FIX Version FIX.5.0SP2 Extension Pack EP191

Approval Date 2013-09-23T17:00:00

Description GEMC - Deutsche Börse Market Data Statistics




Field Changes




New Fields

TagNameTypeAssociatedDataTagAbbrNameBaseCategoryBaseCategoryAbbrNameNotReqXMLEnumDatatypeUnionDataTypeDescriptionElaboration
2452MDStatisticReqIDStringReqID0Message identifier for a statistics request.
2453MDStatisticRptIDStringRptID0Message identifier for a statistics report.
2454MDStatisticNameStringStatsNme0The short name or acronym for a set of statistic parameters.
2455MDStatisticDescStringDesc0Can be used to provide an optional textual description for a statistic.
2456MDStatisticTypeintTyp0Reserved100PlusType of statistic value.
2457MDStatisticScopeintScope0Reserved100PlusEntities used as basis for the statistics.
2458MDStatisticSubScopeintSubScope0Reserved100PlusSub-scope of the statistics to further reduce the entities used as basis for the statistics.
2459MDStatisticScopeTypeintScopeTyp0Reserved100PlusScope details of the statistics to reduce the number of events being used as basis for the statistics.
2460MDStatisticFrequencyPeriodintFreqPeriod0Dissemination frequency of statistics. Special meaning for a value of zero which represents an event-driven dissemination in real time (e.g. as soon as a new trade occurs).
2461MDStatisticFrequencyUnitintFreqUnit01429Time unit for MDStatisticFrequencyPeriod(2460).
2462MDStatisticDelayPeriodintDelayPeriod0Number of time units between the calculation of the statistic and its dissemination. Can be used to defer or delay publication.
2463MDStatisticDelayUnitintDelayUnit01429Time unit for MDStatisticDelayPeriod(2462).
2464MDStatisticIntervalTypeintIntvlTyp0Type of interval over which statistic is calculated.
2465MDStatisticIntervalTypeUnitStringIntvlTypUnit0997Time unit for MDStatisticIntervalType(2464).
2466MDStatisticIntervalPeriodintIntvlPeriod0Length of time over which the statistic is calculated. Special meaning for a value of zero to express that there is no aggregation over time. Can be used with other interval types expressing relative date and time ranges to combine them with sliding window peaks, e.g. highest volume across 1 minute intervals of the previous day.
2467MDStatisticIntervalUnitintIntvlUnit01429Time unit for MDStatisticIntervalPeriod(2466).
2468MDStatisticStartDateUTCTimestampStartDt0First day of range for which statistical data is collected.
2469MDStatisticEndDateUTCTimestampEndDt0Last day of range for which statistical data is collected.
2470MDStatisticStartTimeUTCTimeOnlyStartTm0Start time of the time range for which statistical data is collected.
2471MDStatisticEndTimeUTCTimeOnlyEndTm0End time of the time range for which statistical data is collected.
2472MDStatisticRatioTypeintRatioTyp0Ratios between various entities.
2473MDStatisticRequestResultintReqRslt0Reserved100PlusResult returned in response to MarketDataStatisticsRequest (35=DO).
2474NoMDStatisticsNumInGroup1Number of market data statistics.
2475MDStatisticIDStringStatsID0Unique identifier for a statistic.
2476MDStatisticTimeUTCTimestampTm0Time of calculation of a statistic.
2477MDStatisticStatusintStat0Status for a statistic to indicate its availability.
2478MDStatisticValuefloatVal0Statistical value.
2479MDStatisticValueTypeintTyp0Type of statistical value.
2480MDStatisticValueUnitStringValUnit01429Unit of time for statistical value.
2481EncodedMDStatisticDescLenLengthEncDescLen0Byte length of encoded (non-ASCII characters) EncodedMDStatisticDesc(2482) field.
2482EncodedMDStatisticDescdataEncDesc0Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding (347) field. If used, the ASCII (English) representation should also be specified in the MDStatisticDesc(2455) field.



