have content requirements from the vendor standpoint that
differ from commodity or even financial futures. Some of those differences are
highlighted below.
Special Market Rules for Stock Futures
As mentioned, a specification has been issued for the CFN that includes
messages for equity futures and index products. The NMF feed spec
produced by NQLX includes all the standard futures messages and is
also able to support trading halts.
Trading Halts & Delays
Because they are tied to trading in the underlying stocks, it may
be necessary to halt trading in the futures products if regulatory
halts are imposed by the exchanges on the equities themselves.
The exchanges have stated they intend to provide for this.
The capability to support halts and delays is already inherent in
the NMF feed from NQLX and the CFN specification from
OneChicago.
Resumption Indications
Related to trading halts is the process of resuming trading after
the regulatory need has been satisfied. Equities markets
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
generally send "indications" of where the stock price will be when
trading resumes. These are not quite the same as quotes but
do indicate an expected price range. The futures markets may
or may not choose to emulate this practice.
The NMF feed has the ability to send indicative opens. Whether
NQLX intends to use that capability remains to be seen.
The CFN ticker spec also appears to provide for indicative
opens, so that facility is potentially available from OneChicago.
Circuit Breakers / Market halts
The futures exchanges that trade equity index products have rules in
place mirroring the "circuit breaker" rules of the NYSE and Nasdaq,
designed to halt trading if the equities markets experience major price
moves. However, those rules do not trigger any special response by
Reuter systems. In general we rely on the news to convey facts about
market-wide trading halts.
Definition of the Trading Day
The trading day for single stock futures is obviously related to the trading
day for the underlying stocks. This will affect things such as settlement
prices, "mark to market" rules, margin requirements and other
compliance issues.
As of today, both NQLX and OneChicago have specified a trading day of
9:30 a.m. to 4:02 p.m. New York time.
Minimum Price Increment
NQLX and OneChicago have both said that the minimum price increment
for trading single stock futures on their markets will be one cent.
Contract Size
NQLX and OneChicago have both said that they will trade individual
equity contracts of 100 shares. The deliverables for narrow-based
indexes will be separately specified. (See pages <ONEC/DELIV01> - 10)
Last Trading Day
NQLX and OneChicago have both said that their contracts will cease
trading on the third Friday of the delivery month. OneChicago has
announced plans to trade futures on narrow-based indexes. They will
also cease trading on the third Friday of the delivery month.
Delivery Months
NQLX will trade five quarterly months plus two interleaved serial months.
OneChicago will trade two quarterly months plus two interleaved serial
months.
Record Templates
Support for NQLX Data Records
Because the NQLX feed will be processed through Reuters London data
center, using virtually the same market logic as the existing LIFFE feed,
Reuters will use the same data record templates and fields for NQLX that
we currently use for Universal Stock Futures on LIFFE. This will include
support for “top of book” displays, giving the ten best bids and offers on
each contract.
Reuters will use record template number 20 (ALL_FUTURES_B) for
delivery of the NQLX data on IDN. Desktop displays will be the same as
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
currently used for LIFFE Universal Stock Futures. The top-of-book
content will be delivered using the ALL_SECURITIES_B record template
(# 38). Chaining will be done using the LONGLINK field list, record
template 85. (See Appendix F)
Support for OneChicago Data Records
Reuters will use the same data records to support OneChicago as
existing US futures market data records. They are delivered using
record template number 138 (COMMODITY_B). Chains will be
supported using the LONGLINK field list, record template 85.
OneChicago has no current plans to offer order book data through its
CFN market data network. (See Appendix G)
New Fields Required
Reuters recently added new fields to US stock option data records to cater for
complex corporate actions in which the deliverables include stock of more than
one company plus cash. We intend to provide similar support for stock futures.
The next few items describe these fields.
Lot Size for 2nd Stock
This field will represent the number of shares of a second stock that must
be delivered as a result of a merger or other complex corporate action.
FID 3132 (IRGVAL) is used in the US options data record to carry this
information. The field is present in both record template 20 and 138.
Reuters plans to use it for the same purpose for NQLX and OneChicago.
RIC of 2nd Stock
This field will provide the RIC of the second stock for which the additional
shares must be delivered. FID 1056 (OFFC_CODE2) is used in the US
options data record to carry this information. The field is present in both
record template 20 and 138. Reuters plans to use it for the same
purpose for NQLX and OneChicago.
Cash in lieu of fractional shares
This field provides the amount of cash that would be delivered when the
terms of a merger result in fractional share amounts. FID 100
(TURNOVER) is used in the US options data record to carry this
information. The field is present in both record template 20 and 138.
Reuters plans to use it for the same purpose for NQLX and OneChicago.
Display Templates
Display template 9.4 provides enhancements for single stock futures. The following
enumerated type values will become available in display template V9.4 for FID 133,
MKT_ST_IND to support additional quote conditions for OneChicago. Display template
V9.4 became available for client installation on October 9th, 2002.
EnumValue
32
33
34
35
36
IDN Disp
"AUE"
"SBB"
"SBA"
"BBA"
"INA"
Enum Description
Auto Execution
Specialist Book Bid
Specialist Book Ask
Specialist Book Bid and Ask
Inactive
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
37
"ROT"
Rotation
Reuters Planning
General
Reuters planning involves choosing implementation approaches that will make
launching this new market, from a market data standpoint, as quick and easy as
possible, both for Reuters and for our customers. Nevertheless, the new market
has special requirements that dictate unique solutions.
Entitlements
Availability
Reuters will make SSF content available on Infrastructure supported by Reuters
DataFeeds as well as Bladerunner, Reuters Plus, Reuters BridgeStation,
Reuters BridgeFeed and Reuters BridgeFeed Broadcast. It will not be available
on SelectFeed Plus, SelectFeed or AMS-based infrastructures due to capacity
limitations of those systems.
Reuters Desktop and DataFeed Products
Leading up to the launch of the new market, Reuters has provided test data in
special PE codes, which have only been made available on request. Once the
products go live on November 8, the production market data will be only be
available in production PEs. Clients must be sure to contact their account
representatives to order the new data.
NQLX will make its market data available free of fees with no requirement to
account for accesses for at least the first six months of operation. As a result,
Reuters will map the NQLX PEs to all services. The PE for basic quote and
trade information will be 3218. The PDP code for NQLX is “NLX.” The PE for
NQLX order book data is 6861 and the PDP code is “NL2.”
OneChicago plans to make its content available free of fees initially as well.
However, it has levied a requirement on market data vendors to keep track of
accesses and report them. As a result, we have only mapped the OneChicago
PEs to the set of products that would be appropriate once fees are imposed. The
table below provides the relevant product codes.
PE
PC
PLIs
PDP Code
XFONEIKI - OneChicago - level 1
5610 C2ONE - Commods 2000 - OneChicago Level 1 (keystations)
ONE
XFONEIKT - OneChicago Level 1
CM2ONE - CapMkts2000 - OneChicago Level 1 (IP) (Bladerunner)
XFONEIDF - OneChicago Level 1
DSCHONE - Swiss Asset - OneChicago Level 1 (DF) (datafeeds)
XFONEIPD - OneChicago L1
DSONE - Domestic - OneChicago Level 1
(DF) (to perm datafeeds)
EXNONE - Exch2000 - OneChicago Level 1
F2ONE - Futs2000 - OneChicago Level 1
MK2ONE - Mkts2000 - OneChicago Level 1
NAONE - Secs2000 - OneChicago Level 1 (NA
Securities)
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
SOONE - Options - OneChicago Level 1
RISONE - RIS - OneChicago LLC Level 1 (for
Reuters Investor)
Reuters Plus
Reuters Plus subscribers should ask their business administrator to arrange
permissioning. Clients who use the Reuters Account Enabler (RAE) system will
be able to order the new services through that facility.
Reuters BridgeStation and Reuters BridgeFeed
Clients accessing OneChicago data via Reuters BridgeStation or Reuters
BridgeFeed should note the following:



The order code for this service is [CONE]. OneChicago service will be
free of fees to end-users until 01 April 2003. It will be free of fees to
revendors until 01 January 2003. OneChicago service accesses will
need to be reported from 08 November 2002.
[CONE] - Free of charge
[CONE:REVEND] Revendors - Billed by the Exchange
Clients accessing Nasdaq Liffe Markets data via Reuters BridgeStation or
Reuters BridgeFeed should note the following:


The order code for this service is [GBNX]. NQLX service will be free of
fees for at least six months from the launch.
[GBNX] – Free of charge
Head Ends
Through its acquisition of certain assets of Bridge, Reuters now has two major
head end systems that will be processing the data from the new single stock
futures exchanges.
