{ "sections": [ { "entityTag": 256, "name": "ICE Volume types", "comment": "0x100 == 'v'", "category": "trades", "values": [ { "entityTag": 1, "name": "Block V", "description": "Block Volume", "formatter": "Volume" }, { "entityTag": 2, "name": "EFS V", "description": "EFS Volume", "formatter": "Volume" }, { "entityTag": 3, "name": "EFP V", "description": "EFP Volume", "formatter": "Volume" } ] }, { "entityTag": 119, "name": "Orderbook", "comment": "0x77 == 'w' TradeStatistics", "category": "nasdaq", "values": [ { "entityTag": 1, "name": "O/B T", "description": "Time of last Orderbook update", "formatter": "Time", "readAs": "MillisecondsSinceMidnight" }, { "entityTag": 2, "name": "O/B Avg P", "description": "Orderbook average price", "formatter": "Price" }, { "entityTag": 3, "name": "O/B Diff Last P", "description": "Difference between closing price and last paid price", "formatter": "Price" }, { "entityTag": 4, "name": "O/B # Trades", "description": "Orderbook number of trades", "formatter": "Number" }, { "entityTag": 5, "name": "O/B Acc Vol", "description": "Orderbook accumulated traded volume", "formatter": "Volume" }, { "entityTag": 6, "name": "O/B Rep Vol", "description": "Orderbook reported volume", "formatter": "Volume" }, { "entityTag": 7, "name": "O/B Acc T/O", "description": "Orderbook accumulated turnover", "formatter": "Price" }, { "entityTag": 8, "name": "O/B Rep T/O", "description": "Orderbook reported turnover", "formatter": "Price" }, { "entityTag": 9, "name": "O/B LTRP", "description": "Orderbook price of the last trade report", "formatter": "Price" }, { "entityTag": 10, "name": "O/B LTRQ", "description": "Orderbook quantity of the last trade report", "formatter": "Volume" }, { "entityTag": 11, "name": "O/B ATAP", "description": "Orderbook all trades average price", "formatter": "Price" }, { "entityTag": 12, "name": "O/B VWAP", "description": "Orderbook volume weighted average price", "formatter": "Price" }, { "entityTag": 13, "name": "O/B VWAP Intvl", "description": "Orderbook real time calculation of the VWAP based on automatched trades during a limited time interval", "formatter": "Price" }, { "entityTag": 14, "name": "O/B C VWAP Intvl", "description": "The orderbook closing VWAP based on a limited time interval", "formatter": "Price" } ] }, { "entityTag": 117, "name": "Market Statistics", "comment": "0x75 == 'u' TurnoverListUpdate", "category": "nasdaq", "values": [ { "entityTag": 1, "name": "MKT Stats T", "description": "Time of last Market Statistics update", "formatter": "Time", "readAs": "MillisecondsSinceMidnight" }, { "entityTag": 2, "name": "MKT Stats Acc T/O", "description": "Market statistics accumulated turnover", "formatter": "Price" }, { "entityTag": 3, "name": "MKT Stats Acc Vol", "description": "Market statistics accumulated volume", "formatter": "Volume" }, { "entityTag": 4, "name": "MKT Stats UnchB", "description": "Number of unchanged best bid prices compared to previous trading day", "formatter": "Number" }, { "entityTag": 5, "name": "MKT Stats +B", "description": "Number of increased best bid prices compared to previous trading day", "formatter": "Number" }, { "entityTag": 6, "name": "MKT Stats -B", "description": "Number of decreased best bid prices compared to previous trading day", "formatter": "Number" }, { "entityTag": 7, "name": "MKT Stats UnchP", "description": "Number of unchanged last prices compared to previous trading day", "formatter": "Number" }, { "entityTag": 8, "name": "MKT Stats +P", "description": "Number of increased last prices compared to previous trading day", "formatter": "Number" }, { "entityTag": 9, "name": "MKT Stats -P", "description": "Number of decreased last prices compared to previous trading day", "formatter": "Number" } ] }, { "entityTag": 105, "name": "Indexes", "comment": "0x69 == 'i' IndexUpdate", "category": "nasdaq", "values": [ { "entityTag": 1, "name": "Idx T", "description": "Time of last index update", "formatter": "Time", "readAs": "MillisecondsSinceMidnight" }, { "entityTag": 3, "name": "Idx Acc T/O", "description": "Index accumulated turnover", "formatter": "Price" }, { "entityTag": 4, "name": "Idx D Diff %", "description": "Index change, in percent, since previous day", "formatter": "Percent" }, { "entityTag": 5, "name": "Idx YR Diff %", "description": "Index change, in percent, since the beginning of the year", "formatter": "Percent" }, { "entityTag": 6, "name": "Idx 12M Diff %", "description": "Index change, in percent, since 12 months back", "formatter": "Percent" }, { "entityTag": 7, "name": "Idx D Diff Nom", "description": "Index nominal change since previous day", "formatter": "Price" }, { "entityTag": 8, "name": "Idx YR Diff Nom", "description": "Index nominal change since the beginning of the year", "formatter": "Price" }, { "entityTag": 9, "name": "Idx 12M Diff Nom", "description": "Index nominal since 12 months back", "formatter": "Price" }, { "entityTag": 10, "name": "Idx T/O CUR", "description": "Currency used in index turnover calculation", "formatter": "Text" }, { "entityTag": 11, "name": "Idx Acc Vol", "description": "Index accumulated volume", "formatter": "Volume" }, { "entityTag": 12, "name": "Idx Prev V", "description": "Closing index value from previous day", "formatter": "Price" }, { "entityTag": 13, "name": "Idx MKT Cap", "description": "Index. Market capitalization.", "formatter": "Price" }, { "entityTag": 14, "name": "Idx Prev MKT Cap", "description": "Index. Market capitalization previous day.", "formatter": "Price" } ] }, { "entityTag": 73, "name": "Net order imbalance indicator", "comment": "0x49 == 'I' NetOrderImbalanceIndicator", "category": "nasdaq", "values": [ { "entityTag": 1, "name": "NOII T", "description": "Time of last Net order imbalance indicator update", "formatter": "Time", "readAs": "MillisecondsSinceMidnight" }, { "entityTag": 2, "name": "NOII Paired Shares", "description": "The total number of shares that are eligible to be matched at the Current Reference Price", "formatter": "Number" }, { "entityTag": 3, "name": "NOII Imb Shares", "description": "The number of shares not paired at the Current Reference Price", "formatter": "Number" }, { "entityTag": 4, "name": "NOII Imb Dir", "description": "The market side of the order imbalance", "formatter": "Enumeration", "enumRef": "ImbalanceDirection" }, { "entityTag": 5, "name": "NOII Eq P", "description": "Equilibrium price in a call", "formatter": "Price" }, { "entityTag": 6, "name": "NOII Cross Type", "description": "Auction type", "formatter": "Enumeration", "enumRef": "CrossType" } ] } ], "enumerations": { "ImbalanceDirection": { "66": "Buy imbalance", "83": "Sell imbalance", "78": "No imbalance", "79": "Insufficient orders to calculate" }, "CrossType": { "79": "Opening cross", "67": "Closing cross", "72": "Cross for halted securities", "73": "Scheduled intraday auction", "82": "Re-Opening auction", "86": "Volatility auction" } } }