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HISTORICAL ICE DATA GLOBAL INDEX FEED (HGIF) CLIENT SPECIFICATION

Version Date

1.0a November 1, 2018

ICE Data Indices, LLC is the administrator for the ICE BofAML Indices, the NYSE Indices and the ICE U.S. Treasury indices and a

provider of calculation services for certain third-party indices and ETFs. This document contains information that is confidential

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ICE DATA INDICES HISTORICAL ICE DATA GLOBAL INDEX F CLIENT SPECIFICATION

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PREFACE

DOCUMENT HISTORY

VERSION

NO.

DATE CHANGE DESCRIPTION

1.0 May 1, 2018 Initial Release

1.0a November 1,

2018

Effective November 12, 2018, the Sequence Number is populated for Msg Types 3, 34, 130, 131 and 132. This field was formerly left blank.

CONTACT INFORMATION

Service Desk - 24/7

Telephone: +1 212 896-2830

Email: [email protected]

FURTHER INFORMATION

■ For additional product information, visit the Historical Market Data Product Page -

https://www.nyse.com/market-data/historical

mailto:[email protected]

https://sharepoint.cpex.com/sites/pdp/communications/techdocs/Shared%20Documents/Docs/US%20Client%20Specifications/Historical%20or%20TAQ/Historical%20Market%20Data%20Product%20Page

https://www.nyse.com/market-data/historical

ICE DATA INDICES HISTORICAL ICE DATA GLOBAL INDEX F CLIENT SPECIFICATION

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CONTENTS

1. HISTORICAL ICE DATA GLOBAL INDEX FEED (HGIF) PRODUCT SUITE .............................................. 4

1.1 Overview .................................................................................................................................... 4

1.2 Access and Data Format .............................................................................................................. 4

1.3 Sample Data ............................................................................................................................... 5

1.4 Contracts and Licensing ............................................................................................................... 5

1.5 Notes on Symbol Dissemination .................................................................................................. 5

2. MESSAGE AND FIELD LEVEL DATA ................................................................................................ 6

2.1 Distribution of message types among Data Sets ........................................................................... 6

2.2 Data Types .................................................................................................................................. 6

3. SYMBOL INDEX MAPPING MESSAGE (MSG TYPE 3) ...................................................................... 7

4. TRADING HALT MESSAGE (MSG TYPE 34) ..................................................................................... 8

5. INDEX UPDATE MESSAGE– MSG TYPE 130 ................................................................................... 9

6. ETP UPDATE MESSAGE – MSG TYPE 131 ..................................................................................... 10

7. ETP VALUE MESSAGE – MSG TYPE 132 ............................................................................................... 11

APPENDIX A: SCHEDULES ...................................................................................................................... 12

APPENDIX B: FILENAMES AND PATHS.................................................................................................... 13

ICE DATA INDICES HISTORICAL ICE DATA GLOBAL INDEX FEED CLIENT SPECIFICATION

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1. Historical ICE Data Global Index Feed (HGIF) Product Suite

1.1 OVERVIEW

The ICE Data Global Index Feed (GIF) is the primary source of US real-time index and exchange-traded

product valuations data from ICE Data Index Group. GIF has been created to support the advanced trading

methodologies and dissemination frequency required for today’s index and exchange-traded product

calculations.

This specification is related to the Historical capture and product offering for the Historical ICE Data Global

Index Feed (HGIF).

Data and features of GIF include:

■ Historical file capture of Real-time publication of NYSE index data, including:

– NYSE, NYSE Arca, NYSE American and other indices (for example, fixed income, strategy)

– Third-party index values (for example, DB Liquid Commodity, Wisdom Tree, Wilder Hill New Energy)

■ Exchange-traded product (ETP) data, including:

– Segmented ETF Indicative Optimized Price Value (IOPV) values and static portfolio data

– Intraday Portfolio Values (IPVs)

– Daily valuation information, including: Net Asset Value (NAV), shares outstanding, estimated cash

per-unit creation, total cash per-unit creation, and dividends

■ Data distribution for ETF IOPV and other exchange-traded products

The Historical ICE Data Global Index Feed (HGIF) product suite provides a historical record of all data that

was published by the ICE Data Global Index Feed on a particular day. The suite is comprised of multiple

individual data sets, where each set captures the data published on a ICE Data Global Index Feed channel

on a particular day.

The product is available on an end-of-day basis in flat file format, enabling you to recreate Index and ETF

IOPV values and statistics for any given time. The following data sets are available in historical format:

A GIF symbol will be defined as either a GIF or GIF APAC symbol and will appear only in the channel in

which it is assigned.

1.2 ACCESS AND DATA FORMAT

All Historical ICE Data Global Index Feed (HGIF) product suite files consist of newline-terminated records in

ASCII CSV format. The files are compressed using GNU Zip, and can be downloaded via NYSE Managed File

Transfer (MFT) Site, https://mftus.nyx.com/ For information on file paths and filenames, see Appendix B.

