New Trading Platform ASX FIX Market Data …...New Trading Platform ASX FIX Market Data Message Updates V0.6 INFORMATION CLASSIFICATION - CONFIDENTIAL

New Trading Platform ASX FIX Market Data Message Updates V0.6

INFORMATION CLASSIFICATION - CONFIDENTIAL

ASX Limited ASX FIX Market Data Message Updates

© Copyright 2016 ASX Limited ABN 98 008 624 691. All rights reserved 2016. 2.

Table of Contents

1. INTRODUCTION .............................................................................................................................................. 3

2. FIX MARKET DATA REMOVALS ................................................................................................................... 4

3. STANDARD HEADER & STANDARD TRAILER DEFINITIONS .................................................................... 5

4. FIX SESSION LAYER MESSAGE UPDATES................................................................................................. 6

4.1. Logon (A) Message ................................................................................................................................ 6

5. FIX MARKET DATA MESSAGE UPDATES ................................................................................................... 7

5.1. MarketDataRequest (V) Message .......................................................................................................... 8 5.2. MarketDataIncrementalRefresh (X) Message ........................................................................................ 9

6. FIX REFERENCE DATA MESSAGE UPDATES ........................................................................................... 12

6.1. DerivativeSecurityList (AA) Message ................................................................................................... 12 6.2. SecurityStatus (f) Message ................................................................................................................... 13

7. GENERAL MESSAGES................................................................................................................................. 14


© Copyright 2016 ASX Limited ABN 98 008 624 691. All rights reserved 2016. 3.

1. Introduction

This document contains message updates that have occurred between V0.5 and V0.6 of the ASX FIX Market Data Specification. Message updates include tags that have been added, changed or deleted.

Any messages that have not been updated will not appear in this document.

For more information on FIX Market Data messages see the ASX FIX Market Data Specification V0.6.


© Copyright 2016 ASX Limited ABN 98 008 624 691. All rights reserved 2016 4.

2. FIX Market Data Removals

There have been no removals between V0.5 and V0.6 of the ASX FIX Market Data Specification.



3. Standard Header & Standard Trailer Definitions

There have been no Standard Header or Standard Trailer message changes between V0.5 and V0.6 of the ASX FIX Market Data Specification



4. FIX Session Layer Message Updates

The messages that have been updated between V0.5 and V0.6 of the ASX FIX Market Data Specification are displayed in the tables below.

Special attention should also be given to the descriptions of any updated messages, as they may have changed significantly from what was previously published.

Possible values in the Reqd column are:

Yes - Defined as required in FIX 5.0 SP2 EP 196

No – Tag may be omitted.

C – Conditional - Conditionally required by either the FIX protocol or by ASX to implement functionality

N/A – Not Applicable – Used mainly for new or newly defined tags as there is nothing existing in the previous specification.

4.1. Logon (A) Message

Tag Previous Specification (V0.5) Current Specification (V0.6)

Reqd Description Reqd Description

New Tags

Changed Tags

98 Method of encryption

Valid values:

0 = None/Other

Method of encryption.

ASX does not use FIX encryption however this field is required by FIX 5.0 SP2. Please set to zero to specify no encryption. Other valid values are accepted, but will not have any effect.

Valid values:

0 = None/Other

Deleted Tags



5. FIX Market Data Message Updates










5.1. MarketDataRequest (V) Message



New Tags

Changed Tags

269 Type of market data entry.

Valid Values:

0 = Bid

1 = Offer

2 = Trade (Trade-By-Level if Request contains AggregatedBook(266=Y))

4 = Opening Price

5 = Closing Price

6 = Settlement Price

7 = Trading session high price

8 = Trading session low price

A = Imbalance

B = Total Traded Volume / Volume (VOI) when paired with 269=C

C = Open Interest

D = Underlying Settlement Price (single session options)

M = Prior Settle Price

Q = Auction Clearing Price (Equilibrium Price).

Type of market data entry.

Valid Values:

0 = Bid

1 = Offer


4 = Opening Price

5 = Closing Price




A = Imbalance


C = Open Interest


Q = Auction Clearing Price (Equilibrium Price).

u = Anomalous Order Threshold Reference Price

v = Anomalous Order Threshold Upper Range

w = Anomalous Order Threshold Lower Range

x = Extreme Trade Range Reference Price

y = Extreme Trade Range Upper Range

z = Extreme Trade Range Lower Range





Deleted Tags

5.2. MarketDataIncrementalRefresh (X) Message



New Tags

Changed Tags

279 Must be the first tag in each repeating group.

Valid Values:

0 = New

1 = Change

2 = Delete

5 = Overlay

Must be the first tag in each repeating group.

Valid Values:

0 = New

1 = Change

2 = Delete





269 Type of market data entry.

Valid Values:

0 = Bid

1 = Offer


4 = Opening Price

5 = Closing Price




A = Imbalance


C = Open Interest

D = Underlying Settlement Price (single session options)


Q = Auction Clearing Price (Equilibrium Price)






z = Extreme Trade Range Lower Range.

Type of market data entry.

Valid Values:

0 = Bid

1 = Offer


4 = Opening Price

5 = Closing Price




A = Imbalance


C = Open Interest


Q = Auction Clearing Price (Equilibrium Price)






z = Extreme Trade Range Lower Range.





Deleted Tags

7555 Subscription group.

7554 Trade sequence number.



6. FIX Reference Data Message Updates








6.1. DerivativeSecurityList (AA) Message



New Tags

Changed Tags

Deleted Tags

461 Indicates the type of security using ISO 10962 standard, Classification of Financial Instruments (CFI code) values.



6.2. SecurityStatus (f) Message



New Tags

Changed Tags

326 Identifies the trading status applicable to the transaction.

Valid Values:

2 = Trading halt

17 = Ready to trade (start of session) (OPEN)

18 = Not available for trading (end of session) (CLOSE)

21 = Pre-open.

Identifies the trading status applicable to the transaction.

Valid Values:

2 = Trading halt

3 = Resume

17 = Ready to trade (start of session) (OPEN)

18 = Not available for trading (end of session) (CLOSE)

21 = Pre-open.

1301 Identifies the market which lists and trades the instrument.

Required if MarketSegmentID (1300) is supplied.

Valid values:

XSFE = Sydney Futures Exchange

NZFX = New Zealand Futures and Options Exchange.

Identifies the market which lists and trades the instrument.

Required by ASX.

Valid values:

XSFE = Sydney Futures Exchange

NZFX = New Zealand Futures and Options Exchange.

Deleted Tags



7. General Messages

There have been no General messages that have been updated between V0.5 and V0.6 of the ASX FIX Market Data Specification

ASX Limited ASX FIX Order Entry Message Updates


Disclaimer

This document provides general information only and may be subject to change at any time without notice. ASX Limited (ABN 98 008 624 691) and its related bodies corporate (“ASX”) makes no representation or warranty with respect to the accuracy, reliability or completeness of this information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way, including by way of negligence, from or in connection with any information provided or omitted, or from anyone acting or refraining to act in reliance on this information. The information in this document is not a substitute for any relevant operating rules, and in the event of any inconsistency between this document and the operating rules, the operating rules prevail to the extent of the inconsistency.

ASX Trade Marks

The trade marks listed below are trademarks of ASX. Where a mark is indicated as registered it is registered in Australia and may also be registered in other countries. Nothing contained in this document should be construed as being any licence or right to use of any trade mark contained within the document.

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New Trading Platform ASX FIX Market Data …...New Trading Platform ASX FIX Market Data Message Updates V0.6 INFORMATION CLASSIFICATION - CONFIDENTIAL