Category Code U - Range Quotations
- Space Sync for Confluence
In the event that the range quotation is being used for a particular type of quotation with only a single price, that price and associated information will appear in the First Price ID fields; the Second Price ID of the message will be space filled.
The Market Direction Indicator will indicate that the market was rising (+) or falling (-) from the first to last quotations occurring during the particular ranges trading time interval. A Market Direction Indicator, "S", will connote that the market was stable during this interval. A space character in the Market Direction Indicator field indicates that the exchange elected not to report the direction of the market.
The volume traded may be reported at the option of the exchange. Volume reported in this message will exclude all volume which may have been reported in other messages pertaining to transactions which occurred during this interval. If volume is not reported, the field will be space filled.
Futures
The following sample message contains the Range Quotations for futures:
aM FU 200496090804280Rb ED U15DU154 0959600+T Oc
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) | ‘M ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | F | Product type | Message Header |
7 | Category Code | (1) | U | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | 2 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0049609 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 0804280 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | R | 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) | ‘ED ‘ | ITC 2.1 product code | Message Body |
30 | Future day Code | (1) | ‘ ‘ | Future maturity date | Message Body |
31 | Future Month Code | (1) | U | Future maturity month | Message Body |
32 - 33 | Future Year Code | (2) | 16 | Future maturity year | Message Body |
34 | Last Trading Date Day Code | (1) | I | Future last trading date | Message Body |
35 | Last Trading Date Month Code | (1) | U | Future last trading month | Message Body |
36 - 37 | Last Trading Date Year Code | (2) | 16 | Future last trading year | Message Body |
38 - 39 | Price Fractional Indicator | (2) | ‘4 ‘ | See Price Conventions section. | Message Body |
40-46 | Price | (7) | 0959600 | 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) | ‘ ‘ | Space = Normal | Message Body |
50-51 | Fractional Indicator | (2) | ‘ ‘ | Fractional Indicator | Message Body |
52-58 | Price | (7) | Second price | Message Body | |
59 | Price Sign | (1) | ‘ ‘ | Represent positive or negative strike | Message Body |
60 | Bat Code | (1) | ‘ ‘ | Bid/Ask/Trade Options last price indicator | Message Body |
61 | Price indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
62 | space | (1) | ‘ ‘ | Blank | Message Body |
63-67 | Volume | (5) | ‘ ‘ | Volume | Message Body |
68 | space | (1) | ‘ ‘ | Blank | Message Body |
69 | Range Indicator | (1) | O |
| Message Body |
70 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
Options
The following sample message contains the Range Quotations for Options:
aM OU 200499550817030Rb EC K11C0148000+AEC M116K115 5 0001020+T
Oc
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) | ‘M ‘ | 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) | U | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | 2 | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0049955 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 0817030 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | R | 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 | Option Instrument Code | (3) | ‘EC ‘ | ITC 2.1 product code | Message Body |
30 | Option Day Code | (1) | ‘ ‘ | Option maturity date | Message Body |
31 | Option MonthCode | (1) | K | 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) | 0148000 | 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) | ‘EC ‘ | 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) | 6 | 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) | ‘5 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
57 | Strike Price Indicator | (1) | Space | Identify the manner in which the Strike Prices are coded. | Message Body |
58 - 59 | Price Fractional Indicator | (2) | ‘5 ‘ | See Price Conventions section. | Message Body |
60-66 | Price | (7) | 0001020 | 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) | T | Bid/Ask/Trade last price indicator | Message Body |
69 | Price indicator | (1) | (1) | Space = Normal | Message Body |
70-71 | Fractional Indicator | (2) | ‘ ‘ | Fractional Indicator | Message Body |
72 -78 | Price | (7) | Second price | Message Body | |
79 | Price Sign | (1) | ‘ ‘ | Represent positive or negative strike | Message Body |
80 | Bat Code | (1) | ‘ ‘ | Bid/Ask/Trade Options last price indicator | Message Body |
81 | Price indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
82 | space | (1) | ‘ ‘ | Blank | Message Body |
83-87 | Volume | (5) | ‘ ‘ | Volume | Message Body |
88 | Space | (1) | ‘ ‘ | Blank | Message Body |
89 | Range Indicator | (1) | O |
| Message Body |
80 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
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