Implementation Issues
Reuters has been providing test data for NQLX on an “as requested”
basis for the past few months. NQLX is conducting “dress rehearsals”
during the period October 23 to October 31, which are required for
traders. The tests run from 4 p.m. to 8 p.m. New York time on the
scheduled days.
We hope to be able to provide test data for OneChicago as well but it is
not certain we will be able to do so.
The exchanges plan to launch the new market on Friday, November 8. This means that we will
bring up the new feeds in the production systems during that week, a day or so prior to launch.
Clients must arrange for production permissioning in advance, even though there are no
market data fees applicable initially. DACs users should run a map collect to ensure access
via Market Data Systems.
Reuters Datafeed (RDF) and Reuters BridgeFeed
Currently there are no known issues related to distributing single stock
futures data via the RDF and RBF. However, as always, introduction of
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
new markets generally means more usage. Thus, clients should monitor
capacity and throughput levels as usage habits emerge to ensure they
have adequate bandwidth and processing resources.
Market Data Distribution Systems
Reuters market data distribution systems (MDS) include legacy TIB and Triarch,
and RMDS. Since existing record templates and exchange name enumerations
will be used to deliver single stock futures, impact is expected to be small. This
expectation is based on successful experience distributing single stock futures
for certain European markets. However, there will be a requirement to support
additional enumerations for price qualifiers as described above in the discussion
on display templates. Please see Appendix E for a full discussion of this
subject.
Specific issues mainly related to symbology are highlighted below.
Triarch
No specific issues are currently known.
TIB
Entitlements Limitation
Single stock futures symbology includes use of a colon ‘:’ to separate the
root instrument name from the exchange designator. Applications that
use TIB four-part, period-delineated subject naming will not properly
recognize the colon, so exchange level permissioning of single stock
futures is not supported.
A secondary impact would be that a TIC or RTIC that is partitioned to
cache only subjects from a particular exchange would see these subjects
as part of the exchange "NaE" rather than the particular exchange it is
really associated with. Clients should review/revise existing applications
meant to retrieve and manage single stock futures to correctly handle
this case.
Reuters Market Data System (RMDS)
Entitlements Limitation
Single stock futures symbology includes use of a colon ‘:’ to separate the
root instrument name from the exchange designator. Applications that
use TIB four-part, period-delineated subject naming will not properly
recognize the colon, so exchange level permissioning of single stock
futures is not supported.
A secondary impact would be that a TIC or RTIC that is partitioned to
cache only subjects from a particular exchange would see these subjects
as part of the exchange "NaE" rather than the particular exchange it is
really associated with. Clients should review/revise existing applications
meant to retrieve and manage single stock futures to correctly handle
this case.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Desktop Applications
Entitlements Limitation
Single stock futures symbology includes use of a colon ‘:’ to separate the
root instrument name from the exchange designator. Applications that
use TIB four-part, period-delineated subject naming will not properly
recognize the colon, so exchange level permissioning of single stock
futures is not supported.
A secondary impact would be that a TIC or RTIC that is partitioned to
cache only subjects from a particular exchange would see these subjects
as part of the exchange "NaE" rather than the particular exchange it is
really associated with. Clients should review/revise existing applications
meant to retrieve and manage single stock futures to correctly handle
this case.
Reuters Information Products
Historical Data Products
The historical data for OneChicago futures will be available in DataScope
and accessed via IPC 5315. Historical data for Nasdaq Liffe Markets will
be accessed via IPC 5300. Facts stored for the futures on stocks,
exchange-traded funds and narrow-based indexes will be open, high,
low, last trade, settle, bid, ask, volume and open interest.
Data will be also be accessible on Reuters Graphics, 300 XTRA graphs
and Power Plus Pro. The IPCs will update at 16:30 New York time
Monday through Friday. Continuation series RICs will be sourced from
IDN and not calculated within the historical database, as is the case with
other futures contracts.
When a corporate action occurs that requires modification of the SSF
contract delivery terms, the original RIC, (e.g., IBM1H3:OX or
IBM1H3:QX), would change to a “2,” (e.g., IBM2H3:OX or IBM2H3:QX)
and begin trading with the adjusted delivery terms on the ex-date for the
underlying stock. The IBM2 futures will trade until expiration and will not
be rolled over.
Meanwhile, for OneChicago, a new IBM1 will be listed for trading with
standard terms a day after the ex-date for the corporate action. For
NQLX, a new IBM1 will be listed on the ex-date for the corporate action.
Both the IBM1 and IBM2 versions will trade simultaneously until the 2s
expire. This will be true for all contract months on the chain, as well as
continuation series.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
The history for IBM1 contracts would be adjusted and only history for the
IBM1s will be stored.
History will be available on Reuters Plus via the normal functions for
futures, including graphics and tick histories. Longer-term historical data
for OneChicago will be available in the Historical Futures & Commodities
service, which is an add-on to Reuters Plus.
History will be available via Reuters BridgeStation and Reuters
BridgeFeed through the normal functions for those products.
Third Party Sources
Reuters relies on several third party sources for corporate action and
dividend information, however Reuters itself performs adjustments to this
data. It is not expected that any significant changes will be required to
systems processing those data inputs. We do anticipate additional
inputs from the Options Clearing Corp (OCC).
Contributed Data
Reuters does not currently carry any contributed data for US single stock
futures.
Reuters Regional Products
Reuters Plus
<Available only in the U.S. and Canada>
Reuters Plus already handles data in the formats we intend to use for
single stock futures. We do not anticipate any problems in using them
for these markets. The symbology will differ slightly from that used for
RICs. (See above under symbology.)
Bladerunner
<Available only in the U.S.>
Bladerunner (BR) is a Triarch system designed to support multiple clients
via WAN technologies. The BR Triarch system should not have any
problem in supporting these new markets.
Bladerunner Source Sink Library (SSL) Infrastructure
The current SSL sink distributor infrastructure supports futures
products already.
IDN Selectfeed Server (ISFS)
The current ISFS server supports futures products already.
Triarch Message Filter
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
The current Triarch Message Filter (TMF) server is not expected to have
any problem in supporting the new SSF RIC structure.
Other Bladerunner Products
Reuters does not anticipate that the following Bladerunner products will
have any difficulty supporting single stock futures.
Data Access Control System (DACS)
Hawk 3.0
HydraWeb Version 1.5.1 (Load Balancers)
Nortel Networks BLN’s
Client Planning
General
The specific impact of single stock futures on any enterprise is dependent on the
configuration, sizing, and architecture of the client network and market data
environment. In particular, the sizing of client-site servers, communication lines,
and the patterns of data usage are all impacted by market conditions. At the
time these new markets are launched, it is expected that data rates and numbers
of data records cached will not be material in terms of the overall content and
update rates of the US markets. Nevertheless, Reuters must work in
partnership with our clients to achieve a smooth implementation.
Reuters will attempt to provide general guidelines to clients for directional
purposes, and will provide additional assistance to clients in understanding their
specific requirements in regard to the market changes discussed in this paper.
Entitlements
Clients are urged to read the section on Entitlements under Reuters Planning in
the section above. It provides information necessary for ensuring they receive
production market data when trading begins.
Test Instruments
As of this time, we have numerous test instruments available for NQLX via
Reuters feed products or desktop devices. In addition, there are live markets
that may be used as proxies for the purpose of processing the content.
Test Instruments for NQLX
NQLX was conducting regular testing Tuesdays, Wednesdays and
Thursdays. As described in the section on implementation above, NQLX
is conducting final “dress rehearsals” prior to launch. Please check the
NQLX web site for details on its test plans.
Appendix D has a list of test RICs for NQLX.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Test Instruments for OneChicago
The OneChicago ticker feed is not expected to be available on the
production network until just prior to launch. See Appendix ? for a list of
OneChicago products.
Some Domestic US Finacial Futures symbols
These symbols may be accessed to locate individual full quote records
that use the same record template we plan to use for OneChicago
content.
Contract Name
Chain RIC
30-year US T-Bond Composite.....<0#US:>
30-year US T-Bond Day Pit.......<0#3US:>
30-year US T-Bond Day a/c/e.....<0#ZB:>
30-year US T-Bond mini..........<0#YH:>
5-year US Agency ...............<0#DF:>
10-year US Agency ..............<0#DN:>
10-year US Agency Large Lot.....<0#VN:>
10-year Interest Rate Swap......<0#NI:>
30 day IR Future................<0#FF:>
Long-Term Municipal Bd..........<0#MB:>
Municipal Bond Large Lot........<0#QQ:>
Mini Eurodollar.................<0#YE:>
Mini Deferred Eurodollar....... <0#IF:>
Some Futures RICs that Include Exchange ID Suffixes
Reuters already supports futures contracts with RICs that include an
exchange ID suffix. The following contracts from the Australian SE
(ASX) may be used to test applications for their ability to handle such
RICs. These data records should not be used for testing content, since
they use field lists (record templates) different from those proposed for
US single stock futures.
