Go to the previous version

RTS DATA FEED Specification

Document entry

Version:	5.0
Date:	May 10, 2007

General description

After successful installation, authorization and connection to the RTS server (tickerfeed.rtsnet.ru, port 2152), the server starts transmitting the follow information:

1. "Time Mark" message appears once a minute and are transmitted regardless of the length of the data transmission delay. This message is used to control the Information transmission process.
2. "Combined Renewal" messages are transmitted for all securities at the following moment of time:
1. after the connection to the server has been reached;
2. at the beginning of a trading session;
3. at the end of a trading session with the indication of the official result (in the "OFFICIALRESULT" field).

The messages can also be transmitted in some other moments of time for synchronization of the local data content. Messages regarding securities belonged to different listings of the Trading System can be transmitted by the separate blocks in the different periods of time and corresponding to the beginning and the end of trading session in appropriate system. Messages distribution in the beginning and in the end of the trading session can be deactivated by a recipient’s wish.

3. "Last Trade" and "Bid/Offer" messages appear when the user has entered information. "Bid/Offer" messages are only created in those cases when the RTS trades participants are inputting their sale/buy bids and they are becoming the best.
4. "Index" messages are transmitted as soon as they are calculated as well as after the connection to the server has been installed, following the "Combined Renewal" messages.
5. All messages except for the "Time Mark" message are transmitted with a delay determined in the Agreement for the Information transmission.
6. Messages transmitted in text mode do not carry any actual information and must be ignored.
7. "Change of the trade status" message is transmitted with the "DEL" status when trade report was deleted by one of the sides
8. "News" message is transmitted as far as the administrator input them. Messages of this type do not have fixed length. The message length is presented in the header of MSG_LEN field with Line Feed taken into consideration inside the message.
9. The ONLINE field in the header of the message points at the character of information: online data provision or information that was missed by the service receiver during a period of time. History is given by a user’s command by beginning and ending with the mentioned numbers but not more than 1000 messages for one request.

The Data Feed Commands

help
The command "help" allows getting the list of accessible commands.

history
There are messages’ transfer takes place at input of command "history", which begins and finishes with the specified numbers. The command "history" is intended for reception of the messages missed for some reason. There is no echo at input of all commands.
The command syntax is: "history START_MESSAGE [END_MESSAGE]", where START_MESSAGE is the number of the first message from a set of messages, which are necessary for receiving, END_MESSAGE is the number of the last message from a set of messages, which are necessary for receiving. The END_MESSAGE parameter is optional. In the absence thereof all messages will be transferred starting from the START_MESSAGE number.
The "history" command allows receiving messages only for the current calendar day (Moscow time). The START_MESSAGE and END_MESSAGE parameters are related with the numbers of messages transmitted to the SEQUENCE field in headings of messages.

instruments
The command allows receiving the list of instruments traded at the Exchange or the change of listings.
The command Syntax:
instruments <subtype> <rtssystem>

The parameter <rtssystem> can be one of the following: '1', 'B', 'Q', 'G', 'C', 'S', F ',' O', 'M'.
The <subtype> parameter can be one of the following: 'LSS', NWS', 'DEL', 'LSD', 'NWD', 'CND'.

The possible combinations of the parameters:

	LSS	NWS	DEL	LSD	NWD	CND
1	+	+	+	-	-	-
B	+	+	+	-	-	-
Q	+	+	+	-	-	-
C	+	+	+	-	-	-
G	+	+	+	-	-	-
S	+	+	+	-	-	-
F	-	-	+	+	+	+
O	-	-	+	+	+	+
M	+	+	+	-	-	-
3	-	-	+	+	+	+
U	+	+	+	-	-	-
K	+	+	+	-	-	-

login
Password change procedure can be carried out by the command:
login <user_name>-change_password.

