| ID | Datatype |
|---|---|
| 269 | char |
| ID | Name | Value | Description | Supported | Added | EP | Updated | EP | Deprecated | EP |
|---|---|---|---|---|---|---|---|---|---|---|
| 269001 | Bid | 0 | SYNOPSIS:
Bid
| ✓ | FIX.4.2 | |||||
| 269002 | Offer | 1 | SYNOPSIS:
Offer
| ✓ | FIX.4.2 | |||||
| 269003 | Trade | 2 | SYNOPSIS:
Trade
| ✓ | FIX.4.2 | |||||
| 269004 | IndexValue | 3 | SYNOPSIS:
Index value
ELABORATION: A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR). | ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269005 | OpeningPrice | 4 | SYNOPSIS:
Opening price
| ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269006 | ClosingPrice | 5 | SYNOPSIS:
Closing price
| ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269007 | SettlementPrice | 6 | SYNOPSIS:
Settlement price
| ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269008 | TradingSessionHighPrice | 7 | SYNOPSIS:
Trading session high price
| ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269009 | TradingSessionLowPrice | 8 | SYNOPSIS:
Trading session low price
| ✓ | FIX.4.2 | FIX.5.0SP2 | 174 | |||
| 269010 | VWAP | 9 | SYNOPSIS:
Volume Weighted Average Price
ELABORATION: VWAP | ✓ | FIX.4.2 | FIX.Latest | 267 | |||
| 269011 | Imbalance | A | SYNOPSIS:
Imbalance
| ✓ | FIX.4.3 | FIX.5.0SP2 | 174 | |||
| 269012 | TradeVolume | B | SYNOPSIS:
Trade volume
| ✓ | FIX.4.4 | FIX.5.0SP2 | 174 | |||
| 269013 | OpenInterest | C | SYNOPSIS:
Open interest
| ✓ | FIX.4.4 | FIX.5.0SP2 | 174 | |||
| 269014 | CompositeUnderlyingPrice | D | SYNOPSIS:
Composite underlying price
| ✓ | FIX.4.4 | 4 | FIX.5.0SP2 | 174 | ||
| 269015 | SimulatedSellPrice | E | SYNOPSIS:
Simulated sell price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269016 | SimulatedBuyPrice | F | SYNOPSIS:
Simulated buy price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269017 | MarginRate | G | SYNOPSIS:
Margin rate
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269018 | MidPrice | H | SYNOPSIS:
Mid-price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269019 | EmptyBook | J | SYNOPSIS:
Empty book
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269020 | SettleHighPrice | K | SYNOPSIS:
Settle high price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269021 | SettleLowPrice | L | SYNOPSIS:
Settle low price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269022 | PriorSettlePrice | M | SYNOPSIS:
Prior settle price
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269023 | SessionHighBid | N | SYNOPSIS:
Session high bid
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269024 | SessionLowOffer | O | SYNOPSIS:
Session low offer
| ✓ | FIX.4.4 | 7 | FIX.5.0SP2 | 174 | ||
| 269025 | EarlyPrices | P | SYNOPSIS:
Early prices
| ✓ | FIX.4.4 | 8 | FIX.5.0SP2 | 174 | ||
| 269026 | AuctionClearingPrice | Q | SYNOPSIS:
Auction clearing price
| ✓ | FIX.4.4 | 26 | FIX.5.0SP2 | 174 | ||
| 269027 | SwapValueFactor | S | SYNOPSIS:
Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
| ✓ | FIX.5.0 | 54 | FIX.5.0SP2 | 174 | ||
| 269028 | DailyValueAdjustmentForLongPositions | R | SYNOPSIS:
Daily value adjustment for long positions
| ✓ | FIX.5.0 | 55 | FIX.5.0SP2 | 174 | ||
| 269029 | CumulativeValueAdjustmentForLongPositions | T | SYNOPSIS:
Cumulative value adjustment for long positions
| ✓ | FIX.5.0 | 55 | FIX.5.0SP2 | 174 | ||
| 269030 | DailyValueAdjustmentForShortPositions | U | SYNOPSIS:
Daily value adjustment for short positions
| ✓ | FIX.5.0 | 55 | FIX.5.0SP2 | 174 | ||
| 269031 | CumulativeValueAdjustmentForShortPositions | V | SYNOPSIS:
Cumulative value adjustment for short positions
| ✓ | FIX.5.0 | 55 | FIX.5.0SP2 | 174 | ||
| 269032 | FixingPrice | W | SYNOPSIS:
Fixing price
| ✓ | FIX.5.0SP1 | 84 | FIX.5.0SP2 | 174 | ||
| 269033 | CashRate | X | SYNOPSIS:
Cash rate
| ✓ | FIX.5.0SP1 | 84 | FIX.5.0SP2 | 174 | ||
| 269034 | RecoveryRate | Y | SYNOPSIS:
Recovery rate
| ✓ | FIX.5.0SP1 | 83 | FIX.5.0SP2 | 174 | ||
| 269035 | RecoveryRateForLong | Z | SYNOPSIS:
Recovery rate for long positions
| ✓ | FIX.5.0SP1 | 83 | FIX.5.0SP2 | 174 | ||
| 269036 | RecoveryRateForShort | a | SYNOPSIS:
Recovery rate for short positions
| ✓ | FIX.5.0SP1 | 83 | FIX.5.0SP2 | 174 | ||
| 269037 | MarketBid | b | SYNOPSIS:
Market bid
| ✓ | FIX.5.0SP2 | 106 | FIX.5.0SP2 | 174 | ||
| 269038 | MarketOffer | c | SYNOPSIS:
Market offer
| ✓ | FIX.5.0SP2 | 106 | FIX.5.0SP2 | 174 | ||
| 269039 | ShortSaleMinPrice | d | SYNOPSIS:
Short sale minimum price
| ✓ | FIX.5.0SP2 | 123 | FIX.5.0SP2 | 174 | ||
| 269040 | PreviousClosingPrice | e | SYNOPSIS:
Previous closing price
| ✓ | FIX.5.0SP2 | 190 | ||||
| 269041 | ThresholdLimitPriceBanding | g | SYNOPSIS:
Threshold limits and price banding
ELABORATION: Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters. | ✓ | FIX.Latest | 267 | ||||
| 269042 | DailyFinancingValue | h | SYNOPSIS:
Daily financing value
ELABORATION: The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. | ✓ | FIX.Latest | 267 | ||||
| 269043 | AccruedFinancingValue | i | SYNOPSIS:
Accrued financing value
ELABORATION: The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. | ✓ | FIX.Latest | 267 | ||||
| 269044 | TWAP | t | SYNOPSIS:
Time Weighted Average Price
ELABORATION: TWAP | ✓ | FIX.Latest | 267 |