Market Data Transmission Manual · Manual (Market Data Transmission Network) Ver. 2.17(updated on...

Taiwan Futures Exchange

Market Data Transmission

Manual

(Market Data Transmission Network)

Ver. 2.17(updated on 2018/04/19)

Table of Contents

I. Introduction ............................................................................................. 4

A. Format development.................................... 4

B. Data transmission ...................................... 4

II. Connection Architecture ...................................................................... 6

A. Connection requirements ................................ 6

B. Architecture .......................................... 6

III. Data Format ......................................................................................... 7

A. Information flow and message format ...................... 7

B. Overview of Market Data ............................... 14

C. Message Format and Field Description .................... 17

MESSAGE ID: I010 ................................... 17

MESSAGE ID: I020 ................................... 20

MESSAGE ID: I021 ................................... 23

MESSAGE ID: I023 ................................... 24

MESSAGE ID: I030 ................................... 25

MESSAGE ID: I050 ................................... 26

MESSAGE ID: I060 ................................... 27

MESSAGE ID: I070 ................................... 29

MESSAGE ID: I071 ................................... 31

MESSAGE ID: I072 ................................... 34

MESSAGE ID: I073 ................................... 37

MESSAGE ID: I080 ................................... 40

MESSAGE ID: I100 ................................... 42

MESSAGE ID: I120 ................................... 43

MESSAGE ID: I130 ................................... 44

MESSAGE ID: I140 ................................... 46

MESSAGE ID：I011 ................................... 68

MESSAGE ID：B020 ................................... 71

MESSAGE ID：B080 ................................... 73

MESSAGE ID：B021 ................................... 75

MESSAGE ID: I022 ................................... 77

MESSAGE ID: I082 ................................... 79

MESSAGE ID：I000 ................................... 81

MESSAGE ID: I064 ................................... 82

MESSAGE ID: I065 ................................... 84

MESSAGE ID：I090 ................................... 86

D. Generation of Check-Sum .............................. 88

IV. Multicast Group Definition ............................................................... 90

Appendix 1 Summary of Changes ....................................................... 91

Appendix 2 Overview of Message Format .......................................... 98

Appendix 3 Description of PACK BCD ............................................ 100

Appendix 4 Product Prices ................................................................. 101

Appendix 5 Product ID ....................................................................... 102

Appendix 6 Contract Ticker Symbol ................................................ 104

Market Data Transmission Manual V2.17

Copyright © 2018,TAIFEX 4

I. Introduction

A. Format development

1. As part of its efforts to internationalize and liberalize Taiwan’s futures market and

render trading information more transparent, Taiwan Futures Exchange (TAIFEX) plans

to implement a policy to disclose the match price of each successful trade starting

2004. This policy stays in line with the implementation of continuous matching system

in the futures market, which also means that data disclosed will rise sharply.

2. After rounds of discussions and consulting the views of information vendors regarding

how to boost the content and frequency of data transfer that takes into account

transfer rate, expandability, and market demands, TAIFEX decides to modify the

transmission protocol and rates for connection with information vendors (futures

commission merchants). Besides adopting UDP/IP protocol and using high-speed

transmission of market data, TAIFEX has also looked at and revised the transmission

format in the hope to boost data transfer capacity and processing efficiency.

3. After re-examining the current transmission format and content, TAIFEX has expanded

and consolidated some data fields, and in consideration of future business

development, saved some expandable fields to enhance program maintainability.

B. Data transmission

With the adoption of UDP/IP protocol and the use of high speed transfer rate, the

bandwidth will increase significantly. After giving consideration to future system

architecture and the expandability of data items, a HEADER field is added to the

transmission format in compliance with UDP/IP protocol, which should help enhance the

processing efficiency of vendors after they receive the market information. Revisions

made to the message format are summed up as follows:

1. A message length field is added for receiver to tell the length of data packet.

2. To help reduce the costs of information vendors for hardware upgrade and boost the

efficiency of line usage, TAIFEX plans to have different markets share the transmission

lines and identify the source of transferred data by transmission code.

3. The field of transmission format code is moved to HEADER section.

4. A notation of message version is added so that in the event of format upgrade testing,



the receiver can tell whether the data are old version or new version.

5. The UDP multicast does not have the mechanism to guarantee packet delivery. Thus a

field of transfer sequence number (INFORMATION-SEQ) is added, which allows the

receiver to check whether complete data are received.



II. Connection Architecture

A. Connection requirements

1. Router equipped with IGMP function and connection interface with at least 10M bps

wan port (ex: Cisco 1941 or higher) for connection to the Market Data Transmission

Network.

2. The transmission lines adopt UDP/IP multicast protocol.

3. Depending on needs, a vendor can use one or two routers to connect respectively to

main (Xinyi) and backup (Taichung) data center via leased line for back-up.

B. Architecture



III. Data Format

A. Information flow and message format

Message formats

1 Price limits and basic data (I010)

2 Matched prices and quantitie (I020)

3 Intra-day highs/lows (I021)

4 Opening price and quantity (I023)

5 Sum of order data (I030)

6 Bulletin data (I050)

7 Underlying index data (I060)

8 Closing market data (I070)

9 Closing market data (settlement price included) (I071)

10 Closing market data (settlement price and open interest included) (I072)

11 Combination product closing market data (I073)

12 Order book data (I080)

13 Quote request (I100)

14 Reference of stock options/futures and underlying stocks (I120)

15 Contract adjustment (I130)

16 System message (I140)

17 Contract basic data (I011)

18 Combine product block trade match data (B020)

19 Combine product block trade order book data (B080)

20 Negotiated block trade match data (B021)

21 Calculated opening price and volume (I022)

22 Reference best 5 bid/ask price and volume after calculated (I082)

23 HeartBeat (I000)

24 Calculated opening and closing price for underlying stocks (I064)

25 Underlying index data (I065)

26 Indices compiled/co-compiled by TAIFEX and/or partners (I090)

Reference data transmitting time:

I011, I120, I130 reference data messages will be transmitted from 6:45 AM to 8:30 AM

during regular trading period, and from 14:40 PM to 17:10 PM during after-hour trading

period.

I010 messages will be transmitted from 6:45 AM to 8:30 AM during regular trading period,

and from 14:40 PM to market close during after-hour trading period.

Because there is no settlement process after after-hour trading closed, I071, I072

messages will not be transmitted in after-hour trading.

(1) Price limits and basic data I010

1. Message timing: send before market, interval of 60 seconds between messages,



disclose for all products.

2. Message format and content: Message ID I010.

3. Contracted vendors and FCM (clearing members) should:

(1) refer to section "C. Message Format and Field Description" to accurately retrieve

the transferred data and display it.

(2) wait for the next message.

(2) Matched prices and quantities I020

1. Message timing: Intra-day 125ms disclose interval.






(3) Intra-day highs/lows I021

1. Message timing: TAIFEX sends intra-day real-time changes of highs and lows.






(4) Opening price and quantity I023

1. Message timing: TAIFEX sends the first match price and quantity of the day when it

takes place three times at one minute apart between each time.






(5) Sum of order data I030

1. Message timing:

TAIFEX adds up the number of orders and sends real-time information.

before market and intra-day display, interval of 5 seconds between messages, display

of all products.








(6) Bulletin data I050

1. Message timing: TAIFEX posts bulletin; interval between messages depends on the

classification of the bulletin information.






(7) Underlying index data I060

1. Message timing: TAIFEX sends underlying data when there are changes to the

contents except time.






(8) Closing market data I070

1. Message timing:

TAIFEX sends closing market data of all products after market closing.

The messages are 180 seconds apart; all products are disclosed.






(9) Closing market data (settlement price included) I071

1. Message timing:

TAIFEX sends settlement prices in about 15 minutes after market closing.







(10) Closing market data (settlement price and open interest included) I072

1. Message timing:









(11) Combination product closing market data I073

1. Message timing:

TAIFEX sends the closing market data of combination product after market closing.

The messages are 180 seconds apart; only combination product with trading

activities in the day are disclosed.






(12) Order book data I080

1. Message timing:

TAIFEX sends order book data for all products during market hours.

The messages are 125ms apart; disclose only when there are changes to the quantity

and/or price of the best five bid/ask prices (include order and quote).






(13) Quote request I100 (display starts on 2004/05/31)

1. Message timing: TAIFEX sends real-time quote request messages during market

hours.






(14) Reference of stock options/futures and underlying stocks I120

1. Message timing: TAIFEX sends reference of stock options/futures and underlying

stock before market.








(15) Contract adjustment I130

1. Message timing: TAIFEX sends the message when there is adjustment to futures or

options contract.






(16) System message: I140

1. Message timing: TAIFEX sends this message to FCM when there is special

circumstance concerning its system.






(17) Contract basic data I011

1. Message timing: send before market, interval of 60 seconds between messages,

disclose for all contracts.






(18) Combine product block trade match data B020

1. Message timing: Intra-day real-time disclose for combine product block trade.

2. Message format and content: Message ID B020.





(19) Combine product block trade order book data B080

1. Message timing:

TAIFEX sends order book data for combine product block trade during market hours.








(20) Negotiated block trade match data B021

1. Message timing: Intra-day real-time disclose for combine product block trade.






(21) Calculated opening price and volume I022

1. Message timing: During the pre-opening session, disclose the calculated opening

price and volume of call auction simulation.






(22) Reference best 5 bid/ask price and volume after calculated I082

1. Message timing: During the pre-opening session, disclose the reference best 5

bid/ask price and volume after call auction simulation.






(23) HeartBeat I000

1. Message timing: TAIFEX trading system will sent out heartbeat message periodically

on every multicast group about every 30 seconds.



The sole purpose of the heartbeat message is to keep routing trees alive. The dectect

of missing hearbeat may mean encounter some network or system problem.

However, whether other messages can still be sent or not is depend on the situation.

(24) Calculated opening and closing price for underlying stocks I064

1. Message timing: TAIFEX sends calculated opening and closing price for underlying

stocks when there are changes to the contents except time.








(25) Underlying index data I065

1. Message timing: TAIFEX sends underlying data when there are changes to the

contents except time.






(26) Indices compiled/co-compiled by TAIFEX and/or partners I090

1. Message timing: TAIFEX trading system will send out message periodically.








B. Overview of Market Data

Futures TRANSMISSION-CODE

1 2 3 7

MES

SAG

E-K

IND

1

I010

Price limits and basic

data

I020

Matched prices and

quantities

I070

Closing market data

B020

Combine product

block trade match

data

2

I030

Sum of order data

I080

Order book data

I071

Closing market data

(settlement price

included)

B080

Combine product

block trade order

book data

3

I011

Contract basic data

I140

System message

I072

Closing market data

(settlement price and

open interest included)

B021

Negotiated block

trade match data

4 I050

Bulletin data

I100

Quote request

I073

Combination product

closing market data

5 I060

Underlying index or

stock data

I021

Intra-day highs/lows

6

I120

Reference of stock

futures and

underlying stock

I023

Opening price and

quantity

7 I130

Contract adjustment

I022

Calculated opening price

and volume

8

I064

Calculated opening

and closing price for

underlying stocks

I082

Reference best 5 bid/ask

price and volume after

calculated

9

I065

Underlying index or

stock data

I090

Indices

compiled/co-compiled by

TAIFEX and/or partners



Options TRANSMISSION-CODE

4 5 6

M

ESSA

GE-

KIN

D

1 I010

Price limits and basic data

I020

Matched prices and quantities

I070

Closing market data

2

I030

Sum of order data

I080

Order book information

I071

Closing market data

(settlement price

included)

3

I011

Contract basic data

I140

System message

I072

Closing market data

(settlement price and

open interest included)

4 I050

Bulletin data

I100

Quote request

5 I060

Underlying index or stock

data

I021

Intra-day highs/lows

6

I120

Reference of stock

options and underlying

stock

I023

Opening price and quantity

7 I130

Contract adjustment

I022

Calculated opening price and

volume

8

I064

Calculated opening and

closing price for

underlying stocks

I082

Reference best 5 bid/ask price

and volume after calculated

9 I090

Indices compiled/co-compiled

by TAIFEX and/or partners

Every Transmission code



Multicast

Group 0

Message

kind 0

I000

HeartBeat



C. Message Format and Field Description 1.

MESSAGE ID: I010 MESSAGE NAME: Rise/fall limit and basic information

FIELD NAME FORMAT LENG CONTENTS COMMENT

HEADER

ESC-CODE X(1) 1 (ASCII 27)

TRANSMISSION-CODE X(1) 1 "1": Futures "4": Options Disclosure of price limits, reference price, order quantity, match quantity, bulletin, and underlying index of individual product.

MESSAGE-KIND X(1) 1 "1": Price limits and basic

data of individual product

INFORMATION-TIME 9(12) 6 Time of data (PACK BCD) hhmmssxxxxxx

INFORMATION-SEQ 9(8) 4 Serial No. of I010 message

PACK BCD

VERSION-NO 9(2) 1 Message version No. (PACK

BCD)

Current version : 7

BODY-LENGTH 9(4) 2 Body length (PACK BCD)

BODY

PROD-ID-S X(10) 10 Product ID

RISE-LIMIT-PRICE1 9(9) 5 First upper price limit

PACK BCD

Refer to

Appendix 4

REFERENCE-PRICE 9(9) 5 Reference price PACK

BCD

Refer to

Appendix 4

FALL-LIMIT-PRICE1 9(9) 5 First lower price limit

PACK BCD

Refer to

Appendix 4

RISE-LIMIT-PRICE2 9(9) 5 Second upper price limit

PACK BCD

Refer to

Appendix 4

FALL-LIMIT-PRICE2 9(9) 5 Second lower price limit

PACK BCD

Refer to

Appendix 4

RISE-LIMIT-PRICE3 9(9) 5 Third upper price limit

PACK BCD

Refer to

Appendix 4

FALL-LIMIT-PRICE3 9(9) 5 Third lower price limit

PACK BCD

Refer to

Appendix 4



PROD-KIND X(1) 1 Type of contract

DECIMAL-LOCATOR 9(1) 1 Number of decimal digits in

price fields

Refer to

Appendix 4

STRIKE-PRICE-DECIMAL-L

OCATOR

9(1) 1 Number of decimal digits in

strike price of options

product

(Always 0 for futures)

Refer to

Appendix 5

BEGIN-DATE 9(8) 4 Listed date of product

(YYYYMMDD)

PACK BCD

END-DATE 9(8) 4 Expiry date of product

(YYYYMMDD)

PACK BCD

FLOW-GROUP 9(2) 1 Flow group

PACK BCD

DELIVERY-DATE 9(8) 4 Delivery date of product

PACK BCD

DYNAMIC-BANDING X(1) 1 Is dynamic banding

applicable to this PROD?