The formats of messages

Each message consists of 4 parts:

• synchrosymbol
• header of the message
• content
• Line Feed

In messages all number values are given in decimal digits. Price and price volume are given in the form of number with floating point, quantative volume –n the form of whole number. All values are are supplemented by zeros until the fulllength of the field is complete.
In messages volumes are right-aligned and supplemented by zeros.

Price and price volume are formatted by the following rules:

• Decimal point in the price value is in the twelfth position
• Decimal point in the value of the price volume is in the seventeenth position
• Meaningless positions on the left and on the right are supplemented by zeros.

Synchrosymbol

Every message starts with a 'synchrosymbol' that is one byte in length – '#' (ASCII code 23h). The 'Synchrosymbol' is used for finding the first message in a stream and separating the further messages. The beginning of the next message is calculated on the basis of the current message length that is stored in the header and checked by the synchrosymbol.

Message Header

Total length: 18 byte

Mnemonic	Length	Symbols allowed	Description
SEQUENCE	8	0 - 9	Sequence number of message. Content of the SEQUENCE field is unique during the whole trading day and is used entirely for internal purposes of RTS.
TEST_IND	1	' ', 'T'	Test mode indication: ' ' — regular mode. 'T' — test mode.
CURRENCY_TYPE	3	RUR, USD, PCT θ ς.δ.	Currency code or the '%' sign
MSG_TYPE	1	A – Z	Type of message: 'L' - Last trade 'Q' - Bid or Offer 'U' - Bid/Offer Queue Message 'R' - Combined update 'M' - Mark of time 'I' - Index 'S' - Change of the trade status message 'N' - News message 'P' — Parameters of the traded instruments.
ONLINE	1	'Y', 'N'	Online indication
MSG_LEN	4	0 – 9	Message length

Messages Content

Last Trade Message
Total length: 178 byte
Message type: "L".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 – 9	Date and Time of trade, DDMMYYYYHHMMSS.
SYMBOL	25	0-9, A – Z	Stock ID, justified to the left.
MINPRICE	17	0 – 9, '.'	Minimum traded price of the day. Zero until the first trade of the day has been done.
MAXPRICE	17	0 – 9, '.'	Maximum traded price of the day. Zero until the first trade of the day has been done.
LASTPRICE	17	0 – 9, '.'	Price of last trade.
LASTVOLUME	16	0 – 9	Volume of last trade
DAYVOLUME	16	0 – 9	Accumulated daily volume of trade for a stock
TRADE_ID	12	0-9	Unique trade number
STATUS	3	A – Z, 0-9, ' '	Status of trade: 'Q' — quote-based transaction, 'B' — two-sided transaction, 'A' — auction-based transaction, 'I' — IPO transaction
INBOUND	1	'Y', 'N'	Sign that the trade have been used in the day trade results.
TRADETIME	1	'Y', 'N'	Sign that trade was completed in trading time
OPEN_POSITIONS	14	0 – 9	Derivatives' open positions (expressed in contacts). Blank for the spot market
RTSSYSTEM	1	A – Z, 1 - 9	Code of RTS list
RESERVED	24	0-9, A – Z, '.'	Reserved field

Change of the trade status message
Total length: 44 byte
Message type: "S".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 – 9	Date and Time of trade, DDMMYYYYHHMMSS.
RTSSYSTEM	1	0-9, A – Z	Code of RTS list.
TRADE_ID	12	0-9	Unique trade number.
NEWSTATUS	3	'DEL'	New status of a trade.
RESERVED	14	' '	Reserved field.

Messages Content: Bid/Offer Message
Total length: 131 byte.
Message type: "Q".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 – 9	Date and Time of quote, DDMMYYYYHHMMSS
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
BIDPRICE	17	0 - 9, '.'	Best bid.
BIDVOLUME	16	0 – 9	Volume of best Bid.
ASKPRICE	17	0 - 9, '.'	Best offer.
ASKVOLUME	16	0 – 9	Volume of best Offer
TRADETIME	1	'Y', 'N'	Sign that trade was completed in trading time.
RTSSYSTEM	1	A – Z, 1 - 9	Code of RTS listing.
RESERVED	24	0-9, A – Z, '.'	Reserved field.

