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Do all Indices have the same kinematics?
All Indices do not share the same kinematics. Indices are divided in families, where a family shares the same kinematics. A few examples: the CAC family (CAC40, SBF120 etc), the AEX family (AEX, AMX, BEL20, PSI etc). More information about index kinematics can be found on the www.euronext.com website, search for “index rules”. It should be noted there is no indication in the referential data of the datafeed / files to identify to which family an index belongs to.
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Why does the feed supply 2 closing levels after market close?
The 1st one is based on the available prices at the moment of broadcast, where possible trade cancellations are not taken into account. The 2nd one is broadcast a preset amount of time after the 1st one. The level of this 2nd broadcast can differ for any reason (e.g. a trade cancel). Timing of the 1st broadcast is fully preset, the off-set for the 2nd broadcast can be intervened by the Index Operations team.
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In the referential data, indices can be identified by their Stock Group Code. However, this does not seem to be fully unique. How can Indices be filtered from other instruments?
The Stock Group Code range 80-84 is used for Indices. At the same time this range (more specifically, 80 and 81) are also used for so-called NAV-instruments and currencies. The following rules can be followed: 1. For NAV-instruments, the field TypeOfDerivatives contains a value of ‘1’. 2. For Currencies, the field TypeOfInstrument will contain a value of ‘64’ or ‘65’. What remains after applying these filters are the actual Indices.
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How can a distinction be made in the UTP-MD feed between “Price values” of a given index and (if created) its Net and Gross profitability values?
Several scenarios exist: - For some Indices, the same ISIN is used for the values of these different index flavours. For each “flavour value” a separate message (msg.542 / 543) is sent, where the field “TypeOflevel” indicates for what flavour a value is sent. - For other Indices, separate instruments have been created (so separate ISIN’s) for the Cash Index, the Net Profitability Index and the Gross profitability Index. If this is the case, the distinction has to be made based on the naming of the index, as for these Indices the field “TypeOfLevel” in a msg.542 and 543 always contains a “1”(=Price level). - For another group of Indices, both methods are used in parallel: so Net and Gross Return values are sent using the same ISIN as the Price index, but at the same time also sent with separate ISIN’s.
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Does the field “LastAdjPrice” in the Ref.data msg.553 also contain the previous days closing value for an index?
This is not the case. It is for this reason that the closing level message from the previous day (msg.542, LevelIndicator=5) is rebroadcast the next morning. Also for this value the field “TypeOfLevel” needs to be taken into account. To better distinguish this “next day rebroadcast” of the previous days closing level from todays data, a field “RebroadcastIndicator” will be added to msg.542.
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Can the calculation of an index be officially halted?
Yes. If this happens, a msg.505 (StockStateChange) is sent with the field InstrumentState=S. When calculation is resumed, a msg.505 is sent with InstrumentState = null. Not all Indices can be officially halted. More information about conditions for halting the calculation of an index can be found on the www.euronext.com website, search for “index rules”.
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Does the feed supply official closing levels for all available Indices?
No. It does for Indices calculated by NYSE Euronext, but for Indices that are only rebroadcast by NYSE Euronext no closing levels will be supplied. An official close is supplied in a msg.542, where the field “TypeOfLevel” indicates the status of the value sent: TypeOfLevel=5 indicates Official Close. The official close is also available in msg.543 (Index Summary), in the field ClosingReferenceLevel.
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What is the official opening level for an index?
Generally speaking, the NYSE Euronext calculated Indices can be divided into two “families” because of their calculation method: The AEX-family and the CAC-family. There is no indicator in the feed to which “family” an index belongs. - For the AEX-family the official opening level is indicated by TypeOfLevel=A, which is usually available shortly after market open. - For the CAC-family the opening level is indicated by TypeOfLevel=B, which is usually available shortly after open. For CAC-family Indices also a Level=A is sent shortly after market open, but this value is not to be considered as (provisional) opening level. The real official opening level for a CAC-family index is supplied with TypeOfLevel=C, available only after market close. It should be noted that the TypeOfLevel B and C are not supplied for AEX-family Indices.