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test.txt
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NSC V900 SERIES
PUBLIC MESSAGE SPECIFICATIONS
(RLC MESSAGES)
Version 2.0 − Tehran Stock Exchange
February 2008SEND US YOUR COMMENTS
Atos Euronext Market Solutions (AEMS) welcomes your comments and suggestