HISTORICAL ICE DATA GLOBAL INDEX FEED CLIENT SPECIFICATION
Version Date
1.0 May 1, 2018
ICE Data Indices, LLC is the administrator for the ICE BofAML Indices, the NYSE Indices and the ICE U.S. Treasury indices and a
provider of calculation services for certain third-party indices and ETFs. This document contains information that is confidential
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ICE DATA INDICES HISTORICAL ICE DATA GLOBAL INDEX FEED CLIENT SPECIFICATION
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PREFACE
DOCUMENT HISTORY
VERSION
NO.
DATE CHANGE DESCRIPTION
1.0 May 1, 2018 Initial Release
CONTACT INFORMATION
Service Desk
Telephone: +1 212 896-2830
Email: [email protected]
FURTHER INFORMATION
■ For additional product information, visit NYSE Historical Market Data Product Page
ICE DATA INDICES HISTORICAL ICE DATA GLOBAL INDEX FEED CLIENT SPECIFICATION
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CONTENTS
1. HISTORICAL ICE DATA GLOBAL INDEX FEED PRODUCT SUITE ........................................................ 4
1.1 Overview .................................................................................................................................... 4
1.2 Access and Data Format .............................................................................................................. 4
1.3 Sample Data ............................................................................................................................... 5
1.4 Contracts and Licensing ............................................................................................................... 5
1.5 Notes on Symbol Dissemination .................................................................................................. 5
2. MESSAGE AND FIELD LEVEL DATA ................................................................................................ 6
2.1 Distribution of message types among Data Sets ........................................................................... 6
2.2 Data Types .................................................................................................................................. 6
3. SYMBOL INDEX MAPPING MESSAGE (MSG TYPE 3) ...................................................................... 7
4. TRADING HALT MESSAGE (MSG TYPE 34) ..................................................................................... 8
5. INDEX UPDATE MESSAGE– MSG TYPE 130 ................................................................................... 9
6. ETP UPDATE MESSAGE – MSG TYPE 131 ..................................................................................... 10
7. ETP VALUE MESSAGE – MSG TYPE 132 ....................................................................................... 11
APPENDIX A: SCHEDULES ...................................................................................................................... 12
APPENDIX B: FILENAMES AND PATHS.................................................................................................... 13
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1. Historical ICE Data Global Index Feed Product Suite
1.1 OVERVIEW
The ICE Data Global Index Feed (GIF) is the primary source of US real-time index and exchange-traded
product valuations data from ICE Data Index Group. GIF has been created to support the advanced trading
methodologies and dissemination frequency required for today’s index and exchange-traded product
calculations.
This specification is related to the Historical capture and product offering for the Historical ICE Data Global
Index Feed.
Data and features of GIF include:
■ Historical file capture of Real-time publication of NYSE index data, including:
– NYSE, NYSE Arca, NYSE American and other indices (for example, fixed income, strategy)
– Third-party index values (for example, DB Liquid Commodity, Wisdom Tree, Wilder Hill New Energy)
■ Exchange-traded product (ETP) data, including:
– Segmented ETF Indicative Optimized Price Value (IOPV) values and static portfolio data
– Intraday Portfolio Values (IPVs)
– Daily valuation information, including: Net Asset Value (NAV), shares outstanding, estimated cash
per-unit creation, total cash per-unit creation, and dividends
■ Data distribution for ETF IOPV and other exchange-traded products
The Historical ICE Data Global Index Feed product suite provides a historical record of all data that was
published by the ICE Data Global Index Feed on a particular day. The suite is comprised of multiple
individual data sets, where each set captures the data published on a ICE Data Global Index Feed channel
on a particular day.
The product is available on an end-of-day basis in flat file format, enabling you to recreate Index and ETF
IOPV values and statistics for any given time. The following data sets are available in historical format:
A GIF symbol will be defined as either a GIF or GIF APAC symbol and will appear only in the channel in
which it is assigned.
1.2 ACCESS AND DATA FORMAT
All Historical ICE Data Global Index Feed product suite files consist of newline-terminated records in ASCII
CSV format. The files are compressed using GNU Zip, and can be downloaded via NYSE Managed File
Transfer (MFT) Site, https://mftus.nyx.com/ For information on file paths and filenames, see Appendix B.
PRODUCT DATA CHANNEL
FILE
DATA SET APPROX TOTAL
FILE SIZE
Historical ICE
Data Global
Index Feed
Suite
1 GIF Index and ETP intraday and static data 2 GB
2 GIF APAC (Asia Pacific) Index and ETP intraday
and static data
135 MB
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Each record in the files corresponds to a single data event in the real time feed. The file records are in the
same order as the data events were in the real time feed.
