Description
Type: char
Type Market Data entry.
Valid values:
- 0 = Bid
- 1 = Offer
- 2 = Trade
-
3 = Index value
A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).
- 4 = Opening price
- 5 = Closing price
- 6 = Settlement price
- 7 = Trading session high price
- 8 = Trading session low price
- 9 = Volume Weighted Average 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
- S = Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
- R = Daily value adjustment for long positions
- 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
- Z = Recovery rate for long positions
- a = Recovery rate for short positions
- b = Market bid
- c = Market offer
- d = Short sale minimum price
- e = Previous closing price
-
g = Threshold limits and price banding
Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters.
-
h = Daily financing value
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.
-
i = Accrued financing value
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.
-
t = Time Weighted Average Price
TWAP