PRODUCT DATA CHANNEL

FILE

DATA SET APPROX TOTAL

FILE SIZE

Historical ICE

Data Global

Index Feed

Suite

1 GIF Index and ETP intraday and static data 550 MB

2 GIF APAC (Asia Pacific) Index and ETP intraday

and static data

30 MB

https://mftus.nyx.com/


5

Each record in the files corresponds to a single data event in the real time feed. The file records are in the

same order as the data events were in the real time feed.

1.3 SAMPLE DATA

Sample data is available on our public ftp server at ftp://ftp.nyxdata.com/Historical%20Data%20Samples/

1.4 CONTRACTS AND LICENSING

Subscribers must execute the appropriate agreement (Exhibit A and/or Vendor Agreement) which will be

generated upon submission of the online order from the product page for each product on the product

website. Upon the approval, MFT credentials for accessing the data will be provided. Please allow up to

an hour for newly purchased data product(s) from the MFT directory setup to complete. Subscribers may

download the data once and place the data on their internal database for internal users to access the data.

1.5 NOTES ON SYMBOL DISSEMINATION

In the historical ICE Data Global Index Feed (HGIF), the core symbol (without suffix) is present in each

record.

For example, currently in the GIF Master Symbol List for the IOPV iShares S&P Growth Allocation Fund, five

symbols represent the data as follows:

■ AOR.IV – Real-time IOPV value (message 131)

■ AOR.EU – Estimated cash per-unit creation value for the ETF IOPV (message 132)

■ AOR.NV – Net asset value of the ETF IOPV (message 132)

■ AOR.SO – Shares Outstanding of the ETF IOPV (message 132)

■ AOR.TC – Total Cash of the ETF IOPV (message 132)

But in historical GIF records, only ‘AOR’ is presented as the core symbol, along with data values populated

within specific fields in the message 132 structure.

Note the following points:

■ IOPV symbols publish to GIF but drop the suffix. For example, the IOPV for AFK publishes without the

“.IV” suffix and the data items publish only against AFK, with the associated populating the other fields

within the 132 message.

■ Suffixes are dropped for the 131 and 132 messages.

■ There are some non-standard ETF IOPV-related symbols:

– Roots different from product

– Suffixes other than .IV, .NV, .SO, .EU or .TC

■ Some 130 index messages contain ETF IOPV-related data. However the symbol in a 130 message will be

in its entirety; no suffix needs to be added. Additionally, the symbol in 131 and 132 messages will be

the root and the requisite suffix (.IV, .NV, .SO, .EU, .TC) should be added based on the position of the

data in the message.

ftp://ftp.nyxdata.com/Historical Data Samples/


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2. Message and Field Level Data

2.1 DISTRIBUTION OF MESSAGE TYPES AMONG DATA SETS

Each data set within the Historical ICE Data Global Index Feed (HGIF) product suite contains a subset of all

the message types described in this document, as shown below.

MSG

TYPE DESCRIPTION GIF GIF APAC

3 Symbol Index Mapping Y Y

34 Security Status Message Y Y

130 Index update message Y Y

131 ETP update message Y Y

132 ETP value message Y Y

2.2 DATA TYPES

1. Numeric fields consist of numeric ASCII characters only (0-9).

2. Alpha fields consist of alphabetic ASCII characters only (a-z and A-Z).

3. Values are in decimal format. Examples; “25.2222”, “0.1255”, “100.6666”, “2.3000”, “4.4444’.

Values are represented to no more than 4 decimal places.

4. A sequence number is an increasing number that uniquely identifies each message per channel. It

starts the day at 1 and increments by 1 for each new message per channel.

5. Timestamps are in ET, in hours, minutes, seconds, and microseconds granularity expressed in

nanoseconds, eg: “12:32:44.123456000”.

6. For all default values of 0 and spaces in the real time feeds, the value in CSV is blank, eg: “,,”,

except as explicitly noted.

7. All symbols are expressed in NYSE Symbology.

8. For underlying symbol, currency of an index value and other attributes, refer to the GIF Master

Symbol list on the product website page.

https://www.nyse.com/publicdocs/nyse/data/NYSE_Symbology_Spec_v1.0c.pdf


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3. Symbol Index Mapping Message (Msg Type 3)

FIELD NAME FIELD

ORDER FORMAT DESCRIPTION

Msg Type 1 Numeric The type of this message:

3 – Symbol Index Mapping Message

SequenceNumber 2 Numeric A unique, sequential message ID that 'tags' each

message and allows recipients to identify the message.

Prior to November 12, 2018, this field was left blank.

SendTime 3 HH:MM:SS.

nnnnnnnnn

Send time of this message, with nanosecond accuracy

Symbol 4 ASCII See GIF Master Symbol list on the product website page

Flag 5 Numeric Not Used. This field is populated with:

‘0’ – NA

Market ID 6 Numeric ID of the Index calculation application. Current value is

‘10’.

System ID 7 Numeric ID of the Originating System. Current value is ‘1’.