Y: Yes

N: No

CHECK-SUM X(1) 1 Check sum

TERMINAL-CODE X(2) 2 (HEXACODE:OD OA)

INFORMATION-SEQ: The serial number of I010 message sent, which is assigned based on market

(futures or options) and message version No., and increments from 1.

PROD-KIND: Type of contract.

I: Index R: Interest rate B: Bond C: Commodity S: Stock E:Currency

DECIMAL-LOCATOR: Read the product price in related field based on the number of decimal digits provided in this field. For detailed description and example, please refer to Appendix 4. STRIKE-PRICE-DECIMAL-LOCATOR: Parse the 5-digit strike price for option expressed by PROD-ID based on the number of decimal digits provided in this field. For detailed description and example, please refer to Appendix 5.

DYNAMIC-BANDING: is dynamic banding applicable to this PROD. Y: Yes N: No

Message I010 transferred in the morning includes rise and fall limits for each stage and uses 0 if there are no rise and fall limit prices for the stage. FLOW-GROUP definition:

FLOW-GROUP Open Time Close Time



1 08:45 13:45

2 08:45 12:00

3 08:45 13:30

4 08:45 11:00

5 08:45 16:15

6 08:00 16:15

7 08:45 18:15

8 08:45 18:00

9 08:45 14:00

10 15:00 5:00 next day

11 17:25 5:00 next day

12 15:00 Daylight saving

time:

02:30 next day

Non-daylight

saving time:

03:30 next day CHECKSUM: Please see section D. Generation of Check-Sum.

Because some reference data will not available until regular trading close, for after-hour trading

I010 start transmitting time of each products will be different.



2.

MESSAGE ID: I020

MESSAGE NAME: Matched prices and quantities

HEADER



TRANSMISSION-CODE X(1) 1 "2": Futures. "5": Options.

MESSAGE-KIND X(1) 1 "1": Display of matched trades (prices and quantities)



(PACK BCD)


BCD)

Current version: 4


BODY

PROD-ID X(20) 20 Product ID

MATCH-TIME 9(12) 6 Time of matched trade (PACK BCD)

hhmmssxxxxxx

SIGN X(1) 1 Sign of price

FIRST-MATCH-PRICE 9(9) 5 Price of first matched trade (PACK BCD)

Refer to Appendix 4

FIRST-MATCH-QNTY 9(8) 4 Quantity of first matched trade (PACK BCD)

MATCH-DISPLAY-ITEM

X(1) 1 Notation to match data (BIT MAP)

MATCH-DATA OCCURS 0-127

0-1016 Price and quantity of matched trade


MATCH-PRICE 9(9) 5 Match price (PACK BCD) Refer to Appendix 4

MATCH-QUANTITY

9(4) 2 Match quantity (PACK BCD)

MATCH-TOTAL-QTY 9(8) 4 Total match quantity (PACK BCD)

MATCH-BUY-CNT 9(8) 4 Total number of matched buy orders (PACK BCD)



MATCH-SELL-CNT 9(8) 4 Total number of matched sell orders (PACK BCD)

STATUS-CODE 9(2) 1 Status code PACK BCD 00: Normal


TERMINAL-CODE X(2) 2 (HEXACODE : 0D 0A)

PROD-ID: In order to fit combination product ID, the length of PROD-ID field is set to 20 bytes.

SIGN: The match prices of a combination product can be positive or negative. Thus this field

identifies the positive/negative sign of the price.

'0’: Positive '-': Negative

Notation to display items:

Use individual bit to indicate display item (expressed in binary value)

Bit 7 ＝ 1 means the first packet sent this time

0 means the continuation of the last packet

Bit 6-0 ＝ (range 0000000-1111111): number of match price and match quantity

sent

INFORMATION-SEQ：The serial number of I020 message sent, which is assigned based on

market (futures or options) and message version No., and increments

from 1.

Explanation:

1. The body has variable length. The content of body may have three conditions:

(1) In case of 1 order and 1 matched trade

MATCH-TIME, FIRST-MATCH-PRICE and FIRST-MATCH-QNTY disclose the time, price and

quantity of the matched trade; in MATCH-DISPLAY-ITEM, Bit 7＝1, Bit 6-0=0000000.

(2) In case of 1 order and 97 matched trades

FIRST-MATCH-PRICE and FIRST-MATCH-QNTY disclose the price and quantity of the first

matched trade; in MATCH-DISPLAY-ITEM, Bit 7＝1, Bit 6-0=1100000, followed by 96 sets

of MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 2nd

to the 97th matched trades, and MATCH-TIME is the match time of the 97th trade.



(3) In case of 1 order and 200 matched trades, the message is divided into 2 packets

First packet: MATCH-TIME discloses the match time of 128th trade; FIRST-MATCH-PRICE

and FIRST-MATCH-QNTY are the price and quantity of the first matched trade; in

MATCH-DISPLAY-ITEM, Bit 7＝1, Bit 6-0=1111111, followed by followed by 127 sets of

MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 2nd to

the 128th matched trades.

Second packet: MATCH-TIME discloses the match time of the 200th trade,

FIRST-MATCH-PRICE and FIRST-MATCH-QNTY are the price and quantity of the 129th

matched trade; in MATCH-DISPLAY-ITEM, Bit 7＝0, Bit 6-0=1000111, followed by 71 sets

of MATCH-PRICE and MATCH-QUANTITY which store the prices and quantities of the 130th

to the 200th matched trades.

2. In fact, each packet will contain up to 70 match prices and quantities in addition to the price

and quantity of the first match.



3.

MESSAGE ID: I021

MESSAGE NAME: Intra-day highs and lows


HEADER


TRANSMISSION-CODE X(1) 1 "2": Futures "5": Options

MESSAGE-KIND X(1) 1 "5": Intra-day high/low

INFORMATION-TIME 9(12) 6 Data time (PACK BCD) hhmmssxxxxxx


(PACK BCD)

VERSION-NO 9(2) 1 Message version No.

PACK BCD

Current version: 3


BODY


SIGN X(1) 1 Positive/negative sign

DAY-HIGHT-PRICE 9(9) 5 Day’s highest match price

PACK BCD

Refer to

Appendix 4


DAY-LOW-PRICE 9(9) 5 Day’s lowest match price

PACK BCD

Refer to

Appendix 4

SHOW_TIME 9(12) 6 Time when the last price

shows up (PACK BCD)

hhmmssxxxxxx








'0': Positive '-': Negative

CHECKSUM：Please see section D. Generation of PROD-ID (Check-Sum).



4.

MESSAGE ID: I023

MESSAGE NAME: Opening price and quantity

HEADER




MESSAGE-KIND X(1) 1 "6": Opening price and quantity

INFORMATION-TIME 9(12) 6 Data time (PACK BCD hhmmssxxxxxx


(PACK BCD)


BCD)

Current version: 3


BODY



hhmmssxxxxxx


FIRST-MATCH-PRICE 9(9) 5 Opening price (PACK BCD) Refer to Appendix 4

FIRST-MATCH-QNTY 9(8) 4 Opening quantity (PACK BCD)

CHECK-SUM X(1) 1 Check-sum








CHECKSUM: Please see section D. Generation of Check-Sum.



5.

MESSAGE ID: I030

MESSAGE NAME: Sum of order information


HEADER



MESSAGE-KIND X(1) 1 "2": Individual product order

quantity


INFORMATION-SEQ 9(8) 4 Serial No. of message I030

(PACK BCD)


BCD)

Current version: 2


BODY


BUY-ORDER 9(8) 4 Total number of buy order

(PACK BCD)

BUY-QUANTITY 9(8) 4 Total number of buy contracts

ordered (PACK BCD)

SELL-ORDER 9(8) 4 Total number of sell orders

(PACK BCD)

SELL-QUANTITY 9(8) 4 Total number of sell contracts

ordered (PACK BCD









6.

MESSAGE ID: I050

MESSAGE NAME: Bulletin information


HEADER


TRANSMISSION-CODE X(1) 1 "1": futures "4": options

Market data

MESSAGE-KIND X(1) 1 "4": Bulletin

INFORMATION-TIME 9(12) 6 Data time PACK BCD hhmmssxxxxxx


(PACK BCD)


BCD)

Current version : 1


BODY BUILTIN-KEY

9(4) 2 No. of the bulletin (key value)

(PACK BCD)

BUILTIN-DATA X(80) 80 Bulletin data








7.

MESSAGE ID: I060

MESSAGE NAME: Underlying index or stock data


HEADER



Market data

MESSAGE-KIND X(1) 1 "5": Underlying index

information



(PACK BCD)


BCD)

Current version:3


BODY

KIND X(3) 3 Index or stock symbol

STATUS-ITEM X(2) 2 Status notation

(BIT MAP)

Following fields depend on STATUS-ITEM

VALUE 9(7)V99999 6 Value

(PACK BCD)

TIME 9(12) 6 Time

(PACK BCD)

hhmmssxxxxxx

DATE X(8) 8 Date YYYYMMDD


TL-CODE X(2) 2 (HEXACODE:OD OA)




STATUS-ITEM：Following fields depend on STATUS-ITEM

Bit 6-15 = 0 reserved

Bit 5: DATE data date 1:exist 0:not exist



Bit 4: TIME date time 1:exist 0: not exist zero value presents reference price

Bit 3: VALUE fixing price 1: exist 0: not exist

Bit 2: VALUE ask price 1: exist 0: not exist

Bit 1: VALUE bid price 1: exist 0: not exist

Bit 0: VALUE match price 1: exist 0: not exist

example：

STATUS-ITEM Bit values of 0、1、2、4 are 1,other values are 0,decode the follow data:

VALUE match price (Bit 0)

VALUE bid price (Bit 1)

VALUE ask price (Bit 2)

TIME date time (Bit 4)

Note: 1. No underlying for Taiwan 50, Gold, Bond, EUR/USD, USD/JPY, DJIA, S&P 500, AUD/USD,

GBP/USD, ICE Brent Index, NASDAQ-100, TOPIX, Nifty 50 Index.

2. bid price, ask price, fixing price, data date is only used by currency now



8.

MESSAGE ID: I070

MESSAGE NAME: Closing market data


HEADER



Closing market data

MESSAGE-KIND X(1) 1 "1": Market data


INFORMATION-SEQ 9(8) 4 Serial number of I070

message (PACK BCD)


BCD)

Current version: 2


BODY


TERM-HIGH-PRICE 9(9) 5 Highest price of the term

(PACK BCD)

Refer to

Appendix 4

TERM-LOW-PRICE 9(9) 5 Lowest price of the term

(PACK BCD)

Refer to

Appendix 4

HIGH-PRICE 9(9) 5 highest price (PACK BCD) Refer to

Appendix 4

LOW-PRICE 9(9) 5 lowest price (PACK BCD) Refer to

Appendix 4

OPEN-PRICE 9(9) 5 Opening price (PACK BCD) Refer to

Appendix 4

BUY-PRICE 9(9) 5 Final buy (bid) price (PACK

BCD)

Refer to

Appendix 4

SELL-PRICE 9(9) 5 Final sell (ask) price (PACK

BCD)

Refer to

Appendix 4

CLOSE-PRICE 9(9) 5 Closing price (PACK BCD) Refer to

Appendix 4

BO_COUNT_TAL 9(8) 4 Total number of buy orders

(PACK BCD)



BO_QNTY_TAL 9(8) 4 Total quantity of buy

contracts ordered (PACK

BCD)

SO_COUNT_TAL 9(8) 4 Total number of sell orders

(PACK BCD)

SO_QNTY_TAL 9(8) 4 Total quantity of sell

contracts ordered (PACK

BCD)

TOTAL_COUNT 9(8) 4 Total number of matched

trades (PACK BCD)

TOTAL_QNTY 9(8) 4 Total quantity of contracts

matched (PACK BCD)

COMBINE_BO_COUNT_T

AL

9(8) 4 Combined total of buy

orders (PACK BCD)

COMBINE_BO_QNTY_TA

L

9(8) 4 Combined total quantity of

buy contracts ordered (PACK

BCD)

COMBINE_SO_COUNT_T

AL

9(8) 4 Combined total of sell

orders (PACK BCD)

COMBINE_SO_QNTY_TA

L


sell contracts ordered (PACK

BCD)

COMBINE_TOTAL_QNTY 9(8) 4 Combined total of matched

contracts (PACK BCD)





In I070, all statistics except TERM-HIGH-PRICE and TERM-LOW-PRICE only contain information

from single trading period ( regular or after-hour trading).

The statistical values in five fields of "Combined total of buy orders", "Combined total quantity

of buy contracts ordered", "Combined total of sell orders", "Combined total quantity of sell

contracts ordered", and "Combined total of matched contracts" include the entries in

combination order book.