1.3 SAMPLE DATA
Sample data is available on our public ftp server.
1.4 CONTRACTS AND LICENSING
Subscribers must execute the appropriate agreement (Exhibit A and/or Vendor Agreement) which will be
generated upon submission of the online order from the product page for each product on the product
website. Upon the approval, MFT credentials for accessing the data will be provided. Please allow up to
an hour for newly purchased data product(s) from the MFT directory setup to complete. Subscribers may
download the data once and place the data on their internal database for internal users to access the data.
1.5 NOTES ON SYMBOL DISSEMINATION
In the historical ICE Data Global Index Feed, the core symbol (without suffix) is present in each record.
For example, currently in the GIF Master Symbol List for the IOPV iShares S&P Growth Allocation Fund, five
symbols represent the data as follows:
■ AOR.IV – Real-time IOPV value (message 131)
■ AOR.EU – Estimated cash per-unit creation value for the ETF IOPV (message 132)
■ AOR.NV – Net asset value of the ETF IOPV (message 132)
■ AOR.SO – Shares Outstanding of the ETF IOPV (message 132)
■ AOR.TC – Total Cash of the ETF IOPV (message 132)
But in historical GIF records, only ‘AOR’ is presented as the core symbol, along with data values populated
within specific fields in the message 132 structure.
Note the following points:
■ IOPV symbols publish to GIF but drop the suffix. For example, the IOPV for AFK publishes without the
“.IV” suffix and the data items publish only against AFK, with the associated populating the other fields
within the 132 message.
■ Suffixes are dropped for the 131 and 132 messages.
■ There are some non-standard ETF IOPV-related symbols:
– Roots different from product
– Suffixes other than .IV, .NV, .SO, .EU or .TC
■ Some 130 index messages contain ETF IOPV-related data. However the symbol in a 130 message will be
in its entirety; no suffix needs to be added. Additionally, the symbol in 131 and 132 messages will be
the root and the requisite suffix (.IV, .NV, .SO, .EU, .TC) should be added based on the position of the
data in the message.
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2. Message and Field Level Data
2.1 DISTRIBUTION OF MESSAGE TYPES AMONG DATA SETS
Each data set within the Historical ICE Data Global Index Feed product suite contains a subset of all the
message types described in this document, as shown below.
MSG
TYPE DESCRIPTION GIF GIF APAC
3 Symbol Index Mapping Y Y
34 Security Status Message Y Y
130 Index update message Y Y
131 ETP update message Y Y
132 ETP value message Y Y
2.2 DATA TYPES
1. Numeric fields consist of numeric ASCII characters only (0-9).
2. Alpha fields consist of alphabetic ASCII characters only (a-z and A-Z).
3. Values are in decimal format. Examples; “25.2222”, “0.1255”, “100.6666”, “2.3000”, “4.4444’.
Values are represented to no more than 4 decimal places.
4. A sequence number is intentionally left blank for future use.
5. Timestamps are in ET, in hours, minutes, seconds, and microseconds granularity expressed in
nanoseconds, eg: “12:32:44.123456000”.
6. For all default values of 0 and spaces in the real time feeds, the value in CSV is blank, eg: “,,”,
except as explicitly noted.
7. All symbols are expressed in NYSE Symbology.
8. For underlying symbol, currency of an index value and other attributes, refer to the GIF Master
Symbol list on the product website page.
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3. Symbol Index Mapping Message (Msg Type 3)
FIELD NAME FIELD
ORDER FORMAT DESCRIPTION
Msg Type 1 Numeric The type of this message:
3 – Symbol Index Mapping Message
SequenceNumber 2 Numeric Intentionally left blank
SendTime 3 HH:MM:SS.
nnnnnnnnn Send time of this message, with nanosecond accuracy
Symbol 4 ASCII See GIF Master Symbol list on the product website page
Flag 5 Numeric Not Used. This field is populated with:
‘0’ – NA
Market ID 6 Numeric ID of the Index calculation application. Current value is ‘10’.
System ID 7 Numeric ID of the Originating System. Current value is ‘1’.