Enumerations

Enumerations Added

TagValueSymbolicNameGroupSortDescriptionElaboration
997QQuarter7Quarter
24561Count1CountSimple count of entities or events, e.g. orders transactions during a period of time.
24562AverageVolume2Average volumeAverage quantity of entities, e.g. average size of incoming quotes or average trade size.
24563TotalVolume3Total volumeAggregated volume of entities across events, e.g. total trade volume during a period of time.
24564Distribution4DistributionDistribution of entities across entity types, e.g. percentage of limit orders amongst all order types.
24565Ratio5RatioPre-defined ratio between entities, e.g. ratio of trades triggered by buy orders.
24566Liquidity6LiquidityMeasurement of liquidity of an instrument, e.g. by providing the spread between bid and offer or the trade volume needed to move the price.
24567VWAP7Volume weighted average price (VWAP)Benchmark price.
24568Volatility8VolatilityVolatility of entities, e.g. price movements of incoming orders.
24569Duration9DurationTime period of events, e.g. resting period of passive orders.
245610Tick10TickPrice movement of an instrument in number of ticks.
245611AverageTurnover11Average turnoverAverage volume multiplied by price.
245612TotalTurnover12Total turnoverAggregated volume multiplied by price.
245613High13HighHighest price.
245614Low14LowLowest price.
245615Midpoint15MidpointMidpoint price between bid and offer.
245616First16FirstFirst price or initial value.
245617Last17LastMost recent price or value.
245618Final18FinalFinal price or confirmed value.
245619ExchangeBest19Exchange bestBest price of a single venue regardless of volume.
245620ExchangeBestWithVolume20Exchange best with volumeBest price of a single venue with volume at or above a pre-defined threshold.
245621ConsolidatedBest21Consolidated bestBest price across multiple venues regardless of volume.
245622ConsolidatedBestWithVolume22Consolidated best with volumeBest price across multiple venues with volume at or above a pre-defined threshold.
245623TWAP23Time weighted average price (TWAP)
24571BidPrices1Bid prices
24572OfferPrices2Offer prices
24573BidDepth3Bid depth
24574OfferDepth4Offer depth
24575Orders5Orders
24576Quotes6Quotes
24577OrdersAndQuotes7Orders and Quotes
24578Trades8Trades
24579TradePrices9Trade prices
245710AuctionPrices10Auction prices
245711OpeningPrices11Opening prices
245712ClosingPrices12Closing prices
245713SettlementPrices13Settlement prices
245714UnderlyingPrices14Underlying prices
245715OpenInterest15Open interest
245716IndexValues16Index values
245717MarginRates17Margin rates
24581Visible1VisibleOnly includes visible orders and/or quotes.
24582Hidden2HiddenOnly includes hidden orders and/or quotes.
24583Indicative3IndicativeOnly includes IOIs and non-tradable quotes.
24584Tradeable4TradeableExcludes IOIs and indicative quotes.
24585Passive5PassiveOnly includes resting orders and tradeable quotes.
24586MarketConsensus6Market consensusOnly includes entities, e.g. trades, conforming to minimum requirements. Details to be defined out of band.
24591EntryRate1Entry rate
24592ModificationRate2Modification rate
24593CancelRate3Cancel rate
24594DownwardMove4Downward move
24595UpwardMove5Upward move
24641SlidingWindow1Sliding windowWindow is defined as an interval period up to the current time of dissemination, see MDStatisticIntervalPeriod (2466).
24642SlidingWindowPeak2Sliding window peakHighest value of all sliding windows across date and/or time range. Omission of date/time range represents current day.
24643FixedDateRange3Fixed date rangeInterval may be open ended on either side, see MDStatisticStartDate (2468) and MDStatisticEndDate(2469). Starting/ending time of date fields only apply to the first/last day of the date range. Additional time range may be defined with MDStatisticStartTime(2470) and MDStatisticEndTime(2471) and applies to every business day within date range, i.e. to define an identical time slice across days.
24644FixedTimeRange4Fixed time rangeInterval may be open ended on either side, see MDStatisticStartTime(2470) and MDStatisticEndTime(2471).
24645CurrentTimeUnit5Current time unitRelative time unit which has not ended yet, e.g. current day. Interval ends with the time of dissemination of the statistic. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).
24646PreviousTimeUnit6Previous time unitRelative time unit which has ended in the past. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465).
24647MaximumRange7Maximum rangeUse to convey record values over the lifetime of the system or venue.
24648MaximumRangeUpToPreviousTimeUnit8Maximum range up to previous time unitUse to convey record values over the lifetime of the system or venue but does not include the most recent time unit as it has not completed yet. Requires the definition of an actual unit, see MDStatisticIntervalTypeUnit(2465)
24721BuyersToSellers1Buyers to sellers
24722UpticksToDownticks2Upticks to downticksCan also be used with a scope of multiple instruments representing an index.
24723MarketMakerToNonMarketMaker3Market maker to non-market makerUse to identify share of market making activity.
24724AutomatedToNonAutomated4Automated to non-automatedUse to identify ratio of orders and quotes resulting from automated trading.
24725OrdersToTrades5Orders to tradesUse with scope of trades.
24726QuotesToTrades6Quotes to tradesUse with scope of trades.
24727OrdersAndQuotesToTrades7Orders and quotes to tradesUse with scope of trades.
24730Successful0Successful (default)
24731InvalidOrUnknownMarket1Invalid or unknown market
24732InvalidOrUnknownMarketSegment2Invalid or unknown market segment
24733InvalidOrUnknownSecurityList3Invalid or unknown security list
24734InvalidOrUnknownInstruments4Invalid or unknown instrument(s)
24735InvalidParties5Invalid parties
24736TradeDateOutOfSupportedRange6Trade date out of supported range
24737UnsupportedStatisticType7Statistic type not supported
24738UnsupportedScopeOrSubScope8Scope or sub-scope not supported
24739UnsupportedScopeType9Scope type not supported
247310MarketDepthNotSupported10Market depth not supported
247311FrequencyNotSupported11Frequency not supported
247312UnsupportedStatisticInterval12Statistic interval not supported
247313UnsupportedStatisticDateRange13Statistic date range not supported
247314UnsupportedStatisticTimeRange14Statistic time range not supported
247315UnsupportedRatioType15Ratio type not supported
247316InvalidOrUnknownTradeInputSource16Invalid or unknown trade input source
247317InvalidOrUnknownTradingSession17Invalid or unknown trading session
247318UnauthorizedForStatisticRequest18Unauthorized for statistic request
247399Other99Other (further information in Text (58) field)
24771Active1Active (default)
24772Inactive2Inactive (not disseminated)
24791Absolute1Absolute
24792Percentage2Percentage