9.

MESSAGE ID: I071

MESSAGE NAME: Closing market data (settlement price included)


HEADER



Closing market data


INFORMATION-TIME 9(12) 6 Data time (PACK BCD) hhmmssxxxxx

x


(PACK BCD)


BCD)

Current version: 2


BODY



(PACK BCD)

Refer to

Appendix 4


(PACK BCD)

Refer to

Appendix 4


Appendix 4


Appendix 4


Appendix 4


BCD)

Refer to

Appendix 4


BCD)

Refer to

Appendix 4


Appendix 4


(PACK BCD)




contracts ordered (PACK BCD)


(PACK BCD)




trades (PACK BCD)

TOTAL_QNTY 9(8) 4 Total number of contracts

matched (PACK BCD)

COMBINE_BO_COUNT_T

AL

9(8) 4 Combined total of buy orders

(PACK BCD)

COMBINE_BO_QNTY_TA

L



BCD)

COMBINE_SO_COUNT_T

AL

9(8) 4 Combined total of sell orders

(PACK BCD)

COMBINE_SO_QNTY_TA

L



BCD)



SETTLEMENT-PRICE 9(9) 5 Settlement price (PACK BCD) See Appendix

4







The statistical values in five fields of "Combined total of buy orders", "Combined total quantity

of buy contracts ordered", "Combined total of sell orders", "Combined total quantity of sell

contracts ordered", and "Combined total of matched contracts" include the entries in

combination order book.




Note: For the product whose delivery date is the same as its expiry date, settlement price will be

transmitted with a value of "0" on the day of expiration. Upon receiving this message, vendors

should disclose the daily settlement price for expired contract as blank.



10.

MESSAGE ID: I072

MESSAGE NAME: Closing market data (settlement price and open interest included)


HEADER



Closing market data



x


(PACK BCD)


BCD)

Current version: 3


BODY



(PACK BCD)

Refer to

Appendix 4


(PACK BCD)

Refer to

Appendix 4


Appendix 4


Appendix 4


Appendix 4


BCD)

Refer to

Appendix 4


BCD)

Refer to

Appendix 4


Appendix 4


(PACK BCD)






(PACK BCD)




trades (PACK BCD)


matched (PACK BCD)

COMBINE_BO_COUNT_T

AL

9(8) 4 Combined total of buy orders

(PACK BCD)

COMBINE_BO_QNTY_TA

L



BCD)

COMBINE_SO_COUNT_T

AL

9(8) 4 Combined total of sell orders

(PACK BCD)

COMBINE_SO_QNTY_TA

L



BCD)



SETTLEMENT-PRICE 9(9) 5 Settlement price (PACK BCD) Refer to

Appendix 4

OPEN-INTEREST 9(8) 4 Open interest (PACK BCD)

BLOCK_TRADE_QNTY 9(8) 4 Total matched contracts of

block trade (PACK BCD)





The statistical values in the following 6 fields: "HIGH-PRICE", "LOW-PRICE", "OPEN-PRICE" ,

"BUY-PRICE", "SELL-PRICE" and "CLOSE-PRICE" will only contain information from single trading

period ( regular or after-hour trading).

The statistical values in the following 12 fields: "BO_COUNT_TAL", "BO_QNTY_TAL",



"SO_COUNT_TAL", "SO_QNTY_TAL", "TOTAL_COUNT", "TOTAL_QNTY",

"COMBINE_BO_COUNT_TAL", "COMBINE_BO_QNTY_TAL", "COMBINE_SO_COUNT_TAL",

"COMBINE_SO_QNTY_TAL", "COMBINE_TOTAL_QNTY" and "OPEN-INTERES" will contain

information of normal and block trade from both regular and after-hour trading period.

The statistical values in the following 5 fields: "COMBINE_BO_COUNT_TAL",

"COMBINE_BO_QNTY_TAL", "COMBINE_SO_COUNT_TAL", "COMBINE_SO_QNTY_TAL" and

"COMBINE_TOTAL_QNTY" will contain the entries in combination order book from both regular

and after-hour trading period.

Value of "BLOCK_TRADE_QNTY" field will contain block trade volume from both regular and

after-hour trading period.


Note:

1. For the product whose delivery date is the same as its expiry date, settlement price will be

transmitted with a value of "0" on the day of expiration. Upon receiving this message,

vendors should disclose the daily settlement price for expired contract as blank.

2. If the product’s last trading time ends in After Hour session, daily settlement price and O.I. of

the product mentioned previously will included by I072 in the next Regular Session. But if the

next regular session is on delivery day, the product mentioned previously won’t be included

in I072.

About opening price in I070, I071, and I072

(1) When the orders are matched on a aggregate auction basis, the opening price is the price

so matched, also the First-Match-Price in the product’s first I020 packet.

(2) When there is no aggregate auction, but continuous matching, the opening price is the

last match price in the session, which will fall on a certain price level in the first I020

packet of the product.

(3) When there is no aggregate auction, nor continuous matching, the opening reference

price is equal to the closing price; in such event, the opening prices of options are equal to

zero and equal to the closing prices.



11.

MESSAGE ID: I073

MESSAGE NAME: Combination product closing market data


HEADER


TRANSMISSION-CODE X(1) 1 "3": Futures

Closing market data

MESSAGE-KIND X(1) 1 "4": Combination product

market data

INFORMATION-TIME 9(12) 6 Data time (PACK BCD) hhmmssxxxx

xx


(PACK BCD)


BCD)

Current version: 1


BODY




(PACK BCD)

Refer to

Appendix 4



(PACK BCD)

Refer to

Appendix 4



Appendix 4



Appendix 4



Appendix 4



BCD)

Refer to

Appendix 4





BCD)

Refer to

Appendix 4



Appendix 4


(PACK BCD)




(PACK BCD)




trades (PACK BCD)


matched (PACK BCD)









Because the price of combination product can be 0, we can not use 0 to represent the NULL

value of price fields in I073. We use the special value -999999999 to represent the NULL value

of price fields in I073.

Example:

In some day if one combination product does not have any match data, it's DAY-HIGH-PRICE,

DAY-LOW-PRICE, OPEN-PRICE, CLOSE-PRICE will be represented by -999999999.






This format is used to display the closing market data on combination product. Only combination

product with trading activities in the day are displayed.



12.

MESSAGE ID: I080

MESSAGE NAME: Order book information


HEADER



Market data

MESSAGE-KIND X(1) 1 "2": Order book disclosure


x


(PACK BCD)


BCD)

Current version: 2


BODY


BUY-ORDER-BOOK OCCURS 5 50 Best five bid prices and

quantities (PACK BCD)


BUY-PRICE 9(9) 5 Best bid price (PACK BCD) Refer to

Appendix 4

BUY-QUANTITY 9(8) 4 Quantity at this bid price

(PACK BCD)

SELL-ORDER-BOOK OCCURS 5 50 Best five ask prices and



SELL-PRICE 9(9) 5 Best ask price (PACK BCD) Refer to

Appendix 4

SELL-QUANTITY 9(8) 4 Quantity at this ask price

(PACK BCD)

DERIVED-FLAG

9(2) 1 Flag for derived orders?

01: Read the following four

fields

00: The following four fields

are not present



FIRST-DERIVED-BUY-PRIC

E

9(9) 5 The first bid price for the

derived order

PACK BCD

Refer to

Appendix 4

FIRST-DERIVED-BUY-

QUANTITY

9(8) 4 Quantity at the first bid price

for the derived order

PACK BCD

FIRST-DERIVED-SELL-PRI

CE

9(9) 5 The first ask price for the

derived order

PACK BCD

Refer to

Appendix 4

FIRST-DERIVED-SELL-QU

ANTITY

9(8) 4 Quantity at the first ask price


PACK BCD









DERIVED-FLAG: The presence or absence of derived flag indicates whether there are derived

orders, but only the best buy (bid) and sell (ask) prices and quantities are displayed.

01: Read the following four fields 00: The following four fields are not present

The presentation form of market price is canceled.




13.

MESSAGE ID: I100

MESSAGE NAME: Quote request


HEADER



Market data

MESSAGE-KIND X(1) 1 "4": Request for quote data


x


(PACK BCD)


BCD)

Current version : 2


BODY


DISCLOSURE-TIME 9(12) 6 Request disclosure time

PACK BCD

hhmmssxxxxx

x

DURATION-TIME

9(3) 2 Request duration (SSS

(seconds))

PACK BCD








14.

MESSAGE ID: I120

MESSAGE NAME: Reference of stock options/futures and underlying stock


HEADER


TRANSMISSION-CODE X(1) 1 "1": Market data of futures "4": Market data of options

MESSAGE-KIND X(1) 1 "6": Information of underlying

INFORMATION-TIME 9(12) 6 Data time hhmmssxxxxxx

INFORMATION-SEQ 9(8) 4 Serial No. of I120

message ( PACK BCD)

VERSION-NO 9(2) 1 Message version No.

(PACK BCD)

Current version : 1

BODY-LENGTH 9(4) 2 Body length (PACK

BCD)

BODY

INDEX-KIND X(3) 3 Ticker symbol of stock options

INDEX-NUMBER X(6) 6 Stock code

INDEX-VALUE 9(5)V999 4 Reference opening price of underlying (PACK BCD)

INDEX-STATUS X(1) 1 Status code (P/N)






Example: TSMC INDEX-KIND=AAO INDEX-NUMBER=2330



15.

MESSAGE ID: I130

MESSAGE NAME: Stock options/futures contract adjustment


HEADER


TRANSMISSION-CODE

X(1) 1 "1": Futures "4": Options

MESSAGE-KIND X(1) 1 "7": Stock options/futures contract adjustment


INFORMATION-SEQ 9(8) 4 Serial No. of I130

message(PACK BCD)


BCD)

Current version : 2


BODY

CADJ_BASE_DATE 9(8) 4 Contract adjustment base date (PACK BCD)

CADJ_BF_KIND_ID X(4) 4 Before-adjustment contract

symbol

CADJ_BF_STOCK_ID X(6) 6 Before-adjustment underlying

1 - stock ID

CADJ_BF_STOCK_Q

NTY 9(6)V9999 5

Before-adjustment

underlying1- number of shares

(PACK BCD)

CADJ_BF_STOCK_CA

SH2 9(8)V99 5

Before-adjustment underlying

2 - cash (PACK BCD)

CADJ_BF_STOCK_CA

SH3 9(6)V9999 5


3 - cash capital increase value

(PACK BCD)

CADJ_BF_STOCK_ID

4 X(6) 6


4 - stock ID

CADJ_BF_STOCK_Q

NTY4 9(6)V9999 5


4- number of shares (PACK

BCD)

CADJ_AF_KIND_ID X(4) 4 After-adjustment contract

symbol



CADJ_AF_STOCK_ID X(6) 6 After-adjustment underlying 1

- stock ID

CADJ_AF_STOCK_Q

NTY 9(6)V9999 5

After-adjustment underlying 1

- change in number of shares

(PACK BCD)

CADJ_AF_STOCK_CA

SH2 9(8)V99 5


- cash (PACK BCD)

CADJ_AF_STOCK_PR

ICE3 9(6)V9999 5


- subscription price (PACK BCD)

CADJ_AF_STOCK_Q

NTY3 9(6)V9999 5


- number of shares subscribed

(PACK BCD)

CADJ_AF_STOCK_DA

TE3 9(8) 4

Payment deadline for cash

capital increase (PACK BCD)

CADJ_AF_STOCK_ID

4 X(6) 6


-stock ID

CADJ_AF_STOCK_Q

NTY4 9(6)V9999 5


- change in number of shares

(PACK BCD)

CADJ_DIVIDEND_DA

TE 9(8) 4

Ex-right/ex-dividend date

(PACK BCD)


TERMINAL-CODE X(2) 2 (HEXACODE : 0D 0A) INFORMATION-SEQ: The serial number of I130 message sent, which is assigned based on market



CADJ_AF_STOCK_QNTY：The format of this field is 9(6)V9999, where the figure at farthest left is

used to express positive or negative sign; 0 means positive, and 1 means negative.

Example：

(1) CADJ_AF_STOCK_QNTY = 105400.1234 means capital decrease of 5400.1234 shares. If

expressed in PACD BCD format after compression, it is 0X100X540X000X120X34.

(2) CADJ_AF_STOCK_QNTY = 005400.1234 means capital increase of 5400.1234 shares. If

expressed in PACD BCD format after compression, it is 0X000X540X00X120X34.



16.

MESSAGE ID: I140

MESSAGE NAME: System message

HEADER



TRANSMISSION-CODE X(1) 1 "2": Futures "5":Options

MESSAGE-KIND X(1) 1 "3": System message



(PACK BCD)

VERSION-NO 9(2) 1 Message version No. PACK BCD

Current version : 4


BODY

FUNCTION-CODE 9(4) 2 Function code (PACK BCD)

Subsequent fields derived according to different FUNCTION-CODE



Circuit Breaker: Expansion of Price Limit Range

1. FUNCTION-CODE = 100

This message will be sent when the circuit breaker condition is met and will expand price limit

range.

BODY

FUNCTION-CODE 9(4) 2 100: circuit breaker condition is met will expand price limit range PACK BCD

LIST-TYPE 9(2) 1 Type of ID list PACK BCD



LEVEL 9(2) 1 The price limit range level which will expand to PACK BCD

EXPAND-TYPE 9(2) 1 Type of price limit expansion PACK BCD

COUNT 9(2) 1 Number of contracts PACK BCD

ID-LIST OCCURS 0-99

0-297 0-990

PDK-KIND-ID or PROD-ID-S

X(3) or

X(10)

3 or 10

Contract ID or Product ID

Field description:

(1) LIST-TYPE

Use this field to identify which kind of ID-LIST field to use.

