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The following conditions apply for Category Code H - High-Low-Last messages:
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Futures
The following sample message contains High-Low-Last for futures:
aN FH E02737721729460 b RB Z12TX124 0028495+T 4 0028494+T c
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘N ‘ | Exchange | Message Header |
6 | Product Classification Code | (1) | F | Product type | Message Header |
7 | Category Code | (1) | H | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | E | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0273772 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1729460 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | “ “ | Session ID | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Future Commodity Code | (3) | ‘RB ‘ | ITC 2.1 product code | Message Body |
30 | Future Day Code | (1) | ‘ ‘ | Future Maturity Date | Message Body |
31 | Future Month Code | (1) | Z | Future maturity month | Message Body |
32 - 33 | Future Year Code | (2) | 12 | Future maturity year | Message Body |
34 | Last Trading Date Day Code | (1) | T | Future last trading date | Message Body |
35 | Last Trading Date Month Code | (1) | X | Future last trading month | Message Body |
36 - 37 | Last Trading Date Year Code | (2) | 12 | Future last trading year | Message Body |
38 - 39 | Price Fractional Indicator | (2) | ‘4 ‘ |
section. | Message Body | ||||
40-46 | High Price | (7) | 0028495 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
47 | Price sign | (1) | + |
| Message Body |
48 | BAT Code | (1) | T | Bid/Ask/Trade last price indicator | Message Body |
49 | Price indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
50-51 | Price Fractional Indicator | (2) | ‘4 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
52-58 | Low Price | (7) | 0028494 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
59 | Price sign | (1) | + |
| Message Body |
60 | BAT Code | (1) | T | Bid/Ask/Trade last price indicator | Message Body |
61 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
62 -63 | Price Fractional Indicator | (2) | ‘ ‘ |
section | Message Body | ||||
64-70 | Last Price | (7) | ‘ ‘ | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
71 | Price Sign | (1) | ‘ ‘ |
| Message Body |
72 | BAT Code | (1) | ‘ ‘ | Bid/Ask/Trade last price indicator | Message Body |
73 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
74 | ETX | (1) | 4 | Control character | Message Body |
Options
The following sample message contains High-Low-Last for options:
aN OH E02709891728240 b LO M11C0009500+ACL M11GK112 2 0001550+B 2 0001346+A c
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘N ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | O | Product type | Message Header |
7 | Category Code | (1) | H | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | E | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0270989 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1728249 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | Space = No Further Definition included | Represents a special type of options contract. | Message Body |
27 - 29 | Option Instrument Code | (3) | ‘LO ‘ | ITC 2.1 product code | Message Body |
30 | Option Day Code | (1) | ‘ ‘ | Option maturity day | Message Body |
31 | Option Month Code | (1) | M | Option maturity month | Message Body |
32 - 33 | Option Year Code | (2) | 11 | Option maturity year | Message Body |
34 | Put/Call Code | (1) | C | Identify put or call options | Message Body |
35 - 41 | Strike Price | (7) | 0009500 | The delineation of the whole number portion of the price | Message Body |
42 | Strike Price Sign | (1) | + | Represent positive or negative strike | Message Body |
43 | Expiration Indicator | (1) | A | Identifying the style of Expiration for the Option | Message Body |
44 - 46 | Underlying Future Commodity Code | (3) | ‘CL ‘ | Indicate the product complex | Message Body |
47 | Underlying Future Day Code | (1) | ‘ ‘ | Underlying Future maturity date | Message Body |
48 | Underlying Future Month Code | (1) | M | Underlying Future maturity month | Message Body |
49 - 50 | Underlying Future Year Code | (2) | 11 | Underlying Future maturity year | Message Body |
51 | Last Trading Date Day Code | (1) | G | Option last trading date | Message Body |
52 | Last Trading Date Month Code | (1) | K | Option last trading month | Message Body |
53 - 54 | Last Trading Date Year Code | (2) | 11 | Option last trading year | Message Body |
55 -56 | Strike Price Fractional Indicator | (2) | ‘2 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
57 | Strike Price Indicator | (1) | ‘ ‘ | Identify the manner in which the Strike Prices are coded. | Message Body |
58 - 59 | Price Fractional Indicator | (2) | ‘2 ‘ |
section. | Message Body | ||||
60-66 | High Price | (7) | 0001550 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
67 | Price sign | (1) | + |
| Message Body |
68 | Bat Code | (1) | B | Bid/Ask/Trade last price indicator | Message Body |
69 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
70-71 | Price Fractional Indicator | (2) | ‘2 ‘ |
section. | Message Body | ||||
72-78 | Low Price | (7) | 0001346 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
79 | Price sign | (1) | + |
| Message Body |
80 | Bat Code | (1) | A | Bid/Ask/Trade last price indicator | Message Body |
81 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
82 -83 | Price Fractional Indicator | (2) | ‘ ‘ |
section | Message Body | ||||
84-90 | Last Price | (7) | ‘ ‘ | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
91 | Price Sign | (1) | ‘ ‘ |
| Message Body |
92 | BAT Code | (1) | ‘ ‘ | Bid/Ask/Trade last price indicator | Message Body |
93 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
94 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |