Technical Side of Futures & Options Market (VIOP) Data Dissemination

When is the first message of Futures & Options Market sent in the morning?

Normally, in the morning the first message is sent at 8:00 -8:15 by Futures & Options Market data dissemination market.

When is the information of opened/closed contracts sent in Futures&Options Market?

Borsa İstanbul Futures & Options Market Data feed begins to the information of opened/closed contract when the data dissemination begins.

Could you please confirm the number of Market Depth levels supported on the feed for Futures and Option Market?

10 bid & 10 ask depth levels are supported in the Istanbul Futures and Option Markets data feed.

Do you include Precious metals and Diamond in Futures & Options feed level2?

All the Futures & Options contracts are included in the Futures & Options feed. Therefore, the data of the Futures & Options contracts based on the instruments traded in Precious metals and Diamond are included in the Futures & Options feed.

The Precious metals and Diamond Market’s feed contains only the spot market data.

Could you confirm us if the Futures and Options which are listed on your Stock Exchange are the same and have same characteristics as on TURDEX?

Actually, they are not same and have different characteristics.

Can you please provide a Yes/No answer to the following questions for each TRADE_TYPE value? If there are any exceptions, can you please provide further detail?

TRADE_TYPE: TT = N

Do these trades contribute to the Last Trade Price? N

Do these trades contribute to Open/Close/High/Low Prices? N

Do these trades contribute to Total Volume? Y

Please note that the negdeal boards are a separate board, the usual market practice is that the data vendors do not disseminate the prices within boards separately, but the total volume is added so a total value is disclosed for all the boards.

TRADE_TYPE: TT = T

Do these trades contribute to the Last Trade Price? Y

Do these trades contribute to Open/Close/High/Low Prices? Y

Do these trades contribute to Total Volume? Y

TRADE_TYPE: TT = M

Do these trades contribute to the Last Trade Price? Y

Do these trades contribute to Open/Close/High/Low Prices? Y

Do these trades contribute to Total Volume? Y

TRADE_TYPE: TT = E

Do these trades contribute to the Last Trade Price? N

Do these trades contribute to Open/Close/High/Low Prices? N

Do these trades contribute to Total Volume? Y

Can you clarify what the SECURITY_GROUP_NAME values ‘S’ and ‘N’ represent?

S stands for standard contracts, N stands for non-standard contracts. Non-standard contracts are formed when there is a corporate action on an underlying; existing positions are transferred to non-standard contracts.

Please can you confirm that no identification of the market maker is provided or required (this would be different from Equities)?

We confirm that currently we don’t provide market maker identification in Future and Option Markets, but we provide market maker identification in Equities Market.

We seem to be seeing some days where there are no security definition messages at start of day. What is the reason?

Security definition messages sent from DDS if there are an expired, listed and delisted futures and options contracts. So for specific days there can’t be any new or deleted contact.

Can we receive the VIOP via a test connection so we can see how big the data is?

This option is available for you. You can connect to test environment for VIOP data. Like other markets, we will follow the same process to move production environment. After receiving VIOP data, you need to complete recovery process and please share your test log files with us via email. We will review your logs and if the package loss percentage rates are in acceptable range, you will move to production environment if not you need to follow the same steps (receiving data, processing recovery etc...).

Can you confirm which trade types are valid for each session?

NegDeal Sessions can have Neg-Deal Trade, Erroneous Trade while Normal Sessions can have Normal Trade, Matched Trade or Erroneous Trade.

Do you have more details about the information included in the field: CONTRACT_CODE?

Contract code is a unique code for each of the listed derivative contracts. The code includes information about the type of the contract (future or options), underlying, and maturity, standard or non-standard for futures and options contracts. For the options contracts the code also shows whether the option is American or European, call or put and its strike price.

How can we differentiate between an option and a future?

You can differentiate the options and futures by looking at the Contract_Code, futures have a contract code starting with F, options have a contract code starting with O. On the other hand SC message type (list of newly listed/delisted/expired contracts) shows the instrument code with the "IN" label. Following are the IN values for our derivatives market;

OPAY	Equity Options
OPEN	Index Options
VDOV	Currency Futures
VEMT	Commodity Futures
VENJ	Power Futures
VKMD	Precious Metals Futures
VPAY	Equity Futures
VPEN	Index Futures
ODOV	Currency Options
VYEN	Foreign Indices Futures
VBYF	ETF Futures
VMTL	Metal Futures
VONR	Overnight Repo Futures

When a contract is suspended: CS (contract status) = S, does this mean that the trading can resume again or no?