2: PDK-KIND-ID

3: PROD-ID-S

(2) LEVEL

The price limit range level which will expand to

For example, TJF has 3 price limit range level: 8%, 12%, 16%. When price limit range will

expand to 12% then LEVEL = 2. When price limit range will expand to 16% then LEVEL

= 3.

(3) EXPAND-TYPE

1: Only expand on raise price limit

2: Only expand on fall price limit

3: expand on both raise and fall price limit

(4) COUNT

How many IDs in ID-LIST. Each message has at most 99 IDs, so if there are more than 99

IDs, the system will send multiple I140 messages.

(5) ID-LIST

This is a repeating group field, please parse each ID according to COUNT value.

If LIST-TYPE = 2, parse as PDK-KIND-ID

If LIST-TYPE = 3, parse as PROD-ID-S


This message will be sent when the price limit range is expanded.

BODY

FUNCTION-CODE 9(4) 2 PACK BCD 101: Price limit range expanded




LEVEL 9(2) 1 Expanded price limit range level PACK BCD

EXPAND-TYPE 9(2) 1 Type of price limit expansion PACK BCD

COUNT 9(2) 1 Number of contracts PACK BCD

ID-LIST OCCURS 0-99

0-297 0-990


X(3) or

X(10)

3 or 10


Field description:

(1) LIST-TYPE

Use this field to identify which kind of BREAK-ID-LIST field to use.

2: PDK-KIND-ID

3: PROD-ID-S

(2) LEVEL

Indicate which level of price limit range is expanded to.

For example, TJF has 3 price limit range level: 8%, 12%, 16%. When price limit range

expands to 12% then LEVEL = 2. When price limit range expands to 16% then LEVEL =

3.

(3) EXPAND-TYPE

1: Only expand on raise price limit

2: Only expand on fall price limit

3: expand on both raise and fall price limit

(4) COUNT

How many IDs in ID-LIST. Each message has at most 99 IDs, so if there are more than 99

IDs, the system will send multiple I140 messages.

(5) ID-LIST




3. Example

Ex 1：

TJF nearest month contract traded price touch level 1 (8%) limit at 10:00:00, and the price

limit range expand to level 2 (12%) at 10:10:00. Messages will be transmitted like below:

Time FUNCTION-CODE LIST-TYPE LEVEL EXPAND-TYPE COUNT PDK_KIND_ID



10:00:00 100 2 2 3 1 TJF

10:10:00 101 2 2 3 1 TJF

Ex 2：

TJF nearest month contract traded price touch level 2 (12%) limit at 11:00:00, and the price

limit range expand to level 3 (16%) at 11:10:00. Messages will be transmitted like below:


11:00:00 100 2 3 3 1 TJF

11:10:00 101 2 3 3 1 TJF

Ex 3：

Some contract's price limit range is expanded during after-hour trading period, and the price

limit range state will continue at the same level when start of following regular trading period.

For example UDF contract's price limit range expanded to level 2 during after-hour trading

period. At following regular trading period, system will send I140 FUNCTION-CODE:101 message

repeatedly before market open. I140 message will be transmitted like below:


07:00:00 101 2 2 3 1 UDF

Message will be sent repeatedly until 8:30.

Trading Suspend

Trading suspension and resumption will be announced by bulletin or I140 message if

possible.

In case a message cannot be sent by bulletin or I140 during a system breakdown, TAIFEX will

make an announcement via the transmission media specified in "TAIFEX Measure for Interruption

of Data Transmission".

I140 message will be sent in the cases of:

TAIFEX trading system failure

Taiwan security market trading halt, TAIFEX related products also halt.

The product closed early due to TAIFEX trading system failure

Trading halt because of material information disclosure of TWSE listed securities.

After-hours product definition data is not ready.




Announcement of contracts with trading suspended

BODY

FUNCTION-CODE 9(4) 2 200: Trading suspended PACK BCD


REASON 9(2) 1 Reason of trading suspended PACK BCD

BREAK-TIME 9(6) 3 Time of trading suspended PACK BCD

HHMMSS

BREAK-COUNT 9(2) 1 Number of contracts with trading suspended PACK BCD

BREAK-ID-LIST OCCURS 0-99

0-297 0-990


X(3) or

X(10)

3 or 10


Field description:

(1) LIST-TYPE

Use this field to identify which kind of BREAK-ID-LIST field to use.

2: PDK-KIND-ID

3: PROD-ID-S

(2) REASON

1：TAIFEX trading system failure

2：Taiwan security market trading halt, or the product closed early due to TAIFEX trading

system failure.

3：Trading halt because of material information disclosure of TWSE listed securities

4: After-hours product definition data is not ready

(3) BREAK-TIME

Time of trading suspended.

(4) BREAK-COUNT

How many IDs in BREAK-ID-LIST. Each message has at most 99 IDs, so if there are more

than 99 IDs, the system will send multiple I140 messages.

(5) BREAK-ID-LIST

This is a repeating group field, please parse each ID according to BREAK-COUNT value.






Announcement of contracts with trading resumed

BODY

FUNCTION-CODE 9(4) 2 201: Trading resumption PACK BCD


REASON 9(2) 1 Reason of trading suspended PACK BCD

START-TIME 9(6) 3 Time to start accepting orders PACK BCD

HHMMSS

REOPEN-TIME 9(6) 3 Time for market reopen PACK BCD

HHMMSS

RESUME-COUNT 9(2) 1 Number of contracts with trading resumed PACK BCD

RESUME-ID-LIST OCCURS 0-99

0-297 0-990


X(3) or

X(10)

3 or 10


Field description:

(1) LIST-TYPE

Use this field to identify which kind of RESUM-ID-LIST field to use.

2: PDK-KIND-ID

3: PROD-ID-S

(2) REASON



system failure.


99：Announcement to resume trading contract which was halted the previous day


(3) START-TIME

Time to start accepting orders.

(4) REOPEN-TIME

Time of market reopen.

(5) RESUME-COUNT

How many IDs in RESUME -ID-LIST. Each message has at most 99 IDs, so if there are

more than 99 IDs, the system will send multiple I140 messages.

(6) RESUME-ID-LIST



This is a repeating group field, please parse each ID according to RESUME-COUNT value.



If a contract was halted the previous day and today will resume trading, TAIFEX will only send

I140 message FUNCTION-CODE = 201 for announcement.

Market Status Notification

For flow group status change notification.

For contracts or products status change notification, like trading suspension.

FUNCTION-CODE status

302 Start to receive order

304 Open

305 Non-cancel Period

306 Close / Not resume trading any more

1. Format for flow group status change

BODY

FUNCTION-CODE 9(4) 2 302 304 305 306 PACK BCD


1

REASON 9(2) 1 REASON PACK BCD

0

FLOW-GROUP 9(2) 1 Flow group PACK BCD

Field description:

(1) LIST-TYPE

Use this field to identify FLOW-GROUP field to use below.

1: Flow group

(2)REASON

0：Normal

(3) FLOW-GROUP

Flow group number. Check I010 for flow group definition.



2. Format for contract status change

BODY

FUNCTION-CODE 9(4) 2 302 304 305 PACK BCD


2

REASON 9(2) 1 Reason PACK BCD

PDK-COUNT 9(2) 1 Number of contracts PACK BCD

PDK-KIND-ID-LIST OCCURS 0-99

0-297

PDK-KIND-ID X(3) 3 Contract ID

Field description:

(1) LIST-TYPE

Use this field to identify PDK-KIND-ID field to use below.

2: PDK-KIND-ID

(2) REASON



system failure.



(3) PDK-COUNT

How many IDs in PDK-KIND-ID-LIST. Each message has at most 99 IDs, so if there are

more than 99 IDs, the system will send multiple I140 messages.

(4) PDK-KIND-ID-LIST

This is a repeating group field, please parse each ID according to PDK-KIND-ID-COUNT

value.

LIST-TYPE = 2, parse as PDK-KIND-ID

3. Format for product status change

BODY

FUNCTION-CODE 9(4) 2 302 304 305 PACK BCD




2

REASON 9(2) 1 Reason PACK BCD

PROD-COUNT 9(2) 1 Number of products PACK BCD

PROD-ID-S-LIST OCCURS 0-99

0-990


Field description:

(1) LIST-TYPE

Use this field to identify PROD-ID-S field to use below.

3: PROD-ID-S

(2) REASON



system failure.



(3) PROD-COUNT

How many IDs in PROD-ID-S-LIST. Each message has at most 99 IDs, so if there are more

than 99 IDs, the system will send multiple I140 messages.

(4) PDK-ID-S-LIST

This is a repeating group field, please parse each ID according to PROD-COUNT value.

LIST-TYPE = 3, parse as PROD-ID-S.

4. Processing rule

When a contract is suspended for trading (receive I140:200), it will not resume trading until

receiving a resume trading announcement (I140:201).

If during suspension period the flow group of the contract is closed or not resume trading any

more (I140:306):

(1) If all months/series of the contract are closed or not resume trading any more, then TAIFEX

trading system will not send I140:201 message, and the status of the contract will be

closed.

(2) If some months/series of the contract are not closed or not resume trading any more, then

TAIFEX will still send I140:201 message, but client should note that those closed

months/series' status are still closed.

5. Example



Ex 1：

A. Suspension period does not cross any flow group close status

Take TXF contract for example: TAIFEX trade suspends at 9:30:00, resumes trading at

10:00:00, starts to receive orders at 10:15:00, and reopens at 10:30:00. Messages will be

transmitted like below:

Time FUNCTION-CODE LIST-TYPE REASON BREAK-TIME START-TIME REOPEN-TIME Contract

09:30:00 200 2 1 093000 N/A N/A TXF

10:00:00 201 2 1 N/A 101500 103000 TXF

10:15:00 302 2 1 N/A N/A N/A TXF

10:28:00 305 2 1 N/A N/A N/A TXF

10:30:00 304 2 1 N/A N/A N/A TXF

B. Suspension period cross the flow group close status, and some months/series of the

contract are closed

Take RTF contract for example: TAIFEX trade suspends at 10:00:00, resumes trading at

10:40:00, starts to receive orders at 10:50:00, reopens at 11:05:00. If the day is RTF last trading

day, flow group 4 close time is 11:00. Because order receiving time period is not enough for 25

minutes until close time, products of flow group 4 will not resume trading. But some months of

RTF contracts are still trading to 16:15, so TAIFEX system will send I140:201 resume message for

RTF. Messages will be transmitted like below:

Time FUNCTION-CODE LIST-TYPE REASON BREAK-TIME START-TIME REOPEN-TIME flow grp/

contract

10:00:00 200 2 1 100000 N/A N/A RTF

10:40:00 306 1 0 N/A N/A N/A flow grp 4

10:40:00 201 2 1 N/A 105000 110500 RTF

10:50:00 302 2 1 N/A N/A N/A RTF

11:03:00 305 2 1 N/A N/A N/A RTF

11:05:00 304 2 1 N/A N/A N/A RTF

Status for each month of RTF should be:

Product ID Flow Grp Status

RTFI5 4 Close

RTFJ5 5 Resume trading

RTFL5 5 Resume trading

RTFC6 5 Resume trading



RTFF6 5 Resume trading

RTFI6 5 Resume trading

C. Suspension period cross the flow group close status, and all months/series of the

contract are closed

Take futures contract for example: TAIFEX trade suspends at 14:00:00, resumes trading at

14:30:00, starts to receive orders at 14:45:00, and reopens at 15:00:00. Since products of flow

group 1,2,3,4 have closed at 13:45, TAIFEX system will not send resume trading message for

these contracts. And will only send resume trading message for flow group 5,6 contracts.

Messages will be transmitted like below:


contract

11:00:00 306 1 0 N/A N/A N/A flow grp 4

12:00:00 306 1 0 N/A N/A N/A flow grp 2

13:30:00 306 1 0 N/A N/A N/A flow grp 3

13:45:00 306 1 0 N/A N/A N/A flow grp 1

14:00:00 200 2 1 140000 N/A N/A contracts of

flow grp 5,6

14:30:00 201 2 1 N/A 144500 150000 contracts of

flow grp 5,6

14:45:00 302 2 1 N/A N/A N/A contracts of

flow grp 5,6


flow grp 5,6


flow grp 5,6

16:15:00 306 1 0 N/A N/A N/A flow grp 5,6

Ex 2: (Taiwan security market trading halt, or the product closed early due to TAIFEX trading

system failure.)

Before Futures market open,if Taiwan security market trading halt, related futures/options

contracts will also suspend trading.

If Taiwan security market trading halts at 08:40:00, TAIFEX will also suspend trading, resume

trading at 09:55:00, start to receive orders at 10:00:00, and reopen at 10:15:00. Messages will be

transmitted like below:




contract

08:30:00 302 1 0 N/A N/A N/A flow grp

1,2,3,4,5

08:40:00 200 2 2 084000 N/A N/A contracts with

underlying is

Taiwan security

08:43:00 305 1 0 N/A N/A N/A flow grp

1,2,3,4,5

08:45:00 304 1 0 N/A N/A N/A flow grp

1,2,3,4,5

09:55:00 201 2 2 N/A 100000 101500 contracts with

underlying is

Taiwan security

10:00:00 302 2 2 N/A N/A N/A contracts with

underlying is

Taiwan security


underlying is

Taiwan security


underlying is

Taiwan security

Ex 3: (Trading halt because of material information disclosure of TWSE listed securities)

A. Notified before market open. Resume trading next day.

If TAIFEX receive notification at 08:00:00 from TWSE that Taiwan Semiconductor

Manufacturing Company (2330) will halt trading today because of material information disclosure.

