VWAP Query Protocol 1.2 Specification

Transcription

1 VWAP Query Protocol 1.2 Specification Date Version Author Notes 04/26/ SMarrinan Created 05/23/ SMarrinan Removed SoupTCP protocol reference. Added TCP transport descriptions. Added Login/Logout messages. 08/08/ SMarrinan Added Teminating linefeed to Query Message A and response messages, fixed table description for Login Reject Message J, Added TFMKTP Error Code.

2 Definitions CVWAP The Competitive Volume Weighted Average Price is is a price benchmark for large transactions. CVWAP Benchmark provides the best and worst average price performance by actual market makers trading on the Nasdaq Market Center execution system. Buy Max CVWAP Buy Max CVWAP is the highest (worst) VWAP achieved by a market participant that bought shares during the selected time period and in a quantity above the minimum share or dollar volume. Buy Min CVWAP Buy Min CVWAP is the lowest (best) VWAP achieved by a market participant that bought shares during the selected time period and in a quantity above the minimum share or dollar volume. Sell Max CVWAP Sell Max CVWAP is the highest (best) VWAP achieved by a market participant that sold shares during the selected time period and in a quantity above the minimum share or dollar volume. Sell Min CVWAP Sell Min CVWAP is the lowest (worst) VWAP achieved by a market participant that sold shares during the selected time period and in a quantity above the minimum share or dollar volume. INET-book-only VWAP THE INET-book-only VWAP is the volume weighted average price for all trades that occur on the INET execution system.

3 Message Transport Protocol Messaging direction is from the perspective of the VWAP Tracker Server Inbound are messages to the VWAP Tracker, Outbound are messages from the VWAP Tracker. All messages are sent over standard TCP connections. 1.1 Base Message Format Every message sent to and received from the VWAP Tracker Server is made up of the same base message format. Each message has: A. a single byte header which indicates the message type and format B. a variable length payload C. a terminating linefeed character (ASCII 10 decimal, 0x0A hex). Message Format ID Variable-length payload line feed character Logical Message Structure Notes: The VWAP Tracker protocol does not define a maximum payload length. The payload may not contain the line feed character. 1.2 Protocol Flow A VWAP Tracker connection begins with the client opening a TCP/IP socket to the server and sending a Login Request Message. If the login request is valid, the server responds with a Login Accepted Message and begins accepting Query Request Messages and sending Query Response Messages. The connection continues until the TCP/IP socket is broken.

4 Inbound Messages 1.0 Login/Logout Messages Login Request Message L This is a message sent to the VWAP Tracker (by a Client Application) in order to login to the system. Login Request Message L Message Format ID 0 1 ANUM L for this message format Username 1 6 ANUM Username Password 7 10 ANUM Password Linefeed 17 1 ANUM ASCII 10 decimal, 0x0A hex Logout Request Message O This is a message sent to the VWAP Tracker (by a Client Application) in order to logout of the system. Logout Request Message O Message Format ID 0 1 ANUM O for this message format Linefeed 1 1 ANUM ASCII 10 decimal, 0x0A hex The client may send a Logout Request Packet to request the connection be terminated. Upon receiving a Logout Request Packet, the server will immediately terminate the connection and close the associated TCP/IP socket.

5 2.0 Query Messages Query Message Format A This is a message sent to the VWAP Tracker (by a Client Application) for querying data. Query Message Format A Message Format ID 0 1 ANUM A for this message format Query ID 1 6 ANUM Freeform client controlled field for tracking queries. Query Type 7 8 ANUM Identifies the type of data returned from the query. CVWAP is the only value presently supported Issue ID 15 6 ANUM Stock Symbol Start Date 21 8 Numeric YYYYMMDD Start Time Seconds since midnight, ms 29 9 Numeric precision End Date 38 8 Numeric YYYYMMDD End Time 46 9 Numeric Milliseconds since midnight 1 = report data during market hours Market Hours Indicator /0 0 = report using all data Only use data from firms with at Minimum Share Volume Numeric least the minimum share volume. Minimum Dollar Volume Numeric Only use data from firms with at least the minimum dollar volume. Linefeed 80 1 ANUM ASCII 10 decimal, 0x0A hex

6 Outbound Messages 3.0 Login Message Login Success Message S This is a message sent from the VWAP Tracker (to the Client Application) upon a successful login. Login Success Message S Message Format ID 0 1 ANUM S for this message format Linefeed 1 1 ANUM ASCII 10 decimal, 0x0A hex Login Reject Message J This is a message sent from the VWAP Tracker (to the Client Application) upon a login rejection. Login Reject Message J Message Format ID 0 1 ANUM J for this message format Linefeed 1 1 ANUM ASCII 10 decimal, 0x0A hex

7 4.0 Query Responses The query response is a variable length message made up of comma separated Key- Value pairs representing the response from the incoming query. The original query parameters are returned as a part of the response message, also as KV pairs. All Keys are fixed length (8 byte) left justified ASCII Alpha fields padded to the right with spaces. All Values are fixed length fields dependent on their particular data type. Keys are separated from Values using an =. Key-Value pairs are comma separated. Example: QUERYID =Q10211,ERROR=NONE =GOOG,MINDVOL= 500,,QUERYTYP=CVWAP,ISSUE Ordering of Key-Value pairs is not guaranteed, except for the first two pairs which will always be QUERYID followed by ERROR. Numeric fields are a string of ASCII coded digits, right justified and space filled on the left. Prices are given in decimal format with 6 whole number places followed by a decimal point and 4 decimal digits. The whole number portion is padded on the left with spaces; the decimal portion is padded on the right with zeros. Times are decimal format with 5 whole number places followed by a decimal point and 3 decimal digits. The whole number portion is padded on the left with spaces; the decimal portion is padded on the right with zeroes. Times represent the number of seconds past midnight Eastern Time with a millisecond precision.

8 2.0.1 Valid Response Key Identifiers and Value Definitions: Valid Response Keys KeyID Key Description Value Len Value Type Value Format Notes Freeform client controlled field for tracking queries. QUERYID User Supplied Query Id 6 ANUM (Sent in Query Message) ERROR ERROR Code for failed query or NONE on success 8 ANUM INVQRY=Invalid Query INVISS=Invalid Issue NOTRDS=No Trades Found TFWTRDS=Too Few Trades NONE=No error occurred, query successful QUERYTYP Query Type this is the response to 8 ANUM CVWAP=Competitive VWAP query ISSUE Stock query was performed on 6 ALPHA MINDVOL Minimum Dollar Volume 12 Numeric Whole number MINSVOL Minimum Share Volume 12 Numeric Whole number STTIME Start Time 9 Numeric ENTIME End Time 9 Numeric STDATE Start Date 8 Numeric YYYYMMDD ENDATE End Date 8 Numeric YYYYMMDD MKTHRS Market Hours Indicator 1 1/0 1 = report data during market hours 0 = report using all data STTIMEA Actual Start Time 9 Numeric Start time of actual data found. ENTIMEA Actual End Time 9 Numeric End time of actual data found. STDATEA Actual Start Date 8 Numeric Start date of actual data found. YYYYMMDD ENDATEA Actual End Date 8 Numeric End date of actual data found. YYYYMMDD BCVWAP Buyer Max CVWAP (Competitive VWAP) 11 Numeric Price (6 digits + '.' + 4 digits) BCVWAPW Buyer Min CVWAP 11 Numeric Price (6 digits + '.' + 4 digits) SCVWAP Seller Max CVWAP 11 Numeric Price (6 digits + '.' + 4 digits) SCVWAPW Seller Min CVWAP 11 Numeric Price (6 digits + '.' + 4 digits) NDQVWAP INET-book-only VWAP 11 Numeric Price (6 digits + '.' + 4 digits) Valid ERROR Code Values: INVQRY INVISS NOTRDS TFWTRDS TFWMKTP NONE Invalid Query Invalid Issue No Trades Found Too Few Trades Too Few Market Participants No error occurred, query was successful Valid Query Type Values: CVWAP Competitive Volume Weighted Average Price

