Below are some examples that illustrate how to read and interpret the historical ASX 24 ITCH data files accompanying this Quick Guide.

Transcription

1 Quick Guide Sample Data Below are some examples that illustrate how to read and interpret the historical data files accompanying this Quick Guide. The documentation referenced throughout the below examples below can be found in the Message Specification reference document on ASX Online: HEX viewer: Notepad++ Here are the first few lines of the file: Examples are focused on the first 7 lines. The first 2 bytes of the first line show the length of the following message in Big-Endian (page 8 in the Message Specification reference document) (hex) bytes will follow: The 5 bytes that follow can be identified as a T message (page 10) c6 d7 b3

2 54 (hex) = T (ascii) Seconds: 51 c6 d7 b3 (hex) = (dec) UNIX Time = 11:10:43 23/06/2013 UTC 11:10:43 23/06/2013 UTC = 21:10:43 23/06/2013 AEST Therefore it can be concluded that this time message was sent at 21:10:43 23/06/2013 AEST Next, (hex) Following message has 8 bytes: c6 d7 b d 2a e4 3e 05 4f 53 (hex) = S (ascii) System event message (page 11) 17 9d 2a e4 (hex) = (dec) nanoseconds Date: 3e 05 (hex) = (dec) 1970/01/ days = Friday, 21 June 2013 Event Code: 4f (hex) = O (ascii) (new trading date is open page 11) 4f d 2a e4 3e 05

3 Next message: 8 bytes Again, an S message is received a2 1b 58 3e 08 4f 53 = S (ascii) 17 a2 1b 58 = (dec) nanoseconds Date: 3e 08 = Monday, 24 June 2013 Event Code: 4f = O (ascii) a2 1b 58 3e 08 4f Another 8 bytes: aa e = S (ascii) 17 aa = (dec) nanoseconds Date: 3e 08 = Monday, 24 June 2013

4 Event Code: 53 = S (ascii) [Messages will start for this date (page 11)] e aa Next is a message length of 36 (hex) = 54 (dec) 54 bytes of information b 78 c6 3c 3e ea 01 4e 5a 46 4f dd f e 5a f a (hex) = f (ascii) - this is a Futures Symbol Directory (page 12) 1b 78 c6 3c = ns (dec) Trade Date: 3e 08 = (dec) days = Monday, 24 June 2013 Contract Number: ea 01 = (dec) Exchange: 4e 5a 46 4f = NZFOE (ascii) Instrument: = BB (ascii) Contract Type: 46 = F (ascii) [future or forward contract (page 15)] Expiry Year: 07 dd = 2013 (dec) Expiry Month: 09 = 9 (dec) Price DP: 02 = 2 (dec)

5 Price FD: = 100 (dec) Price MT: = 1 (dec) Last Trading Date: f 20 = (dec) = Wed, 11 Sep :00:00 UTC Prior Day Sett: = 9733 (dec) Fin Type: 42 = B (ascii) [Bank Bill Product (page 15)] Currency: 4e 5a 44 = NZD (ascii) Lot Size: 00 0f = (dec) Maturity Value: 5a = 90 (dec) Coupon Rate: = 0 (dec) Payment/Year: 00 = 0 (dec) 66 1b 78 c6 3c 3e ea 01 4e 5a 46 4f dd f e 5a f a And again we have a message length of 36(hex) Note: The files attached are a concatenation of all the messages sent in the given week. The actual feed will include an individual Packet Header for each message disseminated from the system. Information on the Packet Header can be found on page 7 of the Message Specification.

6 Further Information For further information, please contact ASX Information and Technical Services: Adam Bradley Head of Sales Australia adam.bradley@asx.com.au Andrew Musgrave Business Development Manager Asia andrew.musgrave@asx.com.au James Keeley Business Development Manager Europe james.keeley@asx.com.au Cynthia Tazioli VP, Business Development North America cynthia.tazioli@asx.com.au Information & Technical Services community@asx.com.au Follow This document provides general information only and may be subject to change at any time without notice. ASX Limited (ABN ) and its related bodies corporate ( ASX ) makes no representation or warranty with respect to the accuracy, reliability or completeness of the information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way (including by way of negligence) from or in connection with any information provided or omitted, or from anyone acting or refraining to act in reliance on this information. Copyright 2014 ASX Limited ABN All rights reserved For the products traded on these systems the market is operated by ASX Limited ABN The trade marks listed below are trade marks of Where a mark is indicated as a registered mark it is registered in Australia and also be registered in other countries. Nothing contained in this document should be construed as being any licence or right of use of any trade mark contained within the document., ASX Trade24