Yes, suspended contracts can resume trading again.

What is the meaning of the field: PS (Price change limit) received in the message SB. Was it the percentage of variation of the price based on a referential?

PS is previous settlement price of the contract. If you mean PR which is the price change limit, it shows the variation limit for contracts according to the settlement prices. This field is just sent for the futures.

I want to know whether the upper trading limit (UP) and Lower trading limit (DP) are static or dynamic can change during a session?

Currently these fields are static during sessions.

Can you confirm that the last trade price (LP in SB message) corresponds to the last trade price of the last session?

Yes, it is the last trade price of the last session.

Can you confirm that the field symbol (FIX TAG 55) corresponds to the field CONTRACT_CODE received in VIOP market data please?

Correct, FIX Tag 55 represents the CONTRACT_CODE field.

Can you provide more details about the MARKET_CODE and INSTRUMENT_CODE please?

Instrument Codes are provided on the upper table. The Market_Codes are shown in the following table.

CFAN	Commodity Futures Main Board
CFIL	Commodity Futures Advertising Board
CFOZ	Commodity Futures Negotiated Deals Board
DFAN	Currency Futures Main Board
DFIL	Currency Futures Advertising Board
DFOZ	Currency Futures Negotiated Deals Board
EFAN	Index Futures Main Board
EFIL	Index Futures Advertising Board
EFOZ	Index Futures Negotiated Deals Board
EOAN	Index Options Main Board
EOIL	Index Options Advertising Board
EOOZ	Index Options Negotiated Deals Board
EVAN	Power Futures Main Board
EVIL	Power Futures Advertising Board
EVOZ	Power Futures Negotiated Deals Board
FANA	Equity Futures Main Board
FILN	Equity Futures Advertising Board
FOZL	Equity Futures Negotiated Deals Board
KFAN	Precious Metals Main Board
KFIL	Precious Metals Advertising Board
KFOZ	Precious Metals Negotiated Deals Board
OANA	Equity Options Main Board
OILN	Equity Options Advertising Board
OOZL	Equity Options Negotiated Deals Board
DOAN	Currency Options Main Board
DOIL	Currency Options Advertising Board
DOOZ	Currency Options Negotiated Deals Board

Can you confirm that the first character of the field CONTRACT_CODE will not be impacted by the possible changes?

We have no intention to change the first character of the Contract_code currently, but it would be more reasonable to distinguish the type of the contracts from other packages such as the SC, not from the Contract_Code.

Do we receive the SC message for all instruments on daily basis even instruments made live for a while (not newly listed)?

No, you receive the SC message when there is a delisted, listed or expired contract. On the other hand at the beginning of the day you receive all of the listed contracts’ SB packages. We also publish a file called “Contracts” on our website, contracts file show the all tradable contracts for the next session.

Where can we find the information: standard – not standard for options and future?

SG and SN fields within the SC message show the standard and non-standard information.

Can you confirm please that a CONTRACT_CODE can be attached to one MARKET_CODE, one INSTRUMENT_CODE and one BOARD?

Partially yes, each contract is traded under three different boards which are main boards, negotiated deals board and advertising board.Currently we don’t have any other identifier for the contracts shorter than the Contract_Code; there are ISIN codes which you can obtain from our ClearingHouse (Takasbank) The ISIN codes are unique for each traded contracts.

Does Value N for TRADE_TYPE correspond to a trade in OTC (Block trade for example?) if this is the case do we have a special kinematic for trade reporting?

N stands for negotiated deals trade that is done in the negotiated deals board. It is a block trade but the trade is done within the Exchange. We advise you to show these trades separately since the prices can differ from the main market.

Does Value E for TRADE_TYPE correspond to a modification of a previous trade? Do you send the value M for the field TRADE_CONDITION? And do you send all the data to display the new trade values?

E stands for erroneous trade which is a modification of a previous trade as you have mentioned. For the initial trade we sent the M value. For the erroneous trade we send all the data to the vendors.

When you cancel a trade, are you going to send only the trade reference, or you send also the trade price and volume?

When we cancel a trade, the TR message is sent to vendors. That message contains trade price, number and trade volume information.

Do you recommend displaying the information related to the BOARD to our clients or no?