TAIFEX will announce trading suspension for Taiwan Semiconductor Manufacturing Company

stock futures (CDF). Messages will be transmitted like below:

Day 1


08:00:00 200 2 3 083000 N/A N/A CDF

Even flow group 1 start to receive order at 08:30, CDF contracts still halt all day.

Day 2




08:00:00 201 2 99 N/A 083000 084500 CDF

On the next day, CDF will resume trading, TAIFEX will send I140 FUNCTION-CODE = 201,

REASON=99 to announce.

B. Notified during trading hour. Resume trading next day.

If TAIFEX receive notification at 10:00:00 from TWSE that Taiwan Semiconductor

Manufacturing Company (2330) will halt trading because of material information disclosure.

TAIFEX will announce trading suspension for Taiwan Semiconductor Manufacturing Company

stock futures (CDF). Messages will be transmitted like below:

Day 1


contract

08:30:00 302 1 0 N/A N/A N/A flow grp

1,2,3,4,5

08:43:00 305 1 0 N/A N/A N/A flow grp

1,2,3,4,5

08:45:00 305 1 0 N/A N/A N/A flow grp

1,2,3,4,5

10:00:00 200 2 3 100000 N/A N/A CDF

Day 2


08:00:00 201 2 99 N/A 083000 084500 CDF

On the next day, CDF will resume trading, TAIFEX will send I140 FUNCTION-CODE = 201,

REASON=99 to announce.

Ex 4: (After-hours product definition data is not ready)

For after-hour trading session, if some product definition data is not ready, related

futures/options contracts will suspend trading. And resume trading when data is ready.

Take TXF contract for example,

1. At 14:35:00 Announce trading suspend of TXF contract due to some price data is not

ready.

2. At 15:05:00 The price data of TXF is confirmed so resume trading.

I140 Messages will be transmitted like below:


contract



14:35:00 200 2 4 143500 N/A N/A TXF

14:50:00 302 1 0 N/A N/A N/A flow grp

10

14:58:00 305 1 0 N/A N/A N/A flow grp

10

15:00:00 304 1 0 N/A N/A N/A flow grp

10

15:05:00 201 2 4 N/A 152000 153000 TXF

15:20:00 302 2 4 N/A N/A N/A TXF

15:28:00 305 2 4 N/A N/A N/A TXF

15:30:00 304 2 4 N/A N/A N/A TXF

Dynamic Price Banding Mechanism

For dynamic price banding status change notification.

The dynamic price banding FUNCTION-CODE and STATUS are listed below:

FUNCTION-CODE STATUS

400 Dynamic price banding suspension notification

401 Dynamic price banding resumption notification

402 Dynamic price banding expansion notification

403 Dynamic price banding suspension preliminary notification

404 Dynamic price banding resumption preliminary notification

405 Dynamic price banding expansion preliminary notification



FUNCTION-CODE = 400

FUNCTION-CODE = 403

Announce when dynamic price banding suspension.

BODY

FUNCTION-CODE 9(4) 2 PACK BCD

400: Dynamic price banding

suspension notification

403: Dynamic price banding

suspension preliminary notification

LIST-

TYPE

9(2) 1 PACK BCD

Type of ID-LIST

TIME 9(6) 3 PACK BCD

Suspension time

HHMMSS

COUNT 9(2) 1 PACK BCD

Count of ID-LIST

ID-LIST OCCURS

0-99

0-297

0-1980

PDK-KIND-ID

or

PROD-ID

X(3)

or

X(20)

3

or

20

Contract ID or product ID

Field description：

(1) LIST-TYPE：

Indicate how to parse the content of ID-LIST.

0: All product

2: PDK-KIND-ID

3: PROD-ID

(2) TIME：

Dynamic price banding suspension time.

(3) COUNT：

Indicate the count of ID-LIST. Each message has at most 99 IDs. It will be divided to

multiple messages if more than 99 IDs. When LIST-TYPE = 0, IDs will be 0.

(4) ID-LIST：


LIST-TYPE = 0, ID-LIST field will be empty


LIST-TYPE = 3, parse as PROD-ID



FUNCTION-CODE = 401

FUNCTION-CODE = 404

Announce at dynamic price banding resumption

BODY


401：Dynamic price banding

resumption notification

404 : Dynamic price banding

resumption preliminary notification

LIST-TYPE 9(2) 1 PACK BCD

Type of ID-LIST


resumption time

HHMMSS


Count of ID-LIST

ID-LIST OCCURS

0-99

0-297

0-1980

PDK-KIND-ID

or

PROD-ID

X(3)

or

X(20)

3

or

20



(1) LIST-TYPE：


0: All product

2: PDK-KIND-ID

3: PROD-ID

(2) TIME：

Dynamic price banding resumption time.

(3) COUNT：



(4) ID-LIST：


LIST-TYPE = 0, ID-LIST field will be empty





FUNCTION-CODE = 402

FUNCTION-CODE = 405

Announce at dynamic price banding expansion.

BODY


402：Dynamic price banding expansion

notification

405：Dynamic price banding expansion

preliminary notification

LIST-TYPE 9(2) 1 PACK BCD

Type of ID-LIST


Expansion time

HHMMSS

RANGE 9(2) 1 PACK BCD

Multiplier of dynamic price banding

expansion range


Count of ID-LIST

ID-LIST OCCURS

0-99

0-297

0-1980

PDK-KIND-ID

or

PROD-ID

X(3)

or

X(20)

3

or

20



(1) LIST-TYPE：


2：PDK-KIND-ID

3：PROD-ID

(2) TIME：

Dynamic price banding expansion time.

(3) RANGE：

The multiplier of dynamic price banding expansion range

(4)COUNT：



(5) ID-LIST：






Message example ：

CASE DESCRIPTION

A Dynamic price banding suspension preliminary notification

announced before opening and suspended at opening (PDK)

B Suspend dynamic price banding and resume after opening (PDK)

C Suspend dynamic price banding and resume after opening (PROD).

D Suspend dynamic price banding and resume after opening (ALL

PRODUCT)

E Dynamic price banding expansion preliminary notification before

opening and expand at opening (PDK)

F Expand dynamic price banding range after opening (PDK)

A. Dynamic price banding suspension preliminary notification before opening and

suspend at opening (PDK)

Assuming that TAIFEX announce the dynamic price banding suspension preliminary

notification of TXF at 08:20:00, and suspend dynamic price banding of TXF at 08:45:00.

Message will be transmitted as below:

Time(Real) FUNCTION-

CODE

LIST-TYPE REASON TIME flow grp/contract

08:20:00 403 2 N/A 084500 TXF

08:30:00 302 1 0 N/A flow grp 1,2,3,4,5

08:43:00 305 1 0 N/A flow grp 1,2,3,4,5

08:45:00 400 2 N/A 084500 TXF

08:45:00 304 1 0 N/A flow grp 1,2,3,4,5

B. Suspend dynamic price banding and resume after opening (PDK)

Assuming that TAIFEX announce the dynamic price banding suspension notification of TXF at

08:50:00, and resume dynamic price banding of TXF at 09:00:00. Message will be

transmitted as below:


CODE


08:30:00 302 1 0 N/A flow grp 1,2,3,4,5

08:43:00 305 1 0 N/A flow grp 1,2,3,4,5

08:45:00 304 1 0 N/A flow grp 1,2,3,4,5

08:50:00 400 2 N/A 085000 TXF

09:00:00 401 2 N/A 090000 TXF



C. Suspend dynamic price banding and resume after opening (PROD)

Assuming that TAIFEX announce the dynamic price banding suspension notification of TXFI7

at 09:20:00, and resume dynamic price banding of TXFI7 at 09:30:00. Message will be

transmitted as below:


CODE


08:30:00 302 1 0 N/A flow grp 1,2,3,4,5

08:43:00 305 1 0 N/A flow grp 1,2,3,4,5

08:45:00 304 1 0 N/A flow grp 1,2,3,4,5

09:20:00 400 3 N/A 092000 TXFI7

09:30:00 401 3 N/A 093000 TXFI7

D. Suspend dynamic price banding and resume after opening (ALL PRODUCT)

Assuming that TAIFEX announce the dynamic price banding suspension notification (all

product) at 10:20:00, and resume dynamic price banding (all product) at 10:30:00. Message

will be transmitted as below:


CODE


08:30:00 302 1 0 N/A flow grp 1,2,3,4,5

08:43:00 305 1 0 N/A flow grp 1,2,3,4,5

08:45:00 304 1 0 N/A flow grp 1,2,3,4,5

10:20:00 400 0 N/A 102000 N/A

10:30:00 401 0 N/A 103000 N/A

E. Dynamic price banding expansion preliminary notification before opening and expand

at opening (PDK)

Assuming that TAIFEX announce dynamic price banding expansion preliminary notification at

08:20:00 for doubling the dynamic price banding range at 08:45:00, and dynamic price

banding range doubled at 08:45:00. Message will be transmitted as below:


CODE

LIST-TYPE REASON TIME RANGE flow grp/contract

08:20:00 405 2 N/A 084500 2 TXFMXF

08:30:00 302 1 0 N/A N/A flow grp 1,2,3,4,5



08:43:00 305 1 0 N/A N/A flow grp 1,2,3,4,5

08:45:00 402 2 N/A 084500 2 TXFMXF

08:45:00 304 1 0 N/A N/A flow grp 1,2,3,4,5

F. Dynamic price banding expended after opening (PDK)

Assuming that TAIFEX announce dynamic price banding expansion notification at 09:20:00

for doubling the dynamic price banding range. Message will be transmitted as below:


CODE

LIST-TYPE REASON TIME RANGE flow grp/contract

08:30:00 302 1 0 N/A N/A flow grp 1,2,3,4,5

08:43:00 305 1 0 N/A N/A flow grp 1,2,3,4,5

08:45:00 304 1 0 N/A N/A flow grp 1,2,3,4,5

09:20:00 402 2 N/A 092000 2 TXFMXF

Message Processing Principle:

The message processing principle illustrated by following situation.

A. Dynamic price banding suspension/resumption of all products. (List Type 0)

“Dynamic price banding suspension of all products” system message will be send when

dynamic price banding mechanism system failure. Once the system issue is resolved, the

“dynamic price banding resumption of all products” system message will be sent.

B. Dynamic price banding suspension/resumption of PDK. (List Type 2)

“Dynamic price banding suspension of PDK” system message will be send when qualitative

indicators reached. Once the issue is resolved, the “dynamic price banding resumption of

PDK” system message will be sent.

C. Dynamic price banding suspension/resumption of PROD. (List Type 3)

“Dynamic price banding suspension of PROD” system message will be send when the

system cannot calculate base price of this PROD. Once the issue is resolved, the “dynamic

price banding resumption of PROD” system message will be sent.

Each suspension should be treat as individual case. The dynamic price banding mechanism for

the PROD/PDK will return to normal only if all the abnormal reasons back to resumption status.

for example:



A. Assuming that TAIFEX announce a dynamic price banding suspension notification of all

products after announced a dynamic price banding mechanism suspension notification

of TXF as following table. The dynamic price banding mechanism of TXF only return to

normal when both resumption notifications of all products and resumption of TXF are

satisfied. In other words, the dynamic price banding mechanism of TXF still suspend

after 09:35:30.

TIME FUNCTION-CODE CONTRACT LIST TYPE

DESCRIPTION TXFA8(PROD) TXF(PDK) All

PRODUCTS

084500 400 TXF 2 Dynamic price banding suspension notification of TXF

Suspend (Due to TXF)


093515 400 ALL PRODUCTS

0 Dynamic price banding suspension notification of all products

Suspend (Due to TXF and ALL PRODUCTS)

Suspend (Due to TXF and ALL PRODUCTS)

Suspend (Due to ALL PRODUCTS)


0 Dynamic price banding resumption notification of all products



B. Assuming that TAIFEX announce a dynamic price banding suspension notification of

TXFA8 after announced a dynamic price banding mechanism suspension notification of

TXF as following table. The dynamic price banding mechanism of TXFA8 only return to

normal when both resumption notifications of TXF and resumption of TXFA8 are

satisfied. In other words, the dynamic price banding mechanism of TXF still suspend

after 09:45:25.


DESCRIPTION TXFA8(PROD) TXF(PDK) All

PRODUCTS




093515 400 TXFA8 3 Dynamic price banding suspension notification of TXFA8

Suspend(Due to TXFA8 and TXF)


094525 401 TXFA8 3 Dynamic price banding resumption notification of TXFA8



C. Assuming that TAIFEX announce a dynamic price banding suspension notification of all

products after announced a dynamic price banding mechanism suspension notification

of TXFA8 as following table. The dynamic price banding mechanism of TXFA8 only return

to normal when both resumption notifications of all products and resumption of TXFA8

are satisfied. In other words, the dynamic price banding mechanism of TXFA8 still

suspend after 09:50:16.


DESCRIPTION TXFA8(PROD) TXF(PDK) ALL

PRODUCTS

093005 400 TXFA8 3 Dynamic price banding Suspend



suspension notification of TXFA8

(Due to TXFA8)



Suspend (Due to TXFA8 and ALL PRODUCTS)




Suspend (Due to All PRODUCTS)



D. Assuming that Taifex announce dynamic price banding mechanism of TXF(PDK)

suspension notification at 08:45:00, announce a dynamic price banding mechanism of

TXFA8(PROD) suspension notification at 09:01:00 and announce a dynamic price

banding mechanism of all products suspension notification at 09:12:05.

The dynamic price banding mechanism of TXFA8(PROD) is back to normal, then Taifex

announce the dynamic price banding resumption notification at 09:32:05. But the

dynamic price banding mechanism of TXFA8(PROD) is still suspending until Taifex

announce the dynamic price banding mechanism of TXF resumption notification and the

dynamic price banding mechanism for all products resumption notification.