9 2.0.1 CVWAP Query Response This message is sent out in response to a CVWAP Query. CVWAP Query Response Key 0 8 QUERYID Equals 8 1 = Value 9 6 ANUM Freeform client controlled field for tracking queries. (Sent in Query Message) Comma 15 1, Key 16 8 ERROR Equals 24 1 = Value 25 8 ANUM INVQRY=Invalid Query INVISS=Invalid Issue NOTRDS=No Trades Found TFWTRDS=Too Few Trades NONE=No error occurred, query successful Comma 33 1, Key 34 8 QUERYTYP Equals 42 1 = Value 43 8 ANUM Identifies the type of data returned from the query. CVWAP=Competitive VWAP Comma 51 1, Key 52 8 ISSUE Equals 60 1 = Value 61 6 ALPHA Stock name Comma 67 1, Key 68 8 STDATE Equals 76 1 = Value 77 8 Numeric YYYYMMDD Comma 85 1, Key 86 8 STTIME Equals 94 1 = Value 95 9 Numeric Comma 104 1, Key ENDATE Equals = Value Numeric YYYYMMDD Comma 122 1, Key ENTIME Equals = Value Numeric Comma 141 1, Key MKTHRS Equals = Value /0 1 = report data during market hours 0 = report using all data Comma 152 1, Key MINSVOL Equals = Value Numeric Minimum Share Volume (Whole Number) Comma 181 1, Key MINDVOL Equals = Value Numeric Minimum Dollar Volume (Whole Number) Comma 203 1, Key STDATEA

10 Equals = Value Numeric YYYYMMDD Comma 221 1, Key STTIMEA Equals = Value Numeric Comma 240 1, Key ENDATEA Equals = Value Numeric YYYYMMDD Comma 258 1, Key ENTIMEA Equals = Value Numeric Comma 277 1, Key BCVWAP Equals = Value Numeric Buyer Max CVWAP Price (6 digits + '.' + 4 digits) Comma 298 1, Key BCVWAPW Equals = Value Numeric Buyer Min CVWAP Price (6 digits + '.' + 4 digits) Comma 319 1, Key SCVWAP Equals = Value Numeric Buyer Max CVWAP Price (6 digits + '.' + 4 digits) Comma 340 1, Key SCVWAPW Equals = Value Numeric Buyer Min CVWAP Price (6 digits + '.' + 4 digits) Key NDQVWAP Equals = Value Numeric INET-book-only VWAP Price (6 digits + '.' + 4 digits) Linefeed ANUM ASCII 10 decimal, 0x0A hex

11 2.0.2 CVWAP Query Error Response This message is sent out when an error occurs during the query. The error code is supplied as well as the values that were handed into the query. CVWAP Query Error Response Key 0 8 QUERYID Equals 8 1 = Value 9 6 ANUM Freeform client controlled field for tracking queries. (Sent in Query Message) Comma 15 1, Key 16 8 ERROR Equals 24 1 = Value 25 8 ANUM INVQRY=Invalid Query INVISS=Invalid Issue NOTRDS=No Trades Found TFWTRDS=Too Few Trades Comma 33 1, Key 34 8 QUERYTYP Equals 42 1 = Value 43 8 ANUM Identifies the type of data returned from the query. CVWAP=Competitive VWAP Comma 51 1, Key 52 8 ISSUE Equals 60 1 = Value 61 6 ALPHA Stock name Comma 67 1, Key 68 8 STDATE Equals 76 1 = Value 77 8 Numeric YYYYMMDD Comma 85 1, Key 86 8 STTIME Equals 94 1 = Value 95 9 Numeric Comma 104 1, Key ENDATE Equals = Value Numeric YYYYMMDD Comma 122 1, Key ENTIME Equals = Value Numeric Comma 141 1, Key MKTHRS Equals = Value /0 1 = report data during market hours 0 = report using all data Comma 152 1, Key MINSVOL Equals = Value Numeric Minimum Share Volume (Whole Number) Comma 174 1, Key MINDVOL Equals = Value Numeric Minimum Dollar Volume (Whole Number) Linefeed ANUM ASCII 10 decimal, 0x0A hex

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