DescriptionType Market Data entry. Valid values: 0 = Bid 1 = Offer 2 = Trade 3 = Index Value 4 = Opening Price 5 = Closing Price 6 = Settlement Price 7 = Trading Session High Price 8 = Trading Session Low Price 9 = Trading Session VWAP Price A = Imbalance B = Trade Volume C = Open Interest D = Composite Underlying Price E = Simulated Sell Price F = Simulated Buy Price G = Margin Rate H = Mid Price J = Empty Book K = Settle High Price L = Settle Low Price M = Prior Settle Price N = Session High Bid O = Session Low Offer P = Early Prices Q = Auction Clearing Price R = Daily value adjustment for long positions S = Swap Value Factor (SVP) for swaps cleared through a central counterparty (CCP) T = Cumulative Value Adjustment for long positions U = Daily Value Adjustment for Short Positions V = Cumulative Value Adjustment for Short Positions W = Fixing Price X = Cash Rate Y = Recovery Rate Used In |
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