Contract Name
Chain RIC
S&P/ASX MINI 200
S&P/ASX MINI 50
<0#AXJO:AX> <AXJOU2:AX>
<0#AFLI:AX> <AFLIU2:AX>
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Full Quote RIC
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix A – FIF Draft Note on SSF Symbology
Information Systems and the Support of U.S. Single Stock Futures:
Proposed Instrument Identification Syntax
DRAFT updated 1/18/02 (This is the most recent version)
The imminent introduction of single stock futures trading into U.S. financial markets represents a
broadening of the bridge between the securities and the futures worlds and raises many
questions as to how these new instruments will be identified, traded, cleared and settled. A very
significant question is how each contract will be identified for the above purposes as well as for
the dissemination of real-time market data and other information. This paper addresses the issue
of an instrument identification syntax that clearly identifies the contract, avoids identification
conflicts with existing instruments and can be accommodated within existing information systems
without the need for extensive changes.
In today’s world, because there is little symbol assignment coordination among futures and
securities markets, there are significant symbology conflicts and discrepancies. For example
there are many futures root codes now in use that directly conflict with listed equity symbols.
With the introduction of single stock futures, the number of symbol conflicts could increase
dramatically.
The Financial Information Forum is interested in assisting the industry in addressing some of the
complexities for information systems that might be introduced by single stock futures. To that
end, FIF has sought industry input and brought together a small working group including
representation from firms, market data vendors and clearing organizations to propose a
symbology syntax that could be assimilated into order systems, back office systems and market
data with relative ease. It is hoped that the markets introducing these new products recognize the
benefits of adopting an identification system that promotes clarity and uniformity.
While any new suggested syntax will necessarily require modifications in the information systems
currently in use by exchanges, firms, service bureaus, market data vendors and clearing
organizations, the adoption of a basic structure could increase the acceptance of single stock
futures by greatly easing the support of these new instruments, including the ease of identification
of the contracts by investors. Without a basic identification structure, each market is likely to
introduce identification schemes that conflict not only with each other but also with industry
trading systems, order management systems, back office processing systems and market data
systems. This would create the need for significant development investment and would create
operational complexities lessening the likelihood that firms and vendors would be able to support
these new products.
The following three diagrams illustrate a proposed identification structure for fungible products to
accommodate the common differences between market data, order, and trade processing and
balancing system requirements. Options are not considered in this paper. Following these are
three diagrams illustrating suggested symbology structure for non-fungible products.
The Root Symbol
The root symbol is made up of the alpha underlying symbol, which is intended to correlate to the
equity or index that is the basis of the futures contract; and a one character numeric product code
to signify a “version” of the contract. The root symbol may be from 2-6 characters total. Up to five
alpha characters have been allocated in order to accommodate existing stock symbols (e.g. IBM,
INTC, ERICY). The product code serves three functions: first to identify the instrument as a
single stock future (as differentiated from the underlying equity or other derivative), second, to
identify a version of the contract (to allow for the identification of corporate actions or other
special situations), and third, to designate cash vs. physical settlement. The product code is a
-I-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
one-character numeric. The numbers 1-5 are reserved to identify contracts with physical
settlement, and numbers 6-0 are reserved for cash settled contracts. The only numbers assigned
for a particular version are 1 for a regular, standard contract for physical, and 6 for a regular,
standard contract for cash delivered. The other numbers are to be assigned contact sequentially
as necessary to apply to a contract that has undergone a change due to a corporate action, split,
or other event. For example, a regular XYZ physical delivery contract would have a root symbol
of XYZ1. Should XYZ have a split or other event, the root symbol on the adjusted contract would
be XYZ2. If another event followed, the code would be XYZ3. The product code 1 would always
refer to the “standard” contract.
Also included in the security identification scheme (but not as part of the root symbol) is a month
and year indicator, which is not a part of the root symbol. The delivery month and delivery year
codes give the ability to create instruments with maturity dates beyond one year without
modifying the underlying symbol.
Fungible products
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures – Market Data – fungible product
Underlying symbol (e.g. ABCDE)
5 alpha characters
Product code (e.g. 1 for regular, physical settlement)
1 numeric character
Delivery Month (X for Nov)
1 alpha character
Delivery year (4 for 2004)
1 numeric character
Delineator and exchange code
1 character delineator(:, /, . ) and one or two alphas
(delineator and exchange code only needed for market data))
ABCDE1
X 4 /EX
_____
_ _ __
Up to six character root symbol (left justified) followed by 1 character month, 1 character year,
delineator and exchange.
Financial Information Forum
-II-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures
Order Systems – fungible product
Underlying symbol (e.g. ABCDE)
5 alpha characters
Product code (e.g. 1 for regular, physical settlement)
1 numeric character
Delivery Month- 3 character alpha
Delivery year – 4 character numeric
ABCDE1
NOV 2001
_____
___ ____
Up to six character root symbol (left justified) followed by 3 character month, 4 character year.
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures
Trade processing and balancing - fungible product
Underlying symbol (e.g. ABCDE)
5 alpha characters
Product code (e.g. 1 for regular, physical settlement)
1 numeric character
Delivery Month- 2 character numeric
Delivery year – 4 character numeric
ABCDE1
11
2001
_____
__
____
Up to six character root symbol (left justified) followed by 2 character month, 4 character year.
-III-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Non-fungible products
In the case of non-fungible products the suggestion is to leave the underlying
symbol in tact (with the exception of limiting the number of characters of the
underlying to four instead of five) and adding a character at the end of the root
symbol to designate exchange.
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures
Market Data – non-fungible product
Underlying symbol (e.g. ABCD)
4 alpha characters
Product code (e.g. 1 for regular, physical sett lement)
1 numeric character
Exchange identifier - 1 alpha character
Delivery Month (X for Nov) – 1 alpha character
Delivery year (4 for 2004)
1 numeric character
Delineator and exchange code
1 character delineator(:, /, . ) and one or two a lphas
(delineator and exchange code only needed for market data))
ABCD1C X 4 /EX
_____ _ _ __
Up to six character root symbol (left justified) followed by 1 character month, 1 character year,
delineator and exchange. (Exchange code appended to root might be stripped for presentation
purposes as an exchange is usually appended to the end of the entire identifier)
-IV-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures
Order Systems – non-fungible product
Underlying symbol (e.g. ABCD)
4 alpha characters
Product code (e.g. 1 for regular, physical settlement) 1 numeric character
Exchange identifier – 1 alpha character
Delivery Month- 3 character alpha
Delivery year – 4 character numeric
ABCD1C
NOV 2001
_____
___ ____
Up to six character root symbol (left justified) followed by 3 character month, 4 character year.
Proposed symbology syntax for information systems
supporting U.S. Single Stock Futures
Trade processing and balancing – non-fungible product
Underlying symbol (e.g. ABCD)
4 alpha characters
Product code (e.g. 1 for regular, physical settlement) 1 numeric character
Exchange identifier – 1 alpha character
Delivery Month- 2 character numeric
Delivery year – 4 character numeric
ABCD1C
11
2001
_____
__
____
Up to six character root symbol (left justified) followed by 2 character month, 4 character year.
FIF welcomes feedback and comment on the basic proposed structure, which will be refined
going forward. Please forward your comments to Charlotte Cooney cooney@fif.com
6/26/01
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix B – OneChicago Initial Stock Listing
Underlying Security
1
Ticker OneChicago
Symbol Base Symbol
American Express
AXP
AXP1C
American International Group
AIG
AIG1C
3 Amgen Inc
4 * AMR Corp/Del
AMGN
AMGN1C
AMR
AMR1C
5 AOL Time Warner, Inc.
6 Applied Materials
AOL
AOL1C
AMAT
AMAT1C
AT&T Corporation
T
T1C
Bank Of America Corp
BAC
BAC1C
9 Bank One
10 Best Buy Company Inc
ONE
ONE1C
BBY
BBY1C
11 Biogen Inc
12 Bristol-Myers Squibb Co
BGEN
BGEN1C
BMY
BMY1C
Broadcom Corp-Cl A
BRCM
BRCM1C
Brocade Communications Sys
2
7
8
13
BRCD
BRCD1C
15 Cephalon Inc
16 Check Point Software Tech
CEPH
CEPH1C
CHKP
CHKP1C
17 ChevronTexaco Corp
18 Cisco Systems, Inc.
CVX
CVX1C
14
CSCO
CSCO1C
Citigroup, Inc.
C
C1C
Coca-Cola Company
KO
KO1C
21 Dell Computer Corporation
22 eBay, Inc.