We advise vendors to display the trades for different boards separately, so you will have two different boards to display which are negotiated deals board and main board (advertising board is not active currently)

On which case you will send the CB message?

CB messages are sent at the beginning of each trading day, the message has a functionality to clear all the relevant data and after the CB message we send the market depth messages for the relevant contracts. Since we have a single session we use the CB message only at the beginning of the day. But if we introduce another session such as fixing session, we will be sending the CB messages at the beginning of the new session.

Do we receive price of the first trade of the day or the session only one time during the trading day?

Yes exactly, you will receive it once in a day as VIOP has only one session.

Do you have more details about the rules of Negotiated deal boards and Advertising BOARDS?

Please have a look at our market guide for detailed information.

Click for the Borsa İstanbul VIOP Guide

Do you update the best limits if the client sends an order in the negotiated deal board?

Only the trade information messages (TR) through the data feed for the negotiated deals are sent. So, no order info is sent for negotiated deals board and advertising board and we do not update the best limits for the orders sent to these boards.

Do you include the trades that take place in negotiated deal board and Advertising board in the calculation of the VWAP?

The Neg Deal and Advertising Board trades do not affect the VWAP.

What is the value for the field: ‘SE’: Name of the session?

Currently we have the SENormal (for the main board) and SENegdeal (for the negotiated deals board) values. Please note that as soon as the trading begins the session field gives information about the session, so at the beginning of the day before the trade session beginning you will receive SE field as blank. When the session starts you will receive SENormal for the main board. Normal represents the continuous auction method, so if we apply a fixing session within the main board you will receive the feed with SEFixing.

What am I supposed to receive in the message TR for the trade correction? (TRADE_CONDITION = M | TRADE_TYPE=E| new price or quantity| Same trade number)

The trade correction is a totally new trade with trade condition M and trade type E. The trade will have a different trade number, but the price and the quantity value will be the same as the original trades.

In which case we can have Manual Trade (TRADE_TYPE = M)?

Previously the erroneous trades were done with manual trades but currently this trade type is not used for that purpose. M stands for manual trades which are done by the Exchange, so it will occur in extraordinary cases when the Exchange needs to make trades for the brokerage houses. We advise you to differentiate these trades as well.

Can you find the list of the contracts negotiated in VIOP via ftp access please?

You can access the contracts that are tradable in the derivatives market in the following link. http://www.borsaistanbul.com/en/data/data/futures-and-options-market-data you can find the data/file paths on the link also. The contracts file is updated daily.

Could you please confirm that VIOP market have it is own retransmission server and that message sequence numbers are unique and incremented for this market?

Yes, that’s correct. Futures &Options Market (VIOP) has it is own retransmission server and that message sequence numbers are unique and incremented for each single market.

Where can we find the information: standard – not standard for options and future please?

If SG = S --> standard contract

If SG = N --> non-standard contract

Can you clarify what the SECURITY_GROUP_NAME values ‘S’ and ‘N’ represent?

Please can you confirm that no identification of the market maker is provided or required (this would be different from Equities)?

We confirm that currently we don’t provide market maker identification in Future and Option Markets, but we provide market maker identification in Equities Market.

We seem to be seeing some days where there are no security definition messages at start of day. What is the reason?

Security definition messages sent from DDS if there are an expired, listed and delisted futures and options contracts. So for specific days there can’t be any new or deleted contact.

What is the flow of communication of Futures & Options Market?

Beginning of The Trading Day	The DDS begins sending messages at 08:10 on every trading day. Firstly, expired, listed and delisted futures and options contracts are sent. After that start of day clearing occurs. Last states of the contracts are sent.
Intraday / During The Trading Sessions	As of the date this document was prepared, trading hours are 09:10 to 17:45.
Lunch Break	DDS, continues sending data.
End Of The Trading Day	The DDS stops sending messages for the day at 18:00.

Will FX options be trading in lots of 10, 100, 1000?

The contract size of USDTRY options will be 1000 USD.

What price should we expect in FX options to be pricing at?

Prices will be quoted for the premium value in terms of Turkish Lira per 1,000 USD significant to one decimal. (e.g. 20.1, 20.2 etc.)

Are the prices given tick by tick or snapshot in Futures and Options Market?

The information of prices are given tick by tick, not as snapshot.

Technical Side of Futures & Options Market (VIOP) Data Dissemination

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