The dynamic price banding mechanism for all products is back to normal, then Taifex

announce a dynamic price banding mechanism of all products resumption notification at

09:38:26. But the dynamic price banding mechanism of TXF(PDK) is still suspending until

Taifex announce the dynamic price banding mechanism of TXF(PDK) resumption

notification.


DESCRIPTION TXFA8(PROD)

TXF(PDK) All PRODUCTS




090100 400 TXFA8 3 Dynamic price banding suspension notification of TXFA8

Suspend (Due to TXF and TXFA8)




Suspend (Due to TXF, TXFA8 and All PRODUCTS)

Suspend (Due to TXF and All PRODUSCTS)



Suspend (Due to TXF and all PRODUCTS)

Suspend (Due to TXF and All PRODUSCTS)

Suspend (ALL PRODUCTS)


0 Dynamic price banding resumption notification of all products





17.

MESSAGE ID：I011

MESSAGE NAME：Contract basic data


HEADER



MESSAGE-KIND X(1) 1 "3": Contract basic data



(PACK BCD)


BCD)

Current version:4


BODY

KIND-ID X(4) 4 Contract ID

NAME X(30) 30 Contract name contract's

Chinese name

STOCK-ID X(6) 6 Underlying stock ID Only for stock

type

SUBTYPE X(1) 1 Contract type

CONTRACT-SIZE 9(7)V9(4) 6 Contract size

(PACK BCD)

STATUS-CODE X(1) 1 Status code N: Normal P: Pause U:Unlisted

CURRENCY-TYPE X(1) 1 Currency

DECIMAL-LOCATOR 9(1) 1 Decimals of strike price

(PACK BCD)

same as I010

DECIMAL-LOCAT

OR

STRIKE-PRICE-DECIMAL-L

OCATOR

9(1) 1 Decimals of strike price

(PACK BCD)

ONLY valid on

non-stock type

options. For

stock type

options , please

refer to I010

STRIKE-PRICE-D

ECIMAL-LOCAT



OR.

(Always 0 for

futures )

ACCEPT-QUOTE-FLAG X(1) 1 Quote acceptable? Y: Yes

N: No

BEGIN-DATE X(8) 8 List date Format:

YYYYMMDD

Only for stock

type

BLOCK-TRADE-FLAG X(1) 1 Can block trade? Y: Yes

N: No

EXPIRY-TYPE X(1) 1 Contract expiry type S: standard

W: weekly

UNDERLYING-TYPE X(1) 1 Underlying type E:ETF

S:single stock

Only for stock

type

MARKET-CLOSE-GROUP 9(2) 1 Market close group

(PACK BCD)

END-SESSION X(1) 1 End in which session? 0: Regular

1: After-hour

CHECK-SUM X(1) 1 checksum


Description:

1. I011include listed and unlisted contracts.

2.STOCK-ID and BEGIN-DATE only for stock type contract.

Field description:



SUBTYPE:

I:Index R:Interest rate B:Bond C:Commodity S:Stock E:Currency

STATUS-CODE:

N：Normal

P：Pause

U：Unlisted(Only for stock futures)



CURRENCY-TYPE:

Possible value and ( ISO 4217 Currency Code ) it stands for

1 (TWD), 2 (USD), 3 (EUR), 4 (JPY), 5 (GBP), 6 (AUD), 7 (HKD), 8 (CNY)

DECIMAL-LOCATOR: Read the product price in related field based on the number of decimal

digits provided in this field. For detailed description and example, please refer to Appendix 4.

STRIKE-PRICE-DECIMAL-LOCATOR: Parse the 5-digit strike price for options expressed by

PROD-ID based on the number of decimal digits provided in this field. For detailed description

and example, please refer to Appendix 5. This field is ONLY valid on non-stock type options. For

stock type options, please refer to I010 STRIKE-PRICE-DECIMAL-LOCATOR.

MARKET-CLOSE-GROUP definition：

MARKET-CLOSE-GROUP close time

1 13:45

5 16:15

7 18:15

10 5:00 next day

END-SESSION：Which trading session is the Last Trading Time end in? 0: Regular, 1: After-hour




18.

MESSAGE ID：B020

MESSAGE NAME：Combine product block trade match data

HEADER



TRANSMISSION-CODE X(1) 1 "7"

MESSAGE-KIND X(1) 1 "1"


INFORMATION-SEQ 9(8) 4 Serial No. of B020 message

(PACK BCD)


BCD)

Current version : 2


BODY

DISPALY-ID 9(8) 4 Display ID (PACK BCD)


hhmmssxxxxx

x

LEG-COUNT 9(2) 1 Number of legs below (PACK BCD)

Following data group repeat LEG-COUNT times

Rep

eat



MATCH-QNTY 9(8) 4 Match quantity (PACK BCD)

CHECK-SUM X(1) 1 Checksum


One combine product block trade order could have from 2 to 10 legs. B020 will disclose the

combine product block trade match information.

DISPLAY-ID：TAIFEX generated ID which is used to identify one match data. The same DISPLAY-ID

means same match data, please filter out duplicate DISPALAY-ID messages.

LEG-COUNT：Indicate how many legs in this combine product match data. Following data group



will repeat LEG-COUNT times.



19.

MESSAGE ID：B080

MESSAGE NAME：Combine product block trade order book data

HEADER







(PACK BCD)


BCD)

Current version : 1


BODY DISPALY-ID 9(8) 4 Display ID (PACK BCD)

PACKET-SEQ 9(2) 1 Packet sequence number (PACK BCD)

LAST-PACKET X(1) 1 Is last packet? 'Y': Yes 'N':No

ORDER-COUNT 9(2) 1 Number of orders below (PACK BCD)

This data block will contain ORDER-COUNT order data. Each order data is variable length and its format is defined below.


TERMINAL-CODE X(2) 2 (HEXACODE : 0D 0A)’

order data's format:

BODY

DATA-LENGTH 9(4) 2 length of this order data (PACK BCD)

NUMBER 9(2) 1 sequence number in order book (PACK BCD)



Rep PROD-ID-S X(10) 10 Product ID



eat ORDER-PRICE 9(9) 5 Order price (PACK BCD) Refer to

Appendix 4

ORDER-QNTY 9(8) 4 Order quantity (PACK BCD)

BUY-SELL-CODE X(1) 1 Buy/Sell code 'B': Buy

'S': Sell

Description:

B080 disclose current orders in combine product block trade order book sequentially. One B080

packet contain ORDER-COUNT number of orders. If the total number of order in order book now

is greater than ORDER-COUNT which means one B080 packet can not disclose all of them, so we

use sequence of B080 packets with same DISPLAY-ID to disclose them. We use PACKET-SEQ field

to identify the packet sequence in the same DISPLAY-ID B080 data.

Field description:


means same match data, please filter out duplicate DISPALAY-ID

PACKET-SEQ：Identify the packet sequence number with the same DISPLAY-ID.

LAST-PACKET：Identify if this packet is the last with the same DISPLAY-ID.

ORDER-COUNT：How many order data is contained in this packet. Please use this value to parse

following data block.

DATA-LENGTH：Length of this order dats in bytes.

NUMBER：sequence number in order book.

LEG-COUNT：Indicate how many legs in this order data. Please use this value to parse following

data groups.

Example：

1. PACKET-SEQ = 1, LAST-PACKET = Y, ORDER-COUNT = 0 means empty order book.

2. Suppose there are 7 orders in combine product block trade order book. If one packet can

contain 6 order data. Beacuse total number of order in order book now is greater than 6, we

must use 2 packets in sequence to completely disclose the order book. These 2 packets will

have same DISPLAY-ID. In the first packet(PACKET-SEQ=1), LAST-PACKET will be 'N', and disclose

first 6 orders (NUMBER=1 to NUMBER=6). In the second packet(PACKET-SEQ=2), LAST-PACKET

will be 'Y', and disclose the 7th order (NUMBER=7).



20.

MESSAGE ID：B021

MESSAGE NAME：Negotiated block trade match data

HEADER







(PACK BCD)


BCD)

Current version : 2


BODY

DISPALY-ID 9(8) 4 Display ID (PACK BCD)


hhmmssxxxxx

x



Rep

eat



MATCH-QNTY 9(8) 4 Match quantity (PACK BCD)



One negotiated block trade match could have from 1 to 10 legs. B021 will disclose the combine

product block trade match information.


means same match data, please filter out duplicate DISPALAY-ID messages.

LEG-COUNT：Indicate how many legs in this combine product match data. Following data group



will repeat LEG-COUNT times.



21.

MESSAGE ID: I022

MESSAGE NAME: Calculated opening price and volume

HEADER



TRANSMISSION-CODE X(1) 1 "2": Futures. "5": Options.

MESSAGE-KIND X(1) 1 "7": Calculated opening price and volume


INFORMATION-SEQ 9(8) 4 Serial No. of I022 message (PACK

BCD)

VERSION-NO 9(2) 1 Message version No. (PACK BCD)

Current version: 2


BODY


MATCH-TIME 9(12) 6 Time of simulation matched (PACK BCD)

hhmmssxxxxxx


FIRST-MATCH-PRICE 9(9) 5 Calculated open price (PACK BCD)

Refer to Appendix 4

FIRST-MATCH-QNTY 9(8) 4 Calculated open volume (PACK BCD)

MATCH-DISPLAY-ITEM

X(1) 1 Notation to match data (BIT MAP)

128

MATCH-DATA OCCURS 0-127

0-1016 Price and quantity of matched trade



MATCH-QUANTITY

9(4) 2 Match quantity (PACK BCD)

MATCH-TOTAL-QTY 9(8) 4 Total match quantity (PACK BCD) 0

MATCH-BUY-CNT 9(8) 4 Total number of matched buy orders (PACK BCD)

0

MATCH-SELL-CNT 9(8) 4 Total number of matched sell orders (PACK BCD)

0



STATUS-CODE 9(2) 1 Status code PACK BCD 00: Normal 01 ~ 60; Duration of abnormal status (minutes) 98: Abnormal status removed 99: Abnormal status exceeding 60 minutes



If FIRST-MATCH-PRICE = 0 and FIRST-MATCH-QNTY = 0, means the rsult of call auction simulating

does not have match price.

Call auction simulation does not acumulate vloume, so MATCH-TOTAL-QTY, MATCH-BUY-CNT and

MATCH-SELL-CNT will be 0.

Notation to display items:

Use individual bit to indicate display item (expressed in binary value)

Bit 7 ＝ 1 means the first packet sent this time

0 means the continuation of the last packet

Bit 6-0 ＝ (range 0000000-1111111): number of match price and match quantity sent

The result of call auction simulation will only have 1 calculated price and volume, so

MATCH-DISPLAY-ITEM value will be 128 ( binary representation: 10000000).



22.

MESSAGE ID: I082

MESSAGE NAME: Reference best 5 bid/ask price and volume after calculated


HEADER



Market data

MESSAGE-KIND X(1) 1 "8": Reference best 5 bid/ask

price and volume after

calculated


x


(PACK BCD)


BCD)

Current version: 1


BODY


BUY-ORDER-BOOK OCCURS 5 50 Best five bid prices and



BUY-PRICE 9(9) 5 Best bid price (PACK BCD) Refer to

Appendix 4

BUY-QUANTITY 9(8) 4 Quantity at this bid price

(PACK BCD)

SELL-ORDER-BOOK OCCURS 5 50 Best five ask prices and



SELL-PRICE 9(9) 5 Best ask price (PACK BCD) Refer to

Appendix 4

SELL-QUANTITY 9(8) 4 Quantity at this ask price

(PACK BCD)



DERIVED-FLAG

9(2) 1 Flag for derived orders?

01: Read the following four

fields

00: The following four fields

are not present

00

FIRST-DERIVED-BUY-PRIC

E

9(9) 5 The first bid price for the

derived order

PACK BCD

Refer to

Appendix 4

FIRST-DERIVED-BUY-

QUANTITY

9(8) 4 Quantity at the first bid price


PACK BCD

FIRST-DERIVED-SELL-PRI

CE

9(9) 5 The first ask price for the

derived order

PACK BCD

Refer to

Appendix 4

FIRST-DERIVED-SELL-QU

ANTITY

9(8) 4 Quantity at the first ask price


PACK BCD



BUY-PRICE: Use special value 999999999 as a presentation form of buy(bid) at market price.

SELL-PRICE: Use special value -999999999 as a presentation form of sell(ask) at market price.

DERIVED-FLAG: The derived order is not exist during pre-opening session, so DERIVED-FLAG will

be 00.



23.

MESSAGE ID：I000

MESSAGE NAME：HeartBeat


HEADER






(PACK BCD)


BCD)

Current version: 1

BODY-LENGTH 9(4) 2 Body length (PACK BCD) 0



Description:

INFORMATION-SEQ：I000 sequence number is numbered by each multicast group.


TAIFEX trading system will sent out heartbeat message periodically on every multicast group

about every 30 seconds.



24.

MESSAGE ID: I064

MESSAGE NAME: Calculated opening and closing price for underlying stocks


HEADER



Market data

MESSAGE-KIND X(1) 1 "8": Calculated opening and

closing price for underlying

stocks



(PACK BCD)


BCD)

Current version : 2


BODY

KIND X(3) 3 stock symbol

TIME 9(12) 6 stock tally time (PACK BCD) hhmmssxxxxxx

VALUE 9(5)V999 4 price of underlying stocks

(PACK BCD)


(BIT MAP)






STATUS-ITEM：


Bit 2: delayed opening information of the underlying stock. 0:not delayed 1:delayed

Bit 1: delayed closing information of the underlying stock. 0:not delayed 1:delayed

Bit 0 = 0 reserved



Note:Only send calculated opening and closing price for underlying stocks of TAIFEX products.