DELL
DELL1C
EBAY
EBAY1C
23 * EMC Corporation
24 Emulex Corp
EMC
EMC1C
ELX
ELX1C
Exxon Mobil Corporation
XOM
XOM1C
Ford Motor Company
F
F1C
27 General Electric Company
28 General Motors Corp
GE
GE1C
GM
GM1C
29 Genzyme Corp - Genl Division
30 Goldman Sachs Group, Inc.
GENZ
GENZ1C
19
20
25
26
GS
GS1C
Halliburton Co
HAL
HAL1C
Home Depot Inc
HD
HD1C
33 Idec Pharmaceuticals Corp
34 Intel Corporation
IDPH
IDPH1C
INTC
INTC1C
35 International Business Machines
36 * InVision Technologies Inc
IBM
IBM1C
INVN
INVN1C
J.P. Morgan Chase & Co.
JPM
JPM1C
Johnson & Johnson
JNJ
JNJ1C
39 KLA-Tencor Corporation
40 Krispy Kreme Doughnuts Inc
KLAC
KLAC1C
KKD
KKD1C
41 Merck & Co., Inc.
MRK
MRK1C
31
32
37
38
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
42 Merrill Lynch & Co., Inc.
Micron Technology Inc
43
Microsoft Corporation
44
Morgan Stanley Dean Witter & Co.
45
46 Motorola, Inc.
MER
MER1C
MU
MU1C
MSFT
MSFT1C
MWD
MWD1C
MOT
MOT1C
47 Newmont Mining Corp Hldg Co
48 Nokia Corporation ADR
NEM
NEM1C
NOK
NOK1C
Northrop Grumman Corp
NOC
NOC1C
Novellus Systems Inc
NVLS
NVLS1C
Oracle Corporation
ORCL
ORCL1C
52 PepsiCo Inc
53 Pfizer
PEP
PEP1C
PFE
PFE1C
54 Philip Morris
Procter & Gamble Co)
55
QLogic Corp
56
QUALCOMM, Inc.
57
58 SBC Communications Inc
MO
MO1C
PG
PG1C
QLGC
QLGC1C
QCOM
QCOM1C
SBC
SBC1C
59 Schlumberger Ltd
60 * Siebel Systems, Inc.
SLB
SLB1C
SEBL
SEBL1C
61 * Sprint Corp-PCS Group
Starbucks Corp
62
* Sun Microsytems
63
64 Symantec Corp
PCS
PCS1C
SBUX
SBUX1C
SUNW
SUNW1C
SYMC
SYMC1C
65 Texas Instruments Incorporated
66 Tyco International Ltd
TXN
TXN1C
TYC
TYC1C
67 * UAL Corp
VERITAS Software Corporation
68
Verizon Communications Inc
69
70 Wal-Mart Stores Inc
UAL
UAL1C
VRTS
VRTS1C
VZ
VZ1C
WMT
WMT1C
71 Xilinx Inc
XLNX
XLNX1C
49
50
51
* Trading on these stocks has been postponed because under current market
conditions they do not meet OneChicago's listing standards.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix C – OneChicago Initial List of Narrow-based Indexes
Note: OneChicago intends to adjust index components and share weightings over time
to reflect changing market conditions. See the information on index construction and
corporate events on the OneChicago web site for additional details.
OneChicago
Index
Base
Symbol Symbol
Name
Aerospace
1XARO XARO2C
Underlying Number
Symbol
of
Shares
BA
300
Boeing Co.
2XBNK XBNK2C
Lockheed Martin Corp.
LMT
200
Northrop Grumman Corp
NOC
100
Raytheon Co.
RTN
400
United Technologies Corp.
UTX
200
Banks
Underlying Number
Symbol
of
Shares
BAC
100
Bank of America Corp
3XBTC
XBTC2C
Bank One
ONE
200
J.P. Morgan Chase & Co.
JPM
400
Wachovia Corp.
WB
200
Wells Fargo & Co.
WFC
200
Biotechnology
Underlying Number
Symbol
of
Shares
AMGN
100
Amgen Inc
4XCMT XCMT2C
Genentech Inc.
DNA
200
Gilead Sciences Inc.
GILD
200
IDEC Pharmaceuticals Corp
IDPH
200
Medimmune Inc.
MEDI
200
Communications Technology
Cisco Systems, Inc.
Motorola, Inc.
MOT
600
Nokia Corporation ADR
NOK
400
QCOM
200
SFA
400
QUALCOMM, Inc.
Scientific-Atlanta Inc.
5XFIS
XFIS2C
Underlying Number
Symbol
of
Shares
CSCO
500
Diversified Financial
Underlying Number
Symbol
of
Shares
AXP
200
American Express
Citigroup, Inc.
C
200
Fannie Mae
FNM
100
Freddie Mac
FRE
100
HI
200
Household International Inc.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
6XELC
XELC2C
Electric Utilities
American Electric Power Co. Inc.
Consolidated Edison Inc.
ED
200
D
200
Duke Energy Corp.
DUK
400
TXU Corp.
TXU
500
Dominion Resources Inc. of Virginia
7XIDD
XIDD2C
Industrial, Diversified
3M Co.
Emerson Electric Co.
8XSCR XSCR2C
EMR
200
GE
400
Illinois Tool Works Inc.
ITW
200
Ingersoll-Rand Co. Ltd.
IR
300
Investment Services
LEH
100
Merrill Lynch & Co., Inc.
MER
200
Morgan Stanley Dean Witter & Co.
MWD
200
STT
200
Mining and Metals
Number
Underlying
of
Symbol Shares
200
AL
Alcan Inc.
XOIL2C
Barrick Gold Corp.
ABX
400
Gold Fields Ltd. ADR
GFI
500
Newmont Mining Corp Hldg Co
NEM
300
Placer Dome Inc.
PDG
700
Oil Companies
Underlying Number
Symbol
of
Shares
BP
200
BP PLC ADR
11 XDRG XDRG2C
Underlying Number
Symbol
of
Shares
GS
100
Lehman Brothers Holdings Inc.
State Street Corp.
10 XOIL
Underlying Number
Symbol
of
Shares
MMM
100
General Electric Company
Goldman Sachs Group, Inc.
9XMET XMET2C
Underlying Number
Symbol
of
Shares
AEP
400
ChevronTexaco Corp
CVX
100
Exxon Mobil Corporation
XOM
200
Royal Dutch Petroleum Co. ADR
RD
200
TotalFinaElf ADR
TOT
100
Pharmaceuticals
Underlying Number
Symbol
of
Shares
LLY
100
Eli Lilly & Co.
Johnson & Johnson
JNJ
100
Merck & Co., Inc.
MRK
100
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
12 XRTS XRTS2C
Pfizer
PFE
200
Wyeth
WYE
200
Retail
Underlying Number
Symbol
of
Shares
HD
200
Home Depot Inc
13 XSEM XSEM2C
Kohl's Corp.
KSS
100
Lowe's Cos.
LOW
100
Target Corp.
TGT
200
Wal-Mart Stores Inc
WMT
100
Semiconductors
Underlying Number
Symbol
of
Shares
INTC
400
Intel Corporation
KLA-Tencor Corporation
KLAC
200
Maxim Integrated Products, Inc.
MXIM
200
Texas Instruments Incorporated
TXN
300
XLNX
300
Xilinx Inc
14 XSOF XSOF2C
Software
Underlying Number
Symbol
of
Shares
INTU
100
Intuit Inc.
15 XTHQ XTHQ2C
Microsoft Corporation
MSFT
100
Oracle Corporation
ORCL
600
PeopleSoft Inc.
PSFT
400
VERITAS Software Corporation
VRTS
400
Technology Hardware and Equipment Underlying Number
Symbol
of
Shares
Apple Computer Inc.
AAPL
400
Dell Computer Corporation
DELL
200
Hewlett-Packard Co.