The events occur when there’s a new or deleted best bid/ask values at FORTS market. Please find the rules for the message type "Q" below.

Event	Type	Field values
		DATE/TIME	BIDPRICE	BIDVOLUME	ASKPRICE	ASKVOLUME
First quote input.	Bid	Input date/time	price	volume	"0"	"0"
	Ask	input date/time	"0"	"0"	price	volume
Best quote input.	Bid	input date/time	new price	new volume	"0" or previous price	"0" or previous volume
	Ask	input date/time	"0" or previous price	"0" or previous volume	new price	new volume
New quote equals best quote.	Bid	input date/time	previous price	new volume	"0" or previous price	"0" or previous volume
	Ask	input date/time	"0" or previous price	"0" or previous volume	previous price	new volume
Best quote removal.	Bid	removal date/time	new price	new volume	"0" or previous price	"0" or previous volume
	Ask	removal date/time	"0" or previous price	"0" or previous volume	new price	new volume
Best quote removal while market depth greater than 1.	Bid	removal date/time	previous price	new volume	"0" or previous price	"0" or previous volume
	Ask	removal date/time	"0" or previous price	"0" or previous volume	previous price	new volume
Last quote removal.	Bid	removal date/time	"0"	"0"	"0" or previous price	"0" or previous volume
	Ask	removal date/time	"0" or previous price	"0" or previous volume	"0"	"0"

Messages Content: Bid/Offer Queue Message
Total length: 241 byte.
Message type: "U".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 – 9	Date and Time of quote, DDMMYYYYHHMMSS
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
TYPE	1	A – Z	A – ask, B – bid.
TRADETIME	1	'Y', 'N'	Indication of completion of trade during the trading time.
POSITION	2	0 - 9	Position number of a quote in the queue of quotes.
PRICE	17	0 - 9, '.'	Aggregated price of a quote.
VOLUME	16	0 - 9	Total volume of quote, the Price for which is indicated above.
POSITION	2	0 - 9	Position number of a quote in the queue of quotes.
PRICE	17	0 - 9, '.'	Aggregated price of a quote.
VOLUME	16	0 - 9	Total volume of quote, the Price for which is indicated above.
POSITION	2	0 - 9	Position number of a quote in the queue of quotes.
PRICE	17	0 - 9, '.'	Aggregated price of a quote.
VOLUME	16	0 - 9	Total volume of quote, the Price for which is indicated above.
POSITION	2	0 - 9	Position number of a quote in the queue of quotes.
PRICE	17	0 - 9, '.'	Aggregated price of a quote.
VOLUME	16	0 - 9	Total volume of quote, the Price for which is indicated above.
POSITION	2	0 - 9	Position number of a quote in the queue of quotes
PRICE	17	0 - 9, '.'	Aggregated price of a quote.
VOLUME	16	0 - 9	Total volume of quote, the Price for which is indicated above.
RTSSYSTEM	1	A – Z, 1 - 9	Code of RTS listing.
RESERVED	24	0-9, A – Z, '.'	Reserved field.