MESSAGE ID: I065

MESSAGE NAME: Underlying index or stock data


HEADER


TRANSMISSION-CODE X(1) 1 "1": futures

Market data

MESSAGE-KIND X(1) 1 "9": Underlying index

information



(PACK BCD)


BCD)

Current version:1


BODY

KIND X(3) 3 Index or stock symbol


(BIT MAP)

Following fields depend on STATUS-ITEM

VALUE 9(7)V99999 6 Value

(PACK BCD)

TIME 9(12) 6 Time

(PACK BCD)

hhmmssxxxxxx

DATE X(8) 8 Date YYYYMMDD






STATUS-ITEM：Following fields depend on STATUS-ITEM


Bit 5: DATE data date 1:exist 0:not exist

Bit 4: TIME date time 1:exist 0: not exist zero value presents reference price

Bit 3: reserved



Bit 2: reserved

Bit 1: reserved

Bit 0: VALUE match price 1: exist 0: not exist

example：

STATUS-ITEM Bit values of 0、4 are 1,other values are 0,decode the follow data:

VALUE match price (Bit 0)

TIME date time (Bit 4)

Note: 1.send TOPIX and Nifty 50 underlying index.

2.seperated multicast group, need to apply for receiving data.



MESSAGE ID：I090

MESSAGE NAME：Indices compiled/co-compiled by TAIFEX and/or partners


HEADER



(Currently Only Options)

MESSAGE-KIND X(1) 1 "9": Indices compiled

/co-compiled by TAIFEX

and/or partners



(PACK BCD)


BCD)

Current version:1


BODY

INDEX-ID X(20) 20 Index ID

TIME 9(12) 6 Index time

PACK BCD

hhmmssxxxxxx

INDEX 9(10) 5 Index value

PACK BCD

DECIMAL-LOCATOR 9(2) 1 Number of decimal digits in

INDEX field

PACK BCD





INDEX-ID: Please refer to INDEX-ID list.

DECIMAL-LOCATOR: Read the Index in related field based on the number of decimal digits

provided in this field.




INDEX-ID list

INDEX-ID Begin Time Interval End Time Note

TAIWANVIX 09:00:00 1 min 13:45:00



D. Generation of Check-Sum From the 2nd byte up to the byte immediately prior to the check-sum field, the XOR values

of each bit of the byte are recorded to the check-sum field.

Take the example of MESSAGE ID I100:

FIELD NAME FORMAT LENG CONTENTS

HEADER


TRANSMISSION-CODE X(1) 1 "2": Futures market data

"5": Options market data

MESSAGE-KIND X(1) 1 "4": Quote request

INFORMATION-TIME 9(12) 6 Data time (PACK BCD)

INFORMATION-SEQ 9(8) 4 Serial No. of I100 message (PACK

BCD)

VERSION-NO 9(2) 1 Message version No. (PACK BCD)


BODY


DISCLOSURE-TIME

9(12) 6 Request disclosure time

(hhmmssxxxxxx)

PACK BCD

DURATION-TIME 9(3) 2 Request duration (SSS (seconds))

PACK BCD



TRANSMISSION-CODE ="5"

MESSAGE-KIND ="4"

INFORMATION-TIME ="0x090x010x000x580x000x00" (after PACK BCD compression)

INFORMATION-SEQ ="0x000x000x000x02" ( after PACK BCD compression)

VERSION-NO = "0x01" (after PACK BCD compression)

BODY-LENGTH = "0x000x33" (after PACK BCD compression)

PROD-ID-S ="TXO07900F9"

DISCLOSURE-TIME ="0x000x000x000x000x000x00"

DURATION-TIME ="0x000x01" ------------------------------------------------------------------------------



A total of 33 BYTE after combination. "540x090x010x000x580x000x000x000x000x000x020x010x000x33TXO07900F90x000x000x000x000x000x000x000x01" 0 0 1 1 0 1 0 1 ----> 5 0 0 1 1 0 1 0 0 ----> 4 0 0 0 0 1 0 0 1 ----> 0x09 0 0 0 0 0 0 0 1 ----> 0x01 0 0 0 0 0 0 0 0 ----> 0x00 0 1 0 1 1 0 0 0 ----> 0x58 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 1 0 ----> 0x02 0 0 0 0 0 0 0 1 ----> 0x01 0 0 0 0 0 0 0 0 ----> 0x00 0 0 1 1 0 0 1 1 ----> 0x33 0 1 0 1 0 1 0 0 ----> T 0 1 0 1 1 0 0 0 ----> X 0 1 0 0 1 1 1 1 ----> O 0 0 1 1 0 0 0 0 ----> 0 0 0 1 1 0 1 1 1 ----> 7 0 0 1 1 1 0 0 1 ----> 9 0 0 1 1 0 0 0 0 ----> 0 0 0 1 1 0 0 0 0 ----> 0 0 1 0 0 0 1 1 0 ----> F 0 0 1 1 1 0 0 1 ----> 9 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 0 0 0 0 0 0 0 0 ----> 0x00 XOR 0 0 0 0 0 0 0 1 ----> 0x01 -------------------------------------------------------- CHECK-SUM 0 1 1 0 0 0 1 0 Obtain XOR value of each bit of the bytes in all fields.



IV. Multicast Group Definition

TAIFEX use different multicast group to send information.

The multicast channel is defined as following table:

Regular trading

Channel

ID

Multicast IP port Transmission content Comment

1 225.0.30.30 3000 Normal trading - Options

2 225.0.100.100 10000 Normal trading - Futures

3 225.0.60.60 6000 Block trade - Options

I020,I021,I030,I080

For block trade 4 225.0.200.200 20000 Block trade – Futures (Including

combine product block trade and

negotiated block trade information)

I020,I021,I030,I080,B020,B080, B021

5 225.0.105.105 10500 Normal trading – Futures

I065

Need to apply

for receiving

data

After-hour trading

Channel

ID

Multicast IP port Transmission content Comment

6 225.10.30.30 3000 Normal trading - Options

7 225.10.100.100 10000 Normal trading - Futures

8 225.10.60.60 6000 Block trade - Options

I020,I021,I030,I080

For block trade 9 225.10.200.200 20000 Block trade – Futures (Including

combine product block trade and

negotiated block trade information)

I020,I021,I030,I080,B020,B080, B021

10 225.10.105.105 10500 Normal trading – Futures

I065

Need to apply

for receiving

data

For the data formats each channel provided please see Appendix 2.



Appendix 1 Summary of Changes

Version Date Changes

2.17 20180419 1. Add Indices compiled/co-compiled by TAIFEX and/or partners (I090).

NOTE: Taifex will announce the official transmission date later.

2. I010: Add DYNAMIC-BANDING field. FLOW-GROUP field add definition

12 for Brent Crude Oil Futures. The version is changed to 7.

3. I011: Add END-SESSION field for Brent Crude Oil Futures. The version is

changed to 4.

4. I072: Add description for Brent Crude Oil Futures.

2.16 20171123 1. The format of INFORMATION-TIME in each message's header will

change from 9(8) to 9(12) and it will be represented as Hour(2) Min(2)

Second(2) millisecond(3) microsecond(3).(Currently, The value of

microsecond(3) is filled with 0).

2. Following formats: I020：MATCH-TIME, I021：SHOW-TIME, I023：

MATCH-TIME, I100：DISCLOSURE-TIME, B020：MATCH-TIME,

B021：MATCH-TIME, I022：MATCH-TIME will change from 9(8) to 9(12)

and them will be represented as Hour(2) Min(2) Second(2) millisecond(3)

microsecond(3). (Currently, The value of microseconds(3) is filled with 0). 3. Add new function code 400, 401, 402, 403, 404, 405 to I140 for

dynamic price banding messages.

2.15 20170920 1. To prevent overflowing on the strike price expressed in options'

PROD-ID field. The I011 field STRIKE-PRICE-DECIMAL-LOCATOR

is ONLY valid on non-stock type options . For stock type options,

please refer to I010 STRIKE-PRICE-DECIMAL-LOCATOR.

2. To prevent overflowing after contract adjustment, the format of

CADJ_BF_STOCK_CASH2 and CADJ_AF_STOCK_CASH2 in I130 is

changed to 9(8)V99.

2.14 20170202

1. Because some reference data will not available until regular trading

close, for after-hour trading I010 start transmitting time of each

products will be different.

After-hour trading I010 transmitting time start from 14:40 to market

close.

2. I010 add Flow Group 10, 11 definition.

3. I011 add MARKET-CLOSE-GROUP 10 definition.

4. Because there is no settlement process after after-hour trading closed,

I071, I072 messages will not be transmitted in after-hour trading.

5. In I070, I071and I073, all statistics except TERM-HIGH-PRICE and



20170421

20170428

TERM-LOW-PRICE only contain information from single trading period

( regular or after-hour trading).

6. The volume statistical values in I072 will contain information of normal

and block trade from both regular and after-hour trading period.

7. Market data of after-hour trading is disseminated by independent

multicast group. Multicast Group Definition for after-hour trading is

added to IV. Multicast Group Definition.

8. I140 add trading suspend REASON 4: After-hours product definition

data is not ready.

9. I140 add example for some contract's price limit range is expanded

during after-hour trading period, and the price limit range state will

continue at the same level when start of following regular trading

period.

10. Appendix 6 add symbol UDF, SPF

11. I140 modify trading suspend REASON 2 definition to "Taiwan security

market trading halt, or the product closed early due to TAIFEX trading

system failure."

2.13 20160819 1. I010 add Flow Group 7,8,9 definition.

2. I011 add MARKET-CLOSE-GROUP 7 definition.

3. I065 add sending Nifty 50 underlying index.

4. [correction ] I020 Bit 7＝0, Bit 6-0=1000111, followed by ...

5. [correction ] I021 TERMINAL-CODE length should be 2.

6. [correction ] I071, I072 For the product whose delivery date is the

same as its expiry date, settlement price will be transmitted with a

value of "0" on the day of expiration.

2.12 20160331 1. Adjust I140 format for circuit breaker. Add FUNCTION-CODE 100, 101.

2.11

2.11.1

20151002

20151019

1. I010 add DELIVERY-DATE field, and add Flow Grop 6 definition for

TOPIX Futures.

2. Adjust I140 format for trading suspension.

3. Add I065 to send TOPIX underlying index.

1. Remove volativity interrupt related changes (I140).

2. Change Appendix 6 TOPIX futures symbol to "TJF".

2.10 20150522

20150702

1. I010 add FLOW-GROUP field

2. I011 CONTRACT-SIZE format change to 9(7)V9(4)

3. I011 add UNDERLYING-TYPE field

4. I011 add MARKET-CLOSE-GROUP field

5. Change I060, I064 format to send more information.

Fix error. I060 VALUE filed should be 9(7)V99999

2.9 20150302 1. Add I000 HeartBeat format.



2. Add I064 Calculated opening and closing price for underlying stocks.

3. Remove delayed information from I060, and send from I064.

4. For Curreny futures:

I010, I011 contract type add ‘E’ for Currency.

2.8 20140117 For information disclosure during pre-opening session:

1. Add I022, I082 format, and add FUNCTION CODE 302, 304, 305 of I140

message.

2. During trading suspend, remove sending FUNCTION-CODE 202 and

send FUNCTION-CODE 302 instead; remove sending FUNCTION-CODE

204 and send FUNCTION-CODE 304 instead.

2.7 20130830 Appendix 2 For Negotiated Block Trade:

1. Add Negotiated block trade match data format (B021)

2. I072 format the statistical values in following fields: “Total number

of buy orders”, “Total quantity of buy contracts ordered”, “Total

number of sell orders”, “Total quantity of sell contracts ordered”,

“Total number of matched trades”, “Total number of contracts

matched”, “Combined total of buy orders”, “Combined total quantity

of buy contracts ordered”, “Combined total of sell orders”,

“Combined total quantity of sell contracts ordered”, and “Combined

total of matched contracts”, “Open interest” will include the volume

of all block trade.

B. Change I020, I080 format disclose interval from 250ms to 125ms.

2.6 20130424 For weekly futures, modify Appendix 5 and Appendix 6.

2.5 20120814 For weekly option:

1. I010 add <BEGIN-DATE>, <END-DATE> field.

2. I011 add <EXPIRY-TYPE> field.

2.4 20110802 Appendix 2 For Block Trade:

3. Add Multicast Group Definition

4. Add Contract basic data format (I011)

5. Add Combine product block trade match data format (B020)

6. Add Combine product block trade order book data format (B080)

7. I072 format add <BLOCK_TRADE_QNTY> field, and The statistical

values in following fields: “Total number of buy orders”, “Total

quantity of buy contracts ordered”, “Total number of sell orders”,

“Total quantity of sell contracts ordered”, “Total number of matched

trades”, “Total number of contracts matched”, “Combined total of

buy orders”, “Combined total quantity of buy contracts ordered”,

“Combined total of sell orders”, “Combined total quantity of sell

contracts ordered”, and “Combined total of matched contracts”,



“Open interest” will include the volume of block trade.

8. Modify Appendix 2.

B. For delayed closing of the underlying stock, I060 format add

STATUS-ITEM field.

2.3 20090122

20110103

For stock futures, futures market data add I120,I130.

The initials of the Taiwan Stock Exchange Corp (TSEC) change to TWSE,

modify symbol name descriptions.