HPQ
400
International Business Machines
IBM
100
QLGC
200
QLogic Corp
-iii-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix D – Nasdaq Liffe Markets LLC Initial Stock Listing
Nasdaq Liffe Markets Initial Stock Listing*
Stock
Symbol
GICS Group
Exchange
1 Advanced Micro Devices
AMD
Semiconductor Equipment & Products
NYSE
2 American International Group
AIG
Insurance
NYSE
3 Amgen Inc
AMGN
Biotechnology
Nasdaq
4 AOL Time Warner
AOL
Media
NYSE
5 Applied Materials
AMAT
Semiconductor Equipment & Products
Nasdaq
6 AT&T Corp
T
Diversified Telecommunications Services
NYSE
7 Bank of America Corp
BAC
Diversified Financial
NYSE
8 Bristol-Myers Squibb
BMY
Pharmaceuticals
NYSE
9 Brocade Communications System
BRCD
Communications Equipment
Nasdaq
10 ChevronTexaco
CVX
Oil & Gas
NYSE
11 Cisco Systems Inc
CSCO
Communications Equipment
Nasdaq
12 Citigroup Inc
C
Diversified Financial
NYSE
13 Coca Cola Co
KO
Beverages
NYSE
14 Dell Computer Corp
DELL
Computers & Peripherals
Nasdaq
15 eBay
EBAY
Internet & Catalogue
Nasdaq
16 EMC Corp/Massachusetts
EMC
Computer - Peripherals
NYSE
17 Exxon Mobil
XOM
Oil & Gas
NYSE
18 Ford Motor
F
Automobiles
NYSE
19 General Electric
GE
Industrial Conglomerate
NYSE
20 General Motors
GM
Automobiles
NYSE
21 Genzyme Corp-General Division
GENZ
Biotechnology
Nasdaq
22 Hewlett-Packard Co.
HPQ
Computers
NYSE
23 Home Depot
HD
Specialty Retail
NYSE
24 Honeywell International Inc
HON
Aerospace & Defense
NYSE
25 Int'l Business Machines Corp
IBM
Computers & Peripherals
NYSE
26 Intel Corp
INTC
Semiconductor Equipment & Products
Nasdaq
27 Johnson & Johnson
JNJ
Pharmaceuticals
NYSE
28 JP Morgan Chase & Co
JPM
Diversified Financial
NYSE
29 Juniper Networks Inc
JNPR
Communication Equipment
Nasdaq
30 Merck
MRK
Pharmaceuticals
NYSE
31 Merrill Lynch & Co Inc
MER
Diversified Financial
NYSE
32 Micron Technology Inc
MU
Semiconductor Equipment & Products
NYSE
33 Microsoft Corp
MSFT
Software
Nasdaq
34 Morgan Stanley Dean Witter & Co
MWD
Diversified Financial
NYSE
35 Oracle Corp
ORCL
Software
Nasdaq
36 PepsiCo Inc
PEP
Beverages
NYSE
37 Pfizer Inc
PFE
Pharmaceuticals
NYSE
38 Procter & Gamble
PG
Household Products
NYSE
39 Qualcomm Inc
QCOM
Communications Equipment
Nasdaq
40 SBC Communications Inc
SBC
Diversified Telecommunications Services
NYSE
41 Siebel Systems Inc
SEBL
Software
Nasdaq
42 Sun Microsystems Inc
SUNW
Computers & Peripherals
Nasdaq
43 Texas Instruments Inc
TXN
Semiconductor Equipment & Products
Nasdaq
44 Veritas Software Corp
VRTS
Software
NYSE
45 Verizon Communications Inc
VZ
Diversified Telecommunications Services
NYSE
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
46 Wal-Mart Stores Inc
WMT
Multiline Retail
NYSE
47 Walt Disney Company
DIS
Media
NYSE
*The stocks listed above are subject to modification.
- ii -
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix E – Enumeration Files for Market Data Systems
10 October 2002
Introduction
New enumerations result from the introduction of new quote conditions mnemonics for
single stock futures. These are referenced internally (by convention) as numeric codes
called enumerated values. The codes are assigned at the head end delivery system and
need to be translated to readable text within bottom end displaying applications using a
shared translation table.
Reuters market data systems (TIB, Triarch, & MDS) have adopted a similar model
wherein the reference mappings of all enumerated values to text are in an editable
configuration table within a file known to components of that system, i.e., a data
dictionary. This allows users to meet time-to-market pressures and perform custom
modifications or additions manually, or wait for deployment of updated configuration files
within component or special releases. Note that applications that have not been
updated to new enumerated values will NOT crash, but will display “0” or “NULL,”
or in certain cases, the raw numeric value.
Implementation differences between TIB and Triarch/RMDS and between IDN and
Bridgefeed are noted below.
Following is a summary of how the new single stock futures enumerated type definitions
will be released:



The London based Reuters IDN group will release a display template release,
V9.4, which is used by display and other desktop applications.
The Oak Brook based RMDS and Triarch toolkit group will release these
definitions in a Service Pack by end of November 2002. This Service Pack will
contain individual definition files for each developer toolkit, which are also
accessed by RMDS and Triarch infrastructure components (RTIC, Source
Distributor, and Sink Distributor) as needed.
The Palo Alto based TIB feed handler group will release their enumerated type
definitions in a service pack by end of November 2002. This service pack is
used with both the TIB RDF Feedhandler and the TIB RSF+ Feedhandler. Other
components in the classic TIB infrastructure access this definition file as needed.
Note that all files will be posted on Reuters internal Electronic Distribution System and
can be pulled down by client facing teams.
IDN
Triarch/RMDS users will need a new enumtype.def configuration file. TIB users will need
a new REUT_enum_field.cf file. These updated files will be included in special Service
Packs as well as all future releases of respective infrastructure components.
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
IDN
Feedhandlers
Infrastructure
Toolkits
Triarch
Will read from
new or modified
enumtype.def
configuration file
associated with
application
Will read from
new or modified
enumtype.def
configuration file
associated with
application
Will read from
new or modified
enumtype.def
configuration file
associated with
application
RMDS
Will read from
new or modified
enumtype.def
configuration file
Will read from
new or modified
enumtype.def
configuration file
Will read from
new or modified
enumtype.def
configuration file
TIB
New or modified
REUT_enum.cf
file required
Will read from
new or modified
REUT_enum.cf
file associated
with Reuters feed
handler
Will read from
new or modified
REUT_enum.cf
file associated
with Reuters feed
handler
Desktops/Applica
tions
New or modified
enumtype.def
configuration file
required. May also
need ENUM.DEF
file for display
templates
New or modified
enumtype.def
configuration file
required.
May also need
ENUM.DEF file for
display templates
Will read from new
or modified
REUT_enum.cf file
associated with
Reuters feed
handler
NOTES: A new Template service pack will be deployed (TBD) for the following products:
o Reuters Developers Kit - COM Edition 1.2.1
o Reuters Developers Kit - C++ Edition 4.3.1
o Reuters Developers Kit - OLE DB Edition 1.2
o Reuters Developers Kit - Java Edition 3.1
o SSL Developers Kit – Java Edition 2.0.2
o SSL Developers Kit – Classic Edition 4.0.10
o SSL Adapter 4.4
o WebLink Toolkit 1.1.1
o SSL 4.5 Developers Kit
However, for the products listed above applications that have not been updated to new
Templates will NOT crash, but will display “0” or “NULL.”
BridgeFeed
Triarch/RMDS users will need to use new rtdisptemp.txt, enummap.txt, exchabrv.txt and
long_brdisplaytemp.txt files or edit their existing files. These files are included in the special
service pack as well as all future releases of BFSS. TIB BIDF users will need a new
BIDF_fields.cf file.
- ii -
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
BridgeFeed
Feedhandlers
Triarch
New or
modified
rtdisptemp.txt,
enummap.txt,
exchabrv.txt
and
long_brdisplayt
emp.txt files
required
New or
modified
rtdisptemp.txt,
enummap.txt,
exchabrv.txt
and
long_brdisplayt
emp.txt files
required
New or
modified
BIDF_fields.cf
file required
RMDS
TIB
Infrastructure
No Impact
Desktops/Appli
cations
No Impact
No Impact
No Impact
No Impact
No Impact: BIDF
sends strings for
exchanges.
No Impact:
BIDF sends
strings for
exchanges.
No Impact
No Impact
Toolkits
Service Packs
SDK APIs Template Service Pack 2.0
The SDK API service pack will provide updated "enumeratedtype.def" and
"appendix_a" file based on the new templates provided by the IDN to support
Single Stock Futures. This service pack should be used with the already
released versions of Reuters Developer Kits. The service pack will be applied to
the following API products.
Reuters Developers Kit - COM Edition 1.2.1
Reuters Developer Kit - SFC C++ Edition 4.3.1
Reuters Developers Kit - OLE DB Edition 1.2.0
Reuters Developers Kit - Java Edition 3.1
SSL Developers Kit - Java Edition 2.0.2
SSL Developers Kit - Classic Edition 4.0.10
SSL Adapter 4.4
Weblink Toolkit 1.1.1
SSL 4.5 Developers Kit
The service pack will have a Readme section to provide details regarding the
service pack, for example: Installation Guidelines for each of the supported APIs.
TIB Feed Handler Service Packs
The TIB Feed Handler Service Pack provides updated REUT_enum_field.cf for
RDF Feed Handler and BIDF_fields.cf for BIDF Feed Handler based on the new
templates to support Single Stock Futures. This service pack should be used
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Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
with already released versions of RDF (and RSF+) Feed Handler and BIDF Feed
Handler.
Reuters BridgeFeed Source Server (RBFSS) Service Packs
The BFSS Service Pack will provide updated rtdisptemp.txt, enummap.txt,
exchabrv.txt and long_brdisplaytemp.txt files based on the new templates
provided by IDN to support Single Stock Futures. This service pack should be
used with already released versions of BFSS.