Messages

Messages Added

MsgTypeComponentIDNameCategoryIDSectionIDAbbrNameNotReqXMLDescriptionElaboration
DO151MarketDataStatisticsRequestMarketDataPreTradeMDStatsReq0The MarketDataStatisticsRequest(35=DO) is used to request for statistical data. The simple form is to use an identifier (MDStatisticID(2475)) assigned by the market place which would denote a pre-defined statistical report. Alternatively, or also in addition, the request can define a number of parameters for the desired statistical information.
DP152MarketDataStatisticsReportMarketDataPreTradeMDStatsRpt0The MarketDataStatisticsReport(35=DP) is used to provide unsolicited statistical information or in response to a specific request. Each report contains a set of statistics for a single entity which could be a market, a market segment, a security list or an instrument.

Components

Components Added

ComponentIDComponentTypeCategoryIDNameAbbrNameNotReqXMLVolumeDescriptionElaboration
2248BlockRepeatingMarketDataMDStatisticReqGrpStatsReq0This component block is used within the MarketDataStatisticsRequest(35=DO) message to define a set of parameters describing the desired statistics.
2249BlockRepeatingMarketDataMDStatisticRptGrpStatsRpt0This component block is used within the MarketDataStatisticsReport(35=DP) message to provide results together with the related set of parameters.
2250BlockMarketDataMDStatisticParametersStatsPrm0This component comprises all parameters that can be used to describe the market data statistics. These can be part of the request as well as the response. All parameters defined on the MarketDataStatisticsRequest(35=DO) message should be echoed in the MarketDataStatisticsReport(35=DP) message as the latter could also be sent unsolicited. The general category and the entities involved in the statistics are defined by MDStatisticType(2456), MDStatisticScope(2457), and MDStatisticIntervalType(2464) and must always be specified. The remaining fields are optional and restrict the data range in one way or another. The time range for the data can either be specified in terms of an interval for which the statistics are typically calculated on a regular basis or in terms of an absolute date and/or time range.MDStatisticScope(2457), MDStatisticSubScope(2458) and MDStatisticScopeType(2459) form a set of scope relationships to filter further the type of statistic being requested or being provided. It should be noted that some of the enumeration values for MDStatisticScopeType(2459) may not be applicable or useful for a given MDStatisticScope(2457) - e.g. MDStatisticScopeType(2459)=4 (Downward move) is more applicable to prices than to orders or trades.