2.2

2.2.1

2.2.1.1

2.2.2

20070910

20080123

20090105

20090831

Update Appendix 6

I030 sending interval 5 sec, I080 sending interval 1 sec

Update Appendix 6 for stock options

I080 sending interval 250ms

2.1 20070625 1. Because the price of combination product can be 0, we can not use 0 to

represent the NULL value of price fields in I073. We use the special value

-999999999 to represent the NULL value of price fields in I073.

2.0 20070212

1. In light of the implementation of futures spread system, I020, I021, I023,

I030, and I080 formats are changed to display information on

combination product.

2. Price formats are standardized to 9(9). But users should refer to the I010

DECIMAL-LOCATOR to obtain the number of decimal digits in order to

parse the price.

3. I010 is added with a STRIKE-PRICE-DECIMAL-LOCATOR field to inform

the number of decimal digits in the strike prices of options.

4. I010 is added with a PROD-KIND field to inform the type of product.

5. I073 is added to display market data on combination product after the

market.

6. I070, I071, and I072 are added with five fields to depict statistical

information of “Combined total of buy orders”, “Combined quantity of

buy contracts ordered”, “Combined total of sell orders”, “Combined

total of sell contracts ordered”, and “Combined quantity of matched

contracts”, which include the entries in combination order book.

7. I080 is added with a field displaying the first bid and ask prices and

quantities for derived order.

8. To accommodate the futures market maker system, I100 will begin

sending quote request on futures.



Changes before V2.0 :

Summary of Changes to 512K Market Data (20051102)

No. Proposed Changes

1

Add ID of USD-denominated products to Exhibit 4 Product ID GDF Gold futures MSF MSCI Taiwan Index Futures MSO MSCI Taiwan Index Options


Attachment: Futures and Options Trading System 512K Market Data Transmission Format


1 Based on existing message transmission format for options, the 512K format will apply to both futures and options.

2 The futures product ID in the 512K format will use that assigned by TAIFEX, while the futures product ID in 9.6K format will use the message ID.

3 Match prices are disclosed on per tick basis.

4 The price quotes for options (I090) are included in I080.

5 The total number of orders and matched trades of option (I040) are included in I020and I030.

6 The information on match price and quantity as well as total quantity matched will be included in the same message (I020).

7 All numerical fields in the message are in PACK BCD format.

8

Changes to Header of message: (8.1) Message version No. is added; (8.2) Body length is added; (8.3) Each message is assigned a sequence number based on message version No. + market

9 The number of places after decimal point for field of underlying index information (I060) is changed to 3.



10 The number of places after decimal point for opening reference price of underlying in stock options and underlying stock reference table (I120) is changed to 3.

11 Add I140 format

12 Add market price data to I080

Summary of Changes to 512K Market Information Display (20050428)



1 When price limits data of product is sent in the morning via I010, each price limit stage is included. So the I010 format is changed to include price limit for all three stages and use 0 to indicate that there are no limit prices for the stage.

2

A I140 system message is added, which is sent when special circumstance occurs and has more flexible format to accommodate different circumstances, which are distinguished by different function codes. Currently system message includes relaxation of price limit and trading suspend notice.

3

In the 15-minute order accepting period following relaxation of price limit, periodic simulated matching is carried out and only one set of best ask and bid prices will be transmitted in I080 format. But only the first price has a value and the quantity is 0, while the rest of prices and quantities are all 0.




1

A Status-Code field is added to I020 to indicate abnormal status. In case an exceptional event in the market occurs that protracts the time between order input and first match, TAIFEX will indicate in the status-code field of the I020 message sent to information vendor the duration of abnormal status. Vendor will learn of the condition upon receiving I020.



2 A I023 message to disclose opening prices and quantities is added which sends opening price and quantity repeatedly when it occurs.



Appendix 2 Overview of Message Format

Message Formats Provided in Regular Trading

Channel ID Channel ID Channel ID Channel ID Channel ID

1 2 3 4 5

I000 V V V V ─

I010 V V ─ ─ ─

I020 V V V V ─

I021 V V V V ─

I022 V V ─ ─ ─

I023 V V ─ ─ ─

I030 V V V V ─

I050 V V ─ ─ ─

I060 V V ─ ─ ─

I064 V V ─ ─ ─

I070 V V ─ ─ ─

I071 V V ─ ─ ─

I072 V V ─ ─ ─

I073 ─ V ─ ─ ─

I080 V V V V ─

I082 V V ─ ─ ─

I100 V V ─ ─ ─

I120 V V ─ ─ ─

I130 V V ─ ─ ─

I140 V V ─ ─ ─

I011 V V ─ ─ ─

B020 ─ ─ ─ V ─

B080 ─ ─ ─ V ─

B021 ─ ─ ─ V ─

I065 ─ ─ ─ ─ v

I090 V ─ ─ ─ ─

【Notes】'V': message format provided.

'─': No message format provided.



Message Formats Provided in After-hour Trading

Channel ID Channel ID Channel ID Channel ID Channel ID

6 7 8 9 10

I000 V V V V ─

I010 V V ─ ─ ─

I020 V V V V ─

I021 V V V V ─

I022 V V ─ ─ ─

I023 V V ─ ─ ─

I030 V V V V ─

I050 V V ─ ─ ─

I060 V V ─ ─ ─

I064 V V ─ ─ ─

I070 V V ─ ─ ─

I071 ─ ─ ─ ─ ─

I072 ─ ─ ─ ─ ─

I073 ─ V ─ ─ ─

I080 V V V V ─

I082 V V ─ ─ ─

I100 V V ─ ─ ─

I120 V V ─ ─ ─

I130 V V ─ ─ ─

I140 V V ─ ─ ─

I011 V V ─ ─ ─

B020 ─ ─ ─ V ─

B080 ─ ─ ─ V ─

B021 ─ ─ ─ V ─

I065 ─ ─ ─ ─ V

I090 ─ ─ ─ ─ ─

【Notes】'V': message format provided.

'─': No message format provided.



Appendix 3 Description of PACK BCD

Data compression:

Data are transferred in PACK BCD format:

PACK BCD:

Take the last four bits of each byte in ASCII numerals "0" to "9"; for "1", its bit

value is 00110001, while its PACK BCD BIT value is 0001; for "5", its bit value is

00110101, while its PACK BCD BIT is 0101.

Ex:

Take the first match price in message I020 as an example:

Data format for the first match price is 9(9)

Assuming the price of the product has three decimal digits (i.e. DECIMAL-LOCATOR

= 3)

First match price =123.450

Original sent data format = (expressed in ASCII) " 0 " " 0 " " 0 " " 1 " " 2 " "

3 " " 4 " " 5 " " 0 "

(9 bytes need to be sent) = expressed in hexadecimal value

0x30 0x30 0x30 0x31 0x32 0x33 0x34 0x35 0x30

(a total of 9 bytes) (the receiver should parse the integers and decimals)

After PACK BCD compression = expressed in PACK BCD as 0x00 0x00 0x12 0x34

0x50

(only 5 bytes need to be sent): 0000 0000 0000 0000 0001 0010 0011 0100 0101

0000

(total of 5 bytes) (the receiver should parse the integers and decimals)



Appendix 4 Product Prices

The number of decimal digits of prices (order price, match price, settlement price, etc.) should

refer to the number of decimal digits indicated in I010 DECIMAL-LOCATOR.

Example:

(1) The field of FIRST-MATCH-PRICE has a format of 9(9), which includes both the integers and

decimals of the price. If the product is TXF and its price is 0x00 0x00 0x65 0x63 0x00, and the

field value of DECIMAL-LOCATOR in I010 for TXF is 2, then the two digits on the farthest right

of this match price are decimals (00 in this case). So the price is 6563.

(2) The field of BUY-PRICE in I080 has a format of 9(9). The price includes both integers and

decimals. If the product is GDF and its price is 0x00 0x00 0x07 0x32 0x30, while the field

value of DECIMAL-LOCATOR in I010 is 3, it means the decimal digits value of price is 3, and

the three digits on the farthest right of the price are decimals (230 in this case). So the price

is 73.23.



Appendix 5 Product ID

The field of PROD-ID-S has 10 bytes.

The field of PROD-ID has 20 bytes.

Futures product symbol rule

The PROD-ID field for futures comprises three units (PP + T + CC) as depicted below:

1. PP: indicates product ID.

2. T: indicates type, such as futures, options or others.

(F:standard contract.

1-9(stock futures): adjusted contract

1-5(non-stock futures): weekly expired contract)

A Product ID with the first two units combined is expressed as follows:

CPF EXF FXF GBF GDF MSF MXF T5F TXF

3. CC: consists of month and year; the first C indicates month; the second C indicates year.

A (January), B (February), C (March), D, E, F, G, H, I, J, K, L (December).

Ex: 200308 can be expressed as【H3】

Thus if the field of PROD-ID-S shows【MXFA6】, it means 200601 (January 2006) MXF (mini-TAIEX);

If the field of PROD-ID shows【MXFA6/C6】, it means MXF (mini-TAIFEX) spread for January and

March 2006.

Combination of futures time spread orders:

1. Combination method: Time spread orders are accepted for all futures products.

2. Check rules for time spread product ID:

(1) 8 bytes in length.

(2) The 6th character is '/'.

(3) The month code of the first and the second contract (the 4th and the 7th byte) lies

between A~L.

(4) The first and the second contracts must be contracts of different months.

(5) The first contract is the near-month contract, and the second contract is the far-month

contract.

Weekly time spread ( / ) : (PPPCC/PPWDD or PPWCC/PPPDD，11 characters long, the 6th

character is "/") - buy and sell same product at the same time with different expire date, and

one of the leg is weekly expired. The near expired contract put in front.

Case 1: PPPCC/PPWDD

Ex.: MXFC6/MX4C6 is weekly time spread of MXFC6 and MX4C6, MXFC6 is near expired



contract so put it in front.

Case 1: PPWCC/PPPDD

Ex.: MX1O6/MXFO6 is weekly time spread of MX1O6 and MXFO6, MX1O6 is near expired

contract so put it in front.

Options product symbol rule

The PROD-ID field for options comprises three units (PPP + AAAAA + CC) as depicted below:

1. PPP: indicates product ticker symbol. For example, TXO is TAIEX options, AAO is an option

with Nanya stock as underlying.

2. AAAAA: indicates strike price.

3. CC: consists of month and year; the first C indicates month and call or put option; January

to December of a call option is expressed by letter A to L in sequence; January to

December of a put option is expressed by letter M to X in sequence; the second C indicates

year; "3" means 2003.

Call A (January), B(February), C (March), D, E, F, G, H, I, J, K, L(December).

Put M (January), N(February), O(March), P, Q, R, S, T, U, V, W, X(December).

Ex: 200308 call option is expressed as【H3】.

Take the example of【TXO05200A6】, it means buying 200601 TXO (TAIEX option) with strike price

of 5200.

The five-digit numeral AAAAA depicting the strike price should be parsed according to the

number of decimal digits shown in the field of STRIKE-PRICE-DECIMAL-LOCATOR in I010.

Example:

1. If the Product ID is TXO07600A7, in which the five digits 07600 indicates strike price, while

the field value of STRIKE-PRICE-DECIMAL-LOCATOR in I010 for TXO07600A7 is 0, it means

the number of decimal digits of the strike price is 0. So the strike price of this product is

7600.

2. If the Product ID is AAO00440A7, in which the five digits 00440 indicates strike price, while

the field value of STRIKE-PRICE-DECIMAL-LOCATOR in I010 is 1, it means the number of

decimal digits of the strike price is 1. So the strike price of this product is 44.0.



Appendix 6 Contract Ticker Symbol

For the latest TAIFEX products, please refer to TAIFEX web site:

http://www.taifex.com.tw/eng/eng2/Products.asp

Futures contract ticker symbols:

Ticker

symbol

Name

TXF TAIEX Index Futures

MXF Mini-TAIEX Index Futures

MX1 Mini-TAIEX Index Futures expire at 1st week

MX2 Mini-TAIEX Index Futures expire at 2nd week

MX4 Mini-TAIEX Index Futures expire at 4th week

MX5 Mini-TAIEX Index Futures expire at 5th week

EXF TWSE Electronic Sector Index Futures

FXF TWSE Finance Sector Index Futures

T5F FTSE TWSE Taiwan 50 Index Futures

GBF 10-Year Government Bond Futures

CPF 30-Day Commercial Paper Rate Futures

GDF Gold Futures

XIF NonFinance NonElectronics Sub-Index Futures

GTF GreTai Securities Market Capitalization

Weighted Stock Index Futures

TGF NTD Gold Futures

RHF USD/CNH FX Futures

RTF USD/CNT FX Futures

TJF TOPIX Futures

I5F Nifty 50 Index Futures

XEF EUR/USD Futures

XJF USD/JPY Futures

UDF DJIA Futures

SPF S&P 500 Futures

XAF AUD/USD Futures

XBF GBP/USD Futures

BRF Brent Crude Oil Futures

http://www.taifex.com.tw/eng/eng2/Products.asp



UNF TAIFEX NASDAQ 100 Index Futures

Options contract ticker symbols

Ticker

symbol

Name

TXO TAIEX Index Options

TX1 TAIEX Index Options expire at 1st week

TX2 TAIEX Index Options expire at 2nd week

TX4 TAIEX Index Options expire at 4th week

TX5 TAIEX Index Options expire at 5th week

TEO TWSE Electronic Sector Index Options

TFO TWSE Finance Sector Index Options

XIO NonFinance NonElectronics Sub-Index Options

GTO GreTai Securities Market Capitalization

Weighted Stock Index Options

RHO USD/CNH FX Options

RTO USD/CNH FX Options

List of Stock futures/options ticker symbol please refer to TAIFEX web site:

http://www.taifex.com.tw/eng/eng_home.htm

See the description under Products tab -> Equity Options -> Underlying Stock

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