Date of Availability
The above Service Packs will be released by end November 2002 and will be
posted to the EDS.
Distribution
Service Packs will be available via the EDS.
For SDK developers, Reuters Developer Connect, an email based service based
out of London, will also be distributing these to their developer clients, to ensure
quick turn around. The details of how it will be distributed by RDC are currently
being worked out.
Notification
A technical notice will be posted when the Service Packs becomes available.
.
-iv-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix F – Record Templates for Nasdaq Liffe Market Data
Record Template 20, ALL_FUTURES_B
ACRONYM FID
Value / mnemonic
PROD_PERM
1
RDNDISPLAY
2
3218
120
DSPLY_NAME
3
Name of Instrument
RDN_EXCHID
4
0
TRDPRC_1
6
Last Trade
TRDPRC_2
7
Last Trade -1
TRDPRC_3
8
Last Trade -2
TRDPRC_4
9
Last Trade -3
TRDPRC_5
10
Last Trade -4
NETCHNG_1
11
HIGH_1
12
Difference between latest trading
price and settlement price
Highest Trade price of the day
LOW_1
13
Lowest Trade price of the day
PRCTCK_1
14
0 / no tick
1 / up tick or zero uptick
2 / down tick or zero downtick
CURRENCY
15
TRADE_DATE
16
Date of associated Last Trade
TRDTIM_1
18
Time of associated Last Trade
OPEN_PRC
19
Official Opening Price
HST_CLOSE
21
Previous Days Settlement Price
BID
22
Best Bid
ASK
25
Best Ask
NEWS
28
NEWS_TIME
29
BIDSIZE
30
Best Bid Size
ASKSIZE
31
Best Ask Size
ACVOL_1
32
Accumulated Volume
CONTR_MNTH
41
"DEC2" for example
TRD_UNITS
53
2 / "2DP " 2 decimal places
LOTSZUNITS
54
53 / "SHARE"
PCTCHNG
56
OPEN_BID
57
Percent change in the latest trade
price vs. historic close
The first Best Bid Price of the day
OPEN_ASK
59
The first Best Ask Price of the day
CLOSE_BID
60
The last Best Bid Price of the day
CLOSE_ASK
61
The last Best Ask Price of the day
LOCHIGH
62 Highest Trade price during life of the
contract
63 Lowest Trade price during life of the
contract
64 Current number of contracts open
LOCLOW
OPINT_1
OPINTNC
840 / "USD"
STRIKE_PRC
65 Difference between the current and
previous days Open Interest
66
EXPIR_DATE
67
Date of contract expiry
SETTLE
70
Today's Settlement price
UPLIMIT
75
0
-i-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
LOLIMIT
76
0
OFFCL_CODE
78
0000000CVXZ2
HSTCLSDATE
79 Date associated with previous Days
Settlement Price
99
LIMIT_IND
TURNOVER
100
BOND_TYPE
104
0
BCKGRNDPAG
105
****
PUTCALLIND
109
0 / "CALL"
YCHIGH_IND
110
YCLOW_IND
111
PRC_QL_CD
118
PRC_QL2
131
MKT_ST_IND
133
TDY_UN_CLS
137
0
TDY_OF_CLS
143
Offical Close Price
TRDVOL_1
178
Trade volume of associated trade
HIGHTP_1
196
LOWTP_1
197
LOT_SIZE_A
198
Number of contracts per lot
RECORDTYPE
259
114
OPEN_TIME
285
:
HIGH_TIME
286
:
LOW_TIME
287
:
SETTLEDATE
BID_TONE
288 Date associated with current day's
Settlement Price
345
ASK_TONE
346
STOP_HIGH
348
STOP_LOW
349
OPINT_DATE
369
IRGPRC
372
0
IRGVOL
373
0
IRGCOND
374
TIMCOR
375
: :
SALTIM
379
: :
TNOVER_SC
380
HST_VOL
383
EXERCISED
412
0
BEST_BID1
436
BEST_BID2
437
BEST_BID3
438
BEST_BID4
439
BEST_BID5
440
BEST_ASK1
441
BEST_ASK2
442
BEST_ASK3
443
Best Bid order book, rippled from
previous best bid
Best Bid order book, rippled from
previous best bid
Best Bid order book, rippled from
previous best bid
Best Bid order book, rippled from
previous best bid
Best Bid order book, rippled from
previous best bid
Best Ask order book, rippled from
previous best Ask
Best Ask order book, rippled from
previous best Ask
Best Ask order book, rippled from
previous best Ask
0
- ii -
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
BEST_ASK4
444
BEST_ASK5
445
BCAST_REF
728
BEST_BSIZ1
730
BEST_BSIZ2
731
BEST_BSIZ3
732
BEST_BSIZ4
733
BEST_BSIZ5
734
BEST_ASIZ1
735
BEST_ASIZ2
736
BEST_ASIZ3
737
BEST_ASIZ4
738
BEST_ASIZ5
739
HST_SESVOL
758
Best Ask order book, rippled from
previous best Ask
Best Ask order book, rippled from
previous best Ask
Cross reference of RIC to broadcast
news data
Best Bid order book volume, rippled
from previous best bid
Best Bid order book volume, rippled
from previous best bid
Best Bid order book volume, rippled
from previous best bid
Best Bid order book volume, rippled
from previous best bid
Best Bid order book volume, rippled
from previous best bid
Best Ask order volume book, rippled
from previous best Ask
Best Ask order volume book, rippled
from previous best Ask
Best Ask order volume book, rippled
from previous best Ask
Best Ask order volume book, rippled
from previous best Ask
Best Ask order volume book, rippled
from previous best Ask
0
PRV_HIGH
759
0
PRV_LOW
760
0
PRV_OPEN
761
0
PRV_LAST
762
0
CROSS_SC
825
Scaling to be applied
OFF_CD_IND
869
ACT_FLAG1
975
ACT_FLAG2
976 Flag to denote previous Trade type
ACT_FLAG3
977 Flag to denote previous Trade type
ACT_FLAG4
978 Flag to denote previous Trade type
ACT_FLAG5
Flag to denote Trade type
979 Flag to denote previous Trade type
SEQNUM
1021
0
PRNTBCK
1023
0
OFF_CD_IN2
1055
OFFC_CODE2
1056
EXCHTIM
1067
: :
CONV_FAC
1078
0
PREF_DISP
1080
2013
DSPLY_NMLL
1352
VOL_X_PRC1
1379
OFF_OPNBID
1380
OFF_OPNASK
1381
SESSION_TP
1382
DSO_ID
1383
PUT_CALL
1643
RDN_EXCHD2 1709
INSTU_NAME
2130
AVG_PRC
2285
ALIAS
2320
515 / "NLX"
-iii-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
IRGFID
3131
IRGVAL
3132
Record Template 38, ALL_SECURITIES_B
ACRONYM
FID
Value / Mnemonic
PROD_PERM
1
6273
RDNDISPLAY
2
120
DSPLY_NAME
3
Name of Instrument
RDN_EXCHID
4
TIMACT
5
:
TRDPRC_1
6
0
TRDPRC_2
7
0
TRDPRC_3
8
0
TRDPRC_4
9
0
TRDPRC_5
10
0
NETCHNG_1
11
0
HIGH_1
12
0
LOW_1
13
0
PRCTCK_1
14
CURRENCY
15
TRADE_DATE
16
TRDTIM_1
18
:
OPEN_PRC
19
0
HST_CLOSE
21
0
BID
22
0
ASK
25
0
NEWS
28
NEWS_TIME
29
:
BIDSIZE
30
0
ASKSIZE
31
0
ACVOL_1
32
0
EARNINGS
34
0
YIELD
35
0
PERATIO
36
0
DIVIDENDTP
37
DIVPAYDATE
38
EXDIVDATE
39
TRD_UNITS
53
2 / "2DP “ (2 decimal places)
LOT_SIZE
55
0
PCTCHNG
56
0
STRIKE_PRC
66
0
EXPIR_DATE
67
MATUR_DATE
68
DIVIDEND
71
0
UPLIMIT
75
0
LOLIMIT
76
0
NUM_MOVES
77
0
OFFCL_CODE
78
0
HSTCLSDATE
79
840 / "USD"
-iv-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
YRHIGH
90
0
YRLOW
91
0
EPYHSTCLOS
98
0
TURNOVER
100
0
BOND_TYPE
104
BCKGRNDPAG
105
YCHIGH_IND
110
YCLOW_IND
111
CUM_EX_MKR
117
PRC_QL_CD
118
PRC_QL2
131
MID_PRICE
134
BUYER_ID
162
SELLER_ID
163
TRDVOL_1
178
0
RECORDTYPE
259
114
ASK_VOLUME
289
0
NO_BIDMMKR
291
0
NO_ASKMMKR
292
0
BID_TONE
345
ASK_TONE
346
YRHIGHDAT
350
YRLOWDAT
351
IRGPRC
372
0
IRGVOL
373
0
IRGCOND
374
TIMCOR
375
: :
SALTIM
379
: :
TNOVER_SC
380
BEST_BID1
