CURRENCY DERIVATIVES SEGMENT
Circular No. 015/2011
Subject: Change in Format of Daily Reports in CDS
Date: Jun 02, 2011
Dear Members,
Download No: 17950
With reference to Circular No. 009/2008, ref. No. 11259, dated September 09, 2008,
providing the format of Trade Report and Circular No. 016/2009, ref. No. 12310 dated
April 23, 2009, providing the format of Normal Order Log and Spread Order Log
(Interactive Reports); the Exchange is in the process of updating the End of Day
Reports with additional details.
Vikramaditya Delima
Vikas Mishra
Sonali Karnik
022-26598131
022-26598164
Trade and Interactive reports are provided to members at the end of each trading day on
FTP Extranet path /cdsftp/X<TM code>/onlinebackup
The detailed file structure for the revised Trade report is enclosed as Annexure 1
022-26598325
The detailed file structure for the revised Interactive reports are enclosed as Annexure 2
The Updated fields are marked in Red.
[email protected]
No of Pages:
7
Members may kindly note that, the Trade Report will not be available for download if
there are no trades executed by the member for that day.
The date from which the aforesaid changes in the reports, are made applicable to the
members, shall be intimated in a separate circular.
For and on behalf of
National Stock Exchange of India Ltd.
Suprabhat Lala
Vice President
Annexure I
Trade Report Format
X_DDMMYYYY_<MEMBER CODE>.TXT.GZ
Sl
1
2
Fields
Trade ID
Activity type
Length
Num(16)
Num(2)
3
4
5
Symbol
Instrument Type
Expiry Date
Char(10)
Char(6)
Char(13)
DDMMMYYYY
Num(11,2)
Char(2)
Char(25)
Num(2)
6
7
8
9
Strike Price
Option Type
Contract Name
Book Type
10 Market Type
Num(2)
11 User Id
12 Branch Id
13 Buy/Sell
Num(5)
Num(3)
Char(1)
14 Quantity
15 Price
16 Pro/Cli Flag
Num(9)
Num(11,7)
Num(1)
17
18
19
20
Char(10)
Char(12)
Num(2)
Char(20)
DD MMM
YYYY
HH:MI:SS
Char(20)
DD MMM
YYYY
Account number
Participant
Settlement
Trade Date/Time
21 Modified Date/Time
Field Description
Trade Number
11 – Original Trade
12 – Modified Trade
13 – Cancelled Trade
14 – Rejected Trade
15 – Trade Modification Rejected
16 – Trade Cancellation Rejected
17 – Give Up Trade Approved
18 – Give Up Trade Rejected
Underlying asset
Instrument type
Expiry date
Strike Price
Option Type
Contract Name
1 – Regular Lot
3 – Stop Loss
7 – Auction
1 – Normal
4 – Auction
Dealer Id
Branch code
1 – Buy
2 – Sell
Traded Quantity
Trade Price
1 – CLI
2 – PRO
Client Code
Participant Id/Settler
Settlement Days
Trade Execution Date/Time
Trade Modification Date/Time
HH:MI:SS
22 Order Number
23 CP ID
24 Entry Date/Time
25 CTCLID
Num(16)
Char(7)
Char(20)
DD MMM
YYYY
HH:MI:SS
Char(15)
Order Number
Counter Party ID
Order Entry Date/Time
CTCL ID
Annexure 2
Interactive Reports
a) Normal order log for the day: CD_ORD_LOG_<DDMMYYYY>_<TMID>.CSV
Data
Type
Width
String
*5
Trading Member Id
Num
Num
*4
*5
4 Market Type
String
7
Branch Id
User Id
NORMAL.