Messages Content: Combined Update Message
Total length: 334 byte.
Message type: "R".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 – 9	Date and Time of quote, DDMMYYYYHHMMSS
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
BIDPRICE	17	0 - 9, '.'	Best bid.
BIDVOLUME	16	0 – 9	Volume of best Bid.
ASKPRICE	17	0 – 9, '.'	Best offer.
ASKVOLUME	16	0 – 9	Volume of best Offer.
OPENINGPRICE	17	0 – 9, '.'	Opening price - currently zero.
CLOSINGPRICE	17	0 – 9, '.'	Closing price. Before 18:45 Moscow time – the previous closing price. After 18:45 – the current closing price. Zero if there were not trades.
MINPRICE	17	0 – 9, '.'	Maximum traded price of the day. Zero until the first trade
MAXPRICE	17	0 – 9, '.'	Maximum traded price of the day. Zero until the first trade
LASTPRICE	17	0 – 9, '.'	Volume of last trade.
LASTVOLUME	16	0 – 9	Ξαϊεμ οξρλεδνει ρδελκθ.
LASTTRADEDATE	14	0 – 9	Date and Time of last trade, DDMMYYYYHHMMSS.
DAYVOLUME	16	0 – 9	Accumulated daily volume of trade for a financial instrument.
OFFICIALRESULT	1	'Y', 'N'	Sign of official results. From 10:30 to 18:45 – ‘N’. ‘Y’ – at other time
OPEN_POSITIONS	16	0 – 9	Derivatives' open positions (expressed in contacts). Blank for the spot market
CALC_PRICE	17	0 – 9, '.'	Derivatives' calculated price (settlement price) (RUB) for the derivatives market. Confirmed price (RUB) for the spot market.
MARKET_PRICE	17	0 – 9, '.'	Market price (RUB) (only for spot market). Blank for the derivatives' market. Market price is calculated once per day in accordance with the FCSM rules.
MONEY_VOLUME	19	0 – 9, '.'	Accumulated daily volume of trade expressed in the currency
VOLUME_CURRENCY_TYPE	3	RUR, USD,	Currency's code for the 'money_volume' field
RTSSYSTEM	1	A – Z, 1 - 9	Code of the RTS list
RESERVED	24	0-9, A – Z, '.'	Reserved field.

Messages Content: Mark of time
Total length: 28 byte.
Message type: "M".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 - 9	Date and Time of RTS, DDMMYYYYHHMMSS.
RESERVED	14	' '	Reserved field.

Messages Content: Index message
Total length: 83 byte.
Message type: "I".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 - 9	Date and Time of Index calculation, DDMMYYYYHHMMSS.
INDEX	10	A – Z, 0 - 9	Index name
VALUE	9	0 - 9, '.'	Currant value.
OPEN	9	0 - 9, '.'	Opening index.
PREVCLOSE	9	0 – 9, '.'	Closing index for the previous trading session.
MAXVALUE	9	0 – 9, '.'	Maximum Index value for the current trading session.
MINVALUE	9	0 – 9, '.'	Minimum Index value for the current trading session
RESERVED	14	' '	Reserved field.

Messages Content: News message
Total length: δξ 4623 byte. The real message length is presented in header of the MSG_LEN field.
Message type: "N".

Mnemonic	Length	Symbols allowed	Description
DATE/TIME	14	0 - 9	Date and Time, DDMMYYYYHHMMSS.
PRIORITY	1	1-5	Priority, 1 – urgent.
CATEGORY	δξ 255	Printed symbols	Message category. Ends up with Line Feed
SUBJECT	δξ 255	Printed symbols	Subject of a message. Ends up with Line Feed.
BODY	δξ 4095	Printed symbols	Text of a message.

Message Parameters of trading instruments
The length of this message is limited to 4Kbyte. In case transmission of data of lager size is needed, the data is divided into separate messages in such way, so that the information relating to one instrument would belong to one block.
Ina standard headline of the message the currency code is changed into a line with three gaps.
Message type: "P".

Mnemonic	Length	Symbols allowed	Description
DATETIME	14	0 - 9	Date and time of forming a message by the server.
SUBTYPE	3	A – Z	DEL – removed instruments, NWS – added securities, NWD – added futures contracts, LSS – list of securities, LSD – list of futures contracts, CND – conversion coefficients, OTH – other information.
BODY	17-4017	Printed symbols	Lists of instruments in the form of lines, which have the below-given format and separated by the symbols of line feed (ASCII symbols 0Dh and 0Ah).