436 Best Bid order book, rippled from
previous best bid
437 Best Bid order book, rippled from
previous best bid
438 Best Bid order book, rippled from
previous best bid
439 Best Bid order book, rippled from
previous best bid
440 Best Bid order book, rippled from
previous best bid
441 Best Ask order book, rippled from
previous best Ask
442 Best Ask order book, rippled from
previous best Ask
443 Best Ask order book, rippled from
previous best Ask
444 Best Ask order book, rippled from
previous best Ask
445 Best Ask order book, rippled from
previous best Ask
728
Cross reference of RIC to
broadcast news data
730 Best Bid order book volume, rippled
from previous best bid
731 Best Bid order book volume, rippled
from previous best bid
BEST_BID2
BEST_BID3
BEST_BID4
BEST_BID5
BEST_ASK1
BEST_ASK2
BEST_ASK3
BEST_ASK4
BEST_ASK5
BCAST_REF
BEST_BSIZ1
BEST_BSIZ2
****
0
-v-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
BEST_BSIZ3
NO_BIDMKR2
732 Best Bid order book volume, rippled
from previous best bid
733 Best Bid order book volume, rippled
from previous best bid
734 Best Bid order book volume, rippled
from previous best bid
735
Best Ask order volume book,
rippled from previous best Ask
736
Best Ask order volume book,
rippled from previous best Ask
737
Best Ask order volume book,
rippled from previous best Ask
738
Best Ask order volume book,
rippled from previous best Ask
739
Best Ask order volume book,
rippled from previous best Ask
740
0
NO_BIDMKR3
741
0
NO_BIDMKR4
742
0
NO_BIDMKR5
743
0
NO_ASKMKR2
744
0
NO_ASKMKR3
745
0
NO_ASKMKR4
746
0
NO_ASKMKR5
747
0
LONGLINK1
800
LONGLINK2
801
CROSS_SC
825
OFF_CD_IND
869
FLOOR_VOL
899
0
WNT_RATIO
947
0
HST_CLOSE2
963
0
BKGD_REF
967
ACT_FLAG1
975
ACT_FLAG2
976
ACT_FLAG3
977
ACT_FLAG4
978
ACT_FLAG5
979
GEN_VAL1
996
0
GEN_VAL2
997
VWAP Bid
GEN_VAL3
998
VWAP Ask
GEN_VAL4
999
Ask TotVol
GV1_TEXT
1000
GV2_TEXT
1001
Text Bid "VWAP"
GV3_TEXT
1002
Text Ask "VWAP"
GV4_TEXT
1003
Text Ask "TotVol"
SEQNUM
1021
0
PRNTBCK
1023
0
GV1_DATE
1028
GEN_VAL6
1030
Bid TotVol
GEN_VAL7
1031
0
GV5_TEXT
1035
GV6_TEXT
1036
GV7_TEXT
1037
GV2_DATE
1051
BEST_BSIZ4
BEST_BSIZ5
BEST_ASIZ1
BEST_ASIZ2
BEST_ASIZ3
BEST_ASIZ4
BEST_ASIZ5
Scaling to be applied
Text Bid "TotVol"
-vi-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
OFF_CD_IN2
1055
OFFC_CODE2
1056
EXCHTIM
1067
: :
PREF_DISP
1080
2044
DSPLY_NMLL
1352
VOL_X_PRC1
1379
0
DSO_ID
1383
@HB
ADJUST_CLS
1465
0
WEIGHTING
1496
0
STOCK_TYPE
1501
RDN_EXCHD2
1709
515 / NLX
CP_ADJ_FCT
1787
0
CP_ADJ_DAT
1788
YR_PCTCH
2127
0
EPYR_PCTCH
2128
0
ALIAS
2320
GV2_CURRCY
2382
WEIGHT_SPR
2388
0
WEIGHTING2
2405
0
WEIGHTING3
2406
0
BEST_BID6
2407 Best Bid order book, rippled from
previous best bid
2408 Best Bid order book, rippled from
previous best bid
2409 Best Bid order book, rippled from
previous best bid
2410 Best Bid order book, rippled from
previous best bid
2411 Best Bid order book, rippled from
previous best bid
2412 Best Ask order book, rippled from
previous best Ask
2413 Best Ask order book, rippled from
previous best Ask
2414 Best Ask order book, rippled from
previous best Ask
2415 Best Ask order book, rippled from
previous best Ask
2416 Best Ask order book, rippled from
previous best Ask
2417 Best Bid order book volume, rippled
from previous best bid
2418 Best Bid order book volume, rippled
from previous best bid
2419 Best Bid order book volume, rippled
from previous best bid
2420 Best Bid order book volume, rippled
from previous best bid
2421 Best Bid order book volume, rippled
from previous best bid
2422
Best Ask order volume book,
rippled from previous best Ask
2423
Best Ask order volume book,
rippled from previous best Ask
2424
Best Ask order volume book,
rippled from previous best Ask
2425
Best Ask order volume book,
rippled from previous best Ask
BEST_BID7
BEST_BID8
BEST_BID9
BEST_BID10
BEST_ASK6
BEST_ASK7
BEST_ASK8
BEST_ASK9
BEST_ASK10
BEST_BSIZ6
BEST_BSIZ7
BEST_BSIZ8
BEST_BSIZ9
BEST_BSZ10
BEST_ASIZ6
BEST_ASIZ7
BEST_ASIZ8
BEST_ASIZ9
-vii-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
BEST_ASZ10
2426
NO_BIDMKR6
2427
NO_BIDMKR7
2428
NO_BIDMKR8
2429
NO_BIDMKR9
2430
NO_BIDMK10
2431
NO_ASKMKR6
2432
NO_ASKMKR7
2433
NO_ASKMKR8
2434
NO_ASKMKR9
2435
NO_ASKMK10
2436
IRGFID
3131
IRGVAL
3132
Best Ask order volume book,
rippled from previous best Ask
-viii-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
Appendix G – Record Template for OneChicago Market Data
Record Template 138, COMMODITY_B
ACRONYM FID
Value / Mnemonic
PROD_PERM
1
8613
RDNDISPLAY
2
77
DSPLY_NAME
3 Instrument name
RDN_EXCHID
4 N/A
TIMACT
5 Time of update
TRDPRC_1
6 Latest trade price
TRDPRC_2
7 Trade price, ripple from 6
TRDPRC_3
8 Trade price, ripple from 7
TRDPRC_4
9 Trade price, ripple from 8
TRDPRC_5
10 Trade price, ripple from 9
NETCHNG_1
11 Net change
HIGH_1
12 Daily high
LOW_1
13 Daily low
PRCTCK_1
14 0 (NO_TICK)
1 (UP_TICK)
2 (DOWN_TICK)
CURRENCY
15 Enumeration 840 = USD
TRADE_DATE
16 Current trading date
ACTIV_DATE
17 Current trading date
TRDTIM_1
18 Time of update
HST_CLOSE
21 Historic close
BID
22 Best Bid
ASK
25 Best Ask
NEWS
28 N/A
NEWS_TIME
29 Time of news story
BIDSIZE
30 Best Bid Size
ASKSIZE
31 Best Ask Size
ACVOL_1
32 Accumulated Volume
CONTR_MNTH
41 Contract month
OPEN1
47 Opening Price
OPEN2
48 N/A
OPNRNGTP
49 4 (None)
CLOSE1
50 N/A
CLOSE2
51 N/A
CLSRNGTP
52 4 (None)
TRD_UNITS
53 0 (ZERO_DEC)
1 (ONE_DEC)
2 (TWO_DEC)
3 (THREE_DEC)
4 (FOUR_DEC)
5 (FIVE_DEC)
6 (SIX_DEC)
7 (SEVEN_DEC)
LOTSZUNITS
54 Lot Size Unit
LOT_SIZE
55 Lot Size
PCTCHNG
56 Percentage change
-i-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
LOCHIGH
62 Contract high
LOCLOW
63 Contract low
OPINT_1
64 Open Interest
OPINTNC
65 Open Interest Net Change
EXPIR_DATE
67 Contract Expiration Date
SETTLE
70 Settlement Price
UPLIMIT
75 N/A
LOLIMIT
76 N/A
NUM_MOVES
77 Number of moves
OFFCL_CODE
78 Unique contract identification code
HSTCLSDATE
79 Historic close date
LIMIT_IND
99 0 / " ", normal trading
1 / "LUP", trading at upper limit
2 / "LDN", trading at lower limit
TURNOVER
100 Cash In Lieu
BOND_TYPE
104 N/A
BCKGRNDPAG
105 N/A
YCHIGH_IND
110 0 (FALSE)
YCLOW_IND
111 0 (FALSE)
1 (TRUE)
1 (TRUE)
PRC_QL2
131 0 / " " normal market
46 / "DLY", delayed trade
66 / "SPR", Spread trade
67 / "STR", Straddle trade
73 / "AUT", automatic execution
99 / "RCK", Threshold break in last trade price
110 / "CMB", Comb buy & sell
132 / "O ", opening trade
140 / "ADJ", adjusted
149 / "REO", reopening