Message/Component Content

Messages/Components  Content Added

ComponentIDTagTextIndentPositionReqdDescription
151StandardHeader011MsgType=DO
1512452021Unique message identifier for the request or the identifier of a previous request when unsubscribing.
151263031Used to subscribe / unsubscribe for market data statistics reports or to request a one-time snapshot of the current information.
151Parties040
15175040Used to specify the business date.
1511301050Used to specify a single market.
1511300060Used to specify a single market segment.
1511396070
1511397080Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
1511398090Encoded (non-ASCII characters) representation of the MarketSegmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
15114650100Used to reference an entire group of instruments for which a single set of statistics is to be calculated.
151Instrument0110Used to specify an individual instrument or instrument attributes for which a single set of statistics is to be calculated.
151UndInstrmtGrp0120
151InstrmtLegGrp0130
151MDStatisticReqGrp0140Used to specify the parameters for the calculation of statistics.
151600150Time that the request was submitted.
151580160
1513540170Must be set if EncodedText(355) field is specified and must immediately precede it.
1513550180Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
151StandardTrailer0190
152StandardHeader011MsgType = DP
152ApplicationSequenceControl020
1522453031Unique message identifier for the report.
1522452040Unique message identifier for the request. Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
1522473050Conditionally required if report is sent in response to a MarketDataStatisticsRequest(35=DO) message.
152325060Set to 'Y' if message is sent as a result of a subscription request not a snapshot request
152Parties070
15275080
1521301090
15213000100
15213960110
15213970120Must be set if EncodedMktSegmDesc(1398) field is specified and must immediately precede it.
15213980130Encoded (non-ASCII characters) representation of the MarketDesgmentDesc(1396) field in the encoded format specified via the MessageEncoding(347) field.
15214650140
152Instrument0150
152UndInstrmtGrp0160
152InstrmtLegGrp0170
152MDStatisticRptGrp0181Specifies the resulting statistics information and corresponding statistical parameters.
152600190Time that the report was provided.
152580200
1523540210Must be set if EncodedText(355) field is specified and must immediately precede it.
1523550220Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field.
152StandardTrailer0231
22482474010
22482475120Required if NoMDStatistics(2474) > 0. Unique statistics identifier used as a placeholder for a set of parameters. If an ID is not applicable use "[N/A]".
2248MDStatisticParameters130Required if NoMDStatistics(2474) > 0 and MDStatisticID(2475) = "[N/A]".
22492474010
2249MDStatisticParameters120Required if NoMDStatistics(2474) > 0.
22492475130Required if NoMDStatistics(2474) > 0.
22492476140Conditionally required when MDStatisticValue(2478) is specified.
22492477150May be used when sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component. If not specified the default is MDStatisticStatus(2477)=1 (Active).
22492478160Conditionally required unless sending reference data only to establish MDStatisticID(2475) as a reference to a set of parameters specified in MDStatisticParameters component.
22492479170
22492480180
22502456011
22502457021
22502458030
22502459040
22502454050
22502455060
22502481060Must be set if EncodedMDStatisticDesc(2482) field is specified and must immediately precede it.
22502482070Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding(347) field.
2250264080May be used to specify the market depth up to specified level.
22502460090Conditionally required when MDStatisticFrequencyUnit(2461) is specified. Omission represents a one-time dissemination.
225024610100Conditionally required when MDStatisticFrequencyPeriod(2460) is specified.
225024620110Conditionally required when MDStatisticDelayUnit(2463) is specified.
225024630120Conditionally required when MDStatisticDelayPeriod(2462) is specified.
225024640131
225024650140Conditionally required when MDStatisticIntervalType (2464) = 5(Current time unit), 6(Previous time unit) or 8(Maximum range up to previous time unit).
225024660150Conditionally required if/when MDStatisticIntervalUnit(2467) is specified. Conditionally required when MDStatisticIntervalType(2464) = 1 (Sliding window) or 2 (Sliding window peak).
225024670160Conditionally required when MDStatisticIntervalPeriod(2466) is specified.
225024680170Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range starting with the first available day.
225024690180Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range including the current day.
225024700190Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range starting at midnight.
225024710200Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range ending with the time of dissemination of the statistical data.
225024720210Conditionally required when MDStatisticType(2456) = 5(Ratio).
225018150220
2250400230
2250590240
22502760250
22502770260
2250540270
22505780280
22503360290
22506250300