Exchange Code 8 Alpha Exchange where this symbol is listed:

‘P’ – NYSE Arca (For GIF, all symbols set to ‘P’)

Security Type 9 Alpha Type of Security:

‘E’ – ETP

‘X’ - INDEX


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4. Trading Halt Message (Msg Type 34)

FIELD NAME FIELD


MsgType 1 Numeric The type of this message:

34 – Trading Halt Message

SequenceNumber

2 Numeric A unique, sequential message ID that 'tags'

each message and allows recipients to identify

the message.

Prior to November 12, 2018, this field was left

blank.

SourceTime 3 HH:MM:SS.

nnnnnnnnn

Send time of this message, with nanosecond

accuracy

Symbol 4 ASCII See GIF Master Symbol list on the product

website page

SymbolSeqNum 5 Numberic Not Used. Field is populated with a ‘0’.

Security Status 6 Numeric ‘3’ – Opening Delay

‘4’ – Trading Halt

‘5’ - Resume

‘6’ - No open/no resume

Halt Condition 7 N/A Unused, blank


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5. Index Update Message– Msg Type 130

An Index Update message (Msg Type 130) is sent when the value of the Index changes due to a change in

price of an underlying index component.

FIELD NAME FIELD


MsgType 1 Numeric This field identifies the type of message

‘130’ – Index Update Message

SequenceNumber 2 Numeric A unique, sequential message ID that 'tags'

each message and allows recipients to

identify the message.

Prior to November 12, 2018, this field was

left blank.


nnnnnnnnn


accuracy


website page

Value 5 Numeric This field contains the corresponding value

for the symbol (see section 2.2 Data Types)


10

6. ETP Update Message – Msg Type 131

An ETP Update message provides information about value updates for ETPs. An ETP Update message 131 is

sent when the value of the ETP changes due to a change in price of an underlying component; or, when

dividend, estimated unit of cash creation, total cash amount or shares outstanding values are published.

FIELD NAME FIELD



‘131’ – ETP Update Message

SequenceNumber 2 Numeric A unique, sequential message ID that 'tags' each message and allows recipients to identify the message. Prior to November 12, 2018, this field was left blank.


nnnnnnnnn

Send time of this message, with nanosecond accuracy


website page

Value 5 Numeric This field contains the corresponding value for

the symbol (see section 2.2 Data Types)


11

7. ETP Value Message – Msg Type 132

An ETP Value message provides information about ETP reference data. An ETP Value message 132 is sent at

the start of day; or, if the reference data changes intraday.

The table below describes the fields of an ETP Update message (MsgType ‘132’). The Symbol itself is

provided in the message, and suffices can be derived from the NetAssetValue (.NV), SharesOut (.SO),

EstCash (.EU), TotalCash (.TC) and Real-Time Indicative Optimized Portfolio Value (.IV) fields.

FIELD NAME FIELD



‘132’ – ETP Value Message

SequenceNumber 2 Numeric A unique, sequential message ID that 'tags'

each message and allows recipients to identify

the message.

Prior to November 12, 2018, this field was left

blank.


nnnnnnnnn


accuracy


website page

NAV 5 Numeric This field represents the Net Asset value for the

ETP.

SharesOut 6 Numeric This field represents the shares outstanding

value for the ETP.

EstCash 7 Numeric

(Signed)

This field represents the Estimated Cash per

unit creation value for the ETP. This can be a

negative number.

TotalCash 8 Numeric

(Signed)

This field represents the Total Cash per unit

creation value for the ETP. This can be a

negative number.

Dividend 9 Numeric This field represents the dividend value for the

ETP.


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APPENDIX A: Schedules

DATA DELIVERY

The following table lists the capture end time and delivery time of each historical ICE Data Global Index

Feed (HGIF) file.

PRODUCT DATA SET

CAPTURE END TIME

(ET)

DELIVERY TIME (ET)

Historical ICE

Data Global

Index Feed

Suite

GIF 7:15pm 8:30pm

GIF APAC 2:15pm 3:30pm


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APPENDIX B: Filenames and Paths

On logging into the NYSE Managed File Transfer (MFT), Site, https://mftus.nyx.com/, the Historical GIF files

are accessible per your entitlements at the locations shown below.

PRODUCT FILE PATH AND NAME

GIF

2 files

IDS_GIF/

IDS_GIF_YYYY/

IDS_GIF_YYYYMM/

IDS_GIF_1_YYYYMMDD.GZ

IDS_GIF_2_YYYYMMDD.GZ

Note: In each of the directories described in this section, “yyyy” refers to the generation year of the file and

“mm” refers to the generation month of the file.

Managed File Transfer (MFT) Server: https://mftus.nyx.com/

Please note that SFTP is required for your connection.

In order to establish your connection to the MFT platform, NYSE needs your dedicated public IP address(es)

and technical support contact information. To provide this information, please complete the MFT form

(https://www.theice.com/post-trade/file-trans-setup) as instructed below. This form should take less than

five minutes to complete. Once your connection to the MFT platform has been verified, you will be able to

download all files your organization currently subscribes to from the MFT platform.




https://www.theice.com/post-trade/file-trans-setup

https://www.theice.com/post-trade/file-trans-setup