151 / "STP", stopped trade
170 / "B/W", buy/write trade
MKT_ST_IND
133 0 / " ", Normal
1 / "FAS", Fast market
3 / "THA", Halted
32 / "AUE", Auto Execution
33 / "SBB", Specialist Book Bid
34 / "SBA", Specialist Book Ask
35 / "BBA", Specialist Book Bid and Ask
36 / "INA", Inactive
37 / "ROT", Rotation
BUYER_ID
162 N/A
SELLER_ID
163 N/A
TRDVOL_1
178 Traded Volume
HIGHTP_1
196 N/A
LOWTP_1
197 N/A
LOT_SIZE_A
198 Lot Size, normally 100
RECORDTYPE
259 Instrument type - 114 (equity futures)
- ii -
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
ACT_TP_1
270 0 / " ", undefined
1 / " ", no tick
2 / " U", up tick
3 / " D", down tick
4 / " S", settlement price
10 / "CB", closing bid
11 / "CA" closing ask
12 / "CT", closing trade
15 / "CN", closing nominal
16 / " B", bid
17 / "PS", previous settlement
18 / " A", ask
46 / "kT", cabinet trade
47 / "kB", cabinet bid
48 / "kA", cabinet ask
ACT_TP_2
271 0 / " ", undefined
1 / " ", no tick
2 / " U", up tick
3 / " D", down tick
4 / " S", settlement price
10 / "CB", closing bid
11 / "CA" closing ask
12 / "CT", closing trade
15 / "CN", closing nominal
16 / " B", bid
17 / "PS", previous settlement
18 / " A", ask
46 / "kT", cabinet trade
47 / "kB", cabinet bid
48 / "kA", cabinet ask
ACT_TP_3
272 0 / " ", undefined
1 / " ", no tick
2 / " U", up tick
3 / " D", down tick
4 / " S", settlement price
10 / "CB", closing bid
11 / "CA" closing ask
12 / "CT", closing trade
15 / "CN", closing nominal
16 / " B", bid
17 / "PS", previous settlement
18 / " A", ask
46 / "kT", cabinet trade
47 / "kB", cabinet bid
48 / "kA", cabinet ask
ACT_TP_4
273 0 / " ", undefined
1 / " ", no tick
2 / " U", up tick
3 / " D", down tick
4 / " S", settlement price
-iii-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
10 / "CB", closing bid
11 / "CA" closing ask
12 / "CT", closing trade
15 / "CN", closing nominal
16 / " B", bid
17 / "PS", previous settlement
18 / " A", ask
46 / "kT", cabinet trade
47 / "kB", cabinet bid
48 / "kA", cabinet ask
ACT_TP_5
274 0 / " ", undefined
1 / " ", no tick
2 / " U", up tick
3 / " D", down tick
4 / " S", settlement price
10 / "CB", closing bid
11 / "CA" closing ask
12 / "CT", closing trade
15 / "CN", closing nominal
16 / " B", bid
17 / "PS", previous settlement
18 / " A", ask
46 / "kT", cabinet trade
47 / "kB", cabinet bid
48 / "kA", cabinet ask
SEC_ACT_1
275 Net change
SC_ACT_TP1
280 0 / " ", undefined
1 / " +", positive net change
2 / " -", negative net change
3 / " ", zero net change
4 / " +", prev sett positive net change
5 / " -", prev sett negative net change
6 / " ", prev sett zero net change
SETTLEDATE
288 Settlement Date
VOL_FLAG
355 Indicates volume type (F) Final
IRGPRC
372 Irregular price
IRGVOL
373 Irregular volume
IRGCOND
374 0 / " ", Not allocated
32 / " 32", not last regular
33 / " 33", retransmission regular
34 / " 34", retrans not last regular
35 / " 35", retrans cancel last regular
36 / " 36", retrans cancel not last regular
38 / " 38", insert last regular
39 / " 39", cancel not last regular
40 / " 40", cancel last regular
91 / " 91", sold last
92 / " 92", not last sold last
93 / " 93", retransmission sold last
94 / " 94", retrans not last sold last
101 / "101", open-late report
-iv-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
102 / "102", not last open-late report
103 / "103", retrans open-late report
104 / "104", retrans not last open-late report
105 / "105", retrans cancel last open-late
106 / "106", retrans cancel not last open-late
109 / "109", cancel not last open-late
110 / "110", cancel last open-late
111 / "111", open_last
112 / "112", not last open_last
113 / "113", retransmission open_last
115 / "115", retransmission cancel last open_last
116 / "116", retrans cancel not last open_last
119 / "119", cancel not last open_last
120 / "120", cancel last open_last
141 / "141", sold
142 / "142", not last sold
143 / "143", retransmission sold
144 / "144", retrans last sold
151 / "151", stop
152 / "152", not last stop
153 / "153", retransmission stop
154 / "154", retrans not last stop
155 / "155", retrans cancel last stop
156 / "156", retrans cancel not last stop
159 / "159", cancel not last stop
160 / "160", cancel last stop
161 / "161", automatic
162 / "162", not last automatic
163 / "163", retrans automatic
164 / "164", retrans not last automatic
171 / "171", reopening
172 / "172", not last reopening
173 / "173", retrans reopening
174 / "174", retrans not last reopening
181 / "181", adjusted
182 / "182", not last adjusted
183 / "183", retrans adjusted
184 / "184", retrans not last adjusted
191 / "191", spread
192 / "192", not last spread
193 / "193", retrans spread
194 / "194", retrans not last spread
201 / "201", straddle
202 / "202", not last straddle
203 / "203", retrans straddle
204 / "204", retrans not last straddle
311 / "311", recap
385 / "385", Buy-Write trade
386 / "386", Not-last Buy-Write
387 / "387", Retransmission Buy-Write
388 / "388", Retransmission, Not-last Buy-Write
389 / "389", Cancel-last Buy-Write
-v-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
390 / "390", Cancel Not-last Buy-Write
391 / "391", Retransmission, Cancel-last Buy-Write
392 / "392", Retransmission, Cancel Not-last Buy-Write
401 / "401", Settlement Price
402 / "402", Cancel Settlement
530 / "530", Comb buy & sell
531 / "531", Not Last Comb buy & sell
532 / "532", Retrans Comb buy & sell
533 / "533", Retrans Not Last Comb buy & sell
TIMCOR
375 Time of correction
SALTIM
379 N/A
TNOVER_SC
380 N/A
HST_VOL
383 Official volume
SESS_HIFLG
384 N/A
SESS_LOFLG
385 N/A
SSPRNG1
386 N/A
SSPRNG2
387 N/A
SSPRNGTP
388 N/A
RSMRNG1
389 N/A
RSMRNG2
390 N/A
RSMRNGTP
391 N/A
VOL_DATE
392 Volume date
PRIMACT_1
393 Last
PRIMACT_2
394 Last 1
PRIMACT_3
395 Last 2
PRIMACT_4
396 Last 3
PRIMACT_5
397 Last 4
BCAST_REF
PRV_HIGH
728 Normally same as LOT_SIZE_A, except after certain
corporate actions
759 N/A
PRV_LOW
760 N/A
CROSS_SC
825 N/A
OFF_CD_IND
869 N/A
GEN_VAL1
996 N/A
GEN_VAL2
997 N/A
GV1_TEXT
1000 N/A
GV2_TEXT
1001 N/A
SEQNUM
1021 Sequence number
PRNTBCK
1023 N/A
OFF_CD_IN2
1055 N/A
OFFC_CODE2
1056 Stock RIC
EXCHTIM
1067 Exchange time
CONV_FAC
1078 N/A
PREF_DISP
1080 N/A
DSPLY_NMLL
1352 N/A
VOL_X_PRC1
1379 N/A
DSO_ID
1383 N/A
AVERG_PRC
1393 N/A
RDN_EXCHD2 1709 540 / "ONE"
INSTU_NAME
2130 N/A
LSTTRDDATE
2725 N/A
-vi-
Single Stock Futures on the Reuters and Bridge Networks, White Paper, Version 2.1
IRGFID
3131 N/A
IRGVAL
3132 Number of Shares
-vii-