AUCTION
1 - Regular Lot Book
3 - Stop Loss Book
5 Book Type
Num
*2
On Stop
6 Indicator
7 Order Number
Character
Num
Sl
Field Name
Trading Member
1 ID
Trading Member
2 Branch ID
3 User ID
Field Description
*1
*16
7 – Auction Book
Y - Stop Loss order
N - Normal order
Order number
B - Buy order
S - Sell order
Buy / Sell
8 Indicator
Instrument
9 Name
10 Symbol
String
*1
String
String
6
10
11 Expiry Date
String
11
12 Strike Price
13 Option Type
14 Volume Original
Volume
15 Disclosed
Volume
Disclosed
16 Remaining
Minimum Fill/
17 All or None
Num
String
Num
*11
*2
*9
Instrument type
Symbol
Date in the format DD-Mon-YY example 02-Sep-08
Auction Market
This field is blank
Strike Price (in Rs.) of the options contract (Zero is
displayed as blank). For USDINR format is XXX.XXXX
Option Type of the contract “CA”, “CE”, “PA”, “PE”
Original quantity
Num
*9
Disclosed quantity
Num
*9
Disclosed quantity remaining
Num
*9
Market Price
18 Indicator
Character
*1
19 Limit Price
Num
Currently displayed as blank
Y - If Market order
N - If limit order
Blank in case of market order
Price (in Rs.) in case of Limit Order. For USDINR format is
XXX.XXXX
Auction Market
*11
ATA will be displayed for market orders
20 Trigger Price
Num
*11
String
*3
Trigger price (in Rs.). For USDINR format is XXX.XXXX
CLI - Client order
PRO - Proprietary order
String
10
Client account number
String
6
Indicator flag for open/close
Num
String
String
*9
8
*8
27 Day Indicator
Character
*1
28 Participant Id
Order
Entry/User
Modification
29 Time
String
12
Remaining Quantity
Currently displayed as blank
Good Till Days/Date
Y - If day order
N - If IOC order
Participant ID - for participant order
Trading Member ID - for non participant orders
21
22
23
24
25
26
Pro / Client
Indicator
Client Account
number
Open / Close
Indicator
Volume
Remaining
Special Terms
Good Till Date
String
30
Activity type
String
31 CTCL Id
Num
Note- * means right aligned
*8
10
*15
HH:MM:SS
Last update date time or order entry time
Order cancellation - OCXL
Order modification - OMOD
Batch order Cancellation - SYSCXL
Price Freeze
-PRFRZ
Price Freeze Cancellation -PRFRCXL
Quantity Freeze
- QTYFRZ
Quantity Freeze Cancellation - QTYFRZCXL
Stop loss trigger
-SLTRIG
CTCL ID
b) Spread order log for the day: CD_SPD_LOG_<DDMMYYYY>_<TMID>.CSV
Sl
1
2
3
4
5
6
Field Name
Trading
Member ID
Trading
Member
Branch ID
User ID
Market Type
Book Type
Order
Number
Buy / Sell
7 Indicator
Instrument
8 Name
9 Symbol
10 Expiry Date
Data
Type
String
*5 Trading Member Id
Num
Num
String
Num
Num
String
String
String
Num
String
12 Option Type
13
14
15
16
17
18
19
20
21
22
23
*4
*5
7
*2
Branch Id
User Id
NORMAL
1 - Regular Lot Book
*16 Order number
B - Buy spread order
*1 S - Sell spread order
String
11 Strike Price
Open / Close
Indicator
Instrument
Name
Symbol
Expiry Date
Leg 2 Strike
Price
Leg 2
Option Type
Leg 2 Open
/ Close
Indicator
Volume
Original
Volume
Disclosed
Volume
Disclosed
Remaining
Minimum
Fill/ All or
Width Field Description
String
6 Instrument type
10 Symbol
11 Date in the format DD-Mon-YY example 02-Sep-08
Strike Price (in Rs) of the options contract (Zero is displayed as
*11 blank). For USDINR format is XXX.XXXX
Option Type of the contract “CA”, “CE”, “PA”, “PE”. Blank
*2 will be printed instead of XX for Futures.
O – Open
6 C – Close
String
String
String
Num
String
String
6 Instrument type
10 Symbol
11 Date in the format DD-Mon-YY example 02-Sep-08
Strike Price (in Rs) of the options contract for leg 2 (Zero is
*11 displayed as blank). For USDINR format is XXX.XXXX
Option Type of the contract for leg 2 “CA”, “CE”, “PA”, “PE”.
*2 Blank will be printed instead of XX for Futures.
O – Open
6 C – Close
Num
*9 Original quantity (Zero is displayed as blank)
Num
*9 Disclosed quantity (Zero is displayed as blank)
Num
*9 Disclosed quantity remaining (Zero is displayed as blank)
Num
*9 Currently displayed as blank
None
Market Price Character
24 Indicator
Num
25 Limit Price
26
27
28
29
30
Pro / Client
Indicator
Client
Account
number
Volume
Remaining
Special
Terms
Good Till
Date
Day
31 Indicator
String
Y - If Market order
*1 N - If limit order
Blank in case of market order
Price (in Rs.) in case of Limit Order. For USDINR format is
*11 XXX.XXXX
CLI - Client order
*3 PRO - Proprietary order
String
10 Client account number
Num
*9 Remaining Quantity (Zero is displayed as blank)
String
8 Currently displayed as blank
String
Character
String
Participant
32 Id
Order
String
Entry/User
Modification
33 Time
String
Activity
34 Type
35 CTCL Id
Num
Note- * means right aligned
*6 Date in format DDMMYY. Currently this field is zero.
Y - If day order
*1 N - If IOC order
Participant ID - for participant order
12 Trading Member ID - for non participant orders
*8 Last update date time or order entry time HH:MM:SS
Order cancellation - OCXL
Order modification - OMOD
Batch order Cancellation - SYSCXL
Price Freeze - PRFRZ
Freeze Cancellation - PRFRCXL
Quantity Freeze - QTYFRZ
Quantity Freeze Cancellation - QTYFRZCXL
10 Stop loss trigger -SLTRIG
*15 CTCL ID
Price