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Appendix A
Specifications for Digital Data Feed: Appendix A - ddfplus Processing of Special Sale Conditions
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Message Definitions
- DDFplus Overview
- Exchange Codes
- Record Type 2 Messages
- Record Type S Messages
- Record Type 3 Messages
- Futures Symbols Overview
- Commodities Session Codes
- Base Codes
- Appendix A
- Appendix B
- Appendix C
- Rules for Special Processing of Stocks
Symbology
Appendix A - ddfplus Processing of Special Sale Conditions
September 1, 2017 - Download as .txt file
Record 2, Sub-Record 7 messages relay trade reports with price and incremental volume. The session byte on the record will indicate the sale condition. The sale condition is important because all trades messages count towards the daily volume, but not all trades should be processed as the last price. The different processing rules are explained below.
To assist in processing of sale conditions ddfplus will always supply a refresh message each time a quote element other than last price is changed.
NYSE/AMEX - processing rules.
The following sale conditions are live trade messages and should be processed as such.
@ - Regular Sale
E - Automatic Execution
F - Inter-market Sweep Order
K - Rule 127 (NYSE Only) or Rule 155 (Amex Only)
X - Cross Trade
5 - Market Center Reopening Trade
6 - Market Center Closing Trade
9 - Corrected Consolidated Close Price as per Listing Market
E - Automatic Execution
F - Inter-market Sweep Order
K - Rule 127 (NYSE Only) or Rule 155 (Amex Only)
X - Cross Trade
5 - Market Center Reopening Trade
6 - Market Center Closing Trade
9 - Corrected Consolidated Close Price as per Listing Market
The following sale conditions are trade messages that will update the high/low values, but will only update the last price if they are the first trade of the day.
L - Sold Last (Late Reporting)
O - Market Center Opening Trade
P - Prior Reference Price
Z - Sold (out of sequence)
4 - Derivatively Priced
O - Market Center Opening Trade
P - Prior Reference Price
Z - Sold (out of sequence)
4 - Derivatively Priced
Nasdaq/OTC - processing rules.
The following sale conditions are live trade messages and should be processed as such.
@ - Regular Sale
A - Acquisition
B - Bunched Trade
D - Distribution
E - Future Place Holder
F - InterMarket Sweep
K - Rule 155 Trade (Amex Only)
O - Opening Prints
S - Split Trade
X - Cross Trade
Y - Yellow Flag
1 - Stopped Stock - Regular Trade
5 - Re-Opening Prints
6 - Closing Prints
9 - Corrected Consolidated Close Price as per Listing Market
A - Acquisition
B - Bunched Trade
D - Distribution
E - Future Place Holder
F - InterMarket Sweep
K - Rule 155 Trade (Amex Only)
O - Opening Prints
S - Split Trade
X - Cross Trade
Y - Yellow Flag
1 - Stopped Stock - Regular Trade
5 - Re-Opening Prints
6 - Closing Prints
9 - Corrected Consolidated Close Price as per Listing Market
The following sale conditions are trade messages that will update the high/low values but will only update the last price if they are the first trades of the day.
G - Bunched Sold Trade
P - Prior Reference Price
Z - Sold out of Sequence
3 - Stopped Stock - Sold (out of sequence)
4 - Derivatively Priced
P - Prior Reference Price
Z - Sold out of Sequence
3 - Stopped Stock - Sold (out of sequence)
4 - Derivatively Priced
The following sale conditions are trade messages that will update the high/low values and last prices if the market is opened. After market only update the high/low values.
L - Sold Last
2 - Stopped Stock - Sold Last
2 - Stopped Stock - Sold Last
' ' - blank session codes are valid messages, and typically used to refresh and other general non-trade Equities messages.
Form T trades (NYSE/AMEX/Nasdaq/OTC)
Common to all exchanges are the pre and post market trades also known as Form T trades, which are passed down with session code 'T' and session code 'U'. Form T trades do not update the daily open, high, low or last fields, and are normally presented as their own field element.
T - Pre/Post Market Trade
U - Pre/Post Market Trade - Sold out of Sequence
U - Pre/Post Market Trade - Sold out of Sequence
The ddfplus refresh message sent after every Form T trade does not include the Form T trade price, but it will contain the regular session o/h/l/c prices.