Exchange Code 8 Alpha Exchange where this symbol is listed:
‘P’ – NYSE Arca (For GIF, all symbols set to ‘P’)
Security Type 9 Alpha Type of Security:
‘E’ – ETP
‘X’ - INDEX
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4. Trading Halt Message (Msg Type 34)
FIELD NAME FIELD
ORDER FORMAT DESCRIPTION
MsgType 1 Numeric The type of this message:
34 – Trading Halt Message
SequenceNumber
2 Numeric Intentionally left blank
SourceTime 3 HH:MM:SS.
nnnnnnnnn
Send time of this message, with nanosecond
accuracy
Symbol 4 ASCII See GIF Master Symbol list on the product
website page
SymbolSeqNum 5 Numberic Not Used. Field is populated with a ‘0’.
Security Status 6 Numeric ‘3’ – Opening Delay
‘4’ – Trading Halt
‘5’ - Resume
‘6’ - No open/no resume
Halt Condition 7 N/A Unused, blank
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5. Index Update Message– Msg Type 130
An Index Update message (Msg Type 130) is sent when the value of the Index changes due to a change in
price of an underlying index component.
FIELD NAME FIELD
ORDER FORMAT DESCRIPTION
MsgType 1 Numeric This field identifies the type of message
‘130’ – Index Update Message
SequenceNumber 2 Numeric Intentionally left blank
SourceTime 3 HH:MM:SS.
nnnnnnnnn
Send time of this message, with nanosecond
accuracy
Symbol 4 ASCII See GIF Master Symbol list on the product
website page
Value 5 Numeric This field contains the corresponding value
for the symbol (see section 2.2 Data Types)
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6. ETP Update Message – Msg Type 131
An ETP Update message provides information about value updates for ETPs. An ETP Update message 131 is
sent when the value of the ETP changes due to a change in price of an underlying component; or, when
dividend, estimated unit of cash creation, total cash amount or shares outstanding values are published.
FIELD NAME FIELD
ORDER FORMAT DESCRIPTION
MsgType 1 Numeric This field identifies the type of message
‘131’ – ETP Update Message
SequenceNumber 2 Numeric Intentionally left blank
SourceTime 3 HH:MM:SS.
nnnnnnnnn
Send time of this message, with nanosecond
accuracy
Symbol 4 ASCII See GIF Master Symbol list on the product
website page
Value 5 Numeric This field contains the corresponding value for
the symbol (see section 2.2 Data Types)
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7. ETP Value Message – Msg Type 132
An ETP Value message provides information about ETP reference data. An ETP Value message 132 is sent at
the start of day; or, if the reference data changes intraday.
The table below describes the fields of an ETP Update message (MsgType ‘132’). The Symbol itself is
provided in the message, and suffices can be derived from the NetAssetValue (.NV), SharesOut (.SO),
EstCash (.EU), TotalCash (.TC) and Real-Time Indicative Optimized Portfolio Value (.IV) fields.
FIELD NAME FIELD
ORDER FORMAT DESCRIPTION
MsgType 1 Numeric This field identifies the type of message
‘132’ – ETP Value Message
SequenceNumber 2 Numeric Intentionally left blank
SourceTime 3 HH:MM:SS.
nnnnnnnnn
Send time of this message, with nanosecond
accuracy
Symbol 4 ASCII See GIF Master Symbol list on the product
website page
NAV 5 Numeric This field represents the Net Asset value for the
ETP.
SharesOut 6 Numeric This field represents the shares outstanding
value for the ETP.
EstCash 7 Numeric
(Signed)
This field represents the Estimated Cash per
unit creation value for the ETP. This can be a
negative number.
TotalCash 8 Numeric
(Signed)
This field represents the Total Cash per unit
creation value for the ETP. This can be a
negative number.
Dividend 9 Numeric This field represents the dividend value for the
ETP.
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APPENDIX A: Schedules
DATA DELIVERY
The following table lists the capture end time and delivery time of each historical ICE Data Global Index
Feed file.
PRODUCT DATA SET
CAPTURE END TIME
(ET)
DELIVERY TIME (ET)
Historical ICE
Data Global
Index Feed
Suite
GIF 7:15pm 10:00pm
GIF APAC 2:15pm 5:00pm
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APPENDIX B: Filenames and Paths
On logging into the NYSE MFT, Site, https://mftus.nyx.com/, the Historical GIF files are accessible per your
entitlements at the locations shown below.
PRODUCT FILE PATH AND NAME
GIF
2 files
IDS_GIF/
IDS_GIF_YYYY/
IDS_GIF_YYYYMM/
IDS_GIF_1_YYYYMMDD.GZ
IDS_GIF_2_YYYYMMDD.GZ