Format of the field BODY with the meaning SUBTYPE = DEL:

Mnemonic	Length	Symbols allowed	Description
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
RTSSYSTEM	1	0-9, A – Z	Code of RTS listing.
DELETE_ DATE	8	0-9	Date of instrument's deletion DDMMYYYY.
REZERVED	24	0-9, A – Z	Reserved field.

Format of the field BODY with the meaning SUBTYPE = LSS, NWS:

Mnemonic	Length	Symbols allowed	Description
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
RTSSYSTEM	1	0-9, A – Z	Code of RTS listing.
ISSUE_TYPE	3	A – Z	Security type: BON – Bonds, CER – Representative Certificates, CPN - Coupons, FMT – Face or principal or nominal amount, MSC – Miscellaneous, OPC – Option contracts, OPS – Option shares, PRC – Premium contracts, PRS - Premium shares, RTE – Rents, RTS – Rights, SHS – Shares, UNT – Units, eg, consisting of a bond and a warrant, WTS – Warrants.
NAME_EN	100	0-9, A – Z	Security name in English
NAME_RU	100	0-9, A – Z	Security name in Russian
FACE_VALUE_CURRENCY	3	RUR, USD, PCT...	Currency of the Face value
FACE_VALUE	17	0 – 9, '.'	Face value
AMOUNT	16	0 – 9, '.'	Full amount of the issue
ISIN	12	0-9, A – Z	ISIN code
QUOTATION_LIST	2	0-9, A – Z	Quotation list level: 'A1' 'A2' 'B' 'V' 'I'
REZERVED	24	0-9, A – Z	Reserved field.

Format of the field BODY with the meaning SUBTYPE = LSD, NWD:

Mnemonic	Length	Symbols allowed	Description
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
RTSSYSTEM	1	0-9, A – Z	Code of RTS listing.
NAME_EN	100	0-9, A – Z	Contract name in English
NAME_RU	100	0-9, A – Z	Contract name in Russian
OPTION_TYPE	1	A – Z	Type of the options: C – call options, P – put options, <blank> – futures
STRIKE_PRICE_CURRENCY	3	RUR, USD, PCT...	Strike price currency
STRIKE_PRICE	17	0 - 9, '.'	Strike price
UNDERLYING_FUTURES	25	0-9, A – Z	Short code of the underlying futures
TRADING_UNIT	16	0 - 9, '.'	Trading Unit
LAST_DAY	8	0 – 9	Last Trading Day DDMMYYYY
DELIVERY_DAY	8	0 – 9	Delivery (Expiry) Day DDMMYYYY
MIN_STEP	17	0 – 9, '.'	Price step
PRICE_MIN_STEP	17	0 - 9, '.'	Min step of the price
PRICE_MIN_STEP_CURRENCY	3	‘A’-’Z’	Currency of the min step
REZERVED	24	0-9, A – Z	Reserved field.

Format of the field BODY with the meaning SUBTYPE = CND:

Mnemonic	Length	Symbols allowed	Description
SYMBOL	25	0-9, A – Z	Ticker of financial instrument, justified to the left.
RTSSYSTEM	1	0-9, A – Z	Code of RTS listing.
BOND_CODE	25	0-9, A – Z	Code of the bonds issue, which is included into bonds basket.
CONV_COEFS	17	0 – 9, '.'	Conversion coefficient.
REZERVED	24	0-9, A – Z	Reserved field.

Line Feed

ASCII symbols 0Dh and 0Ah

Contents of RTSSYSTEM field

Content	Description
1	Classic Stock Market
B	Classic Bond Market
E	Eurobonds
Q	RTS Board
G	Order-Driven Market (without Gazprom)
C	Order-Driven Bond Market
S	Order-Driven Market (with Gazprom)
F	Futures
O	Options
M	RTS Global
3	RTS Standard
U	Ukrainian Exchange
K	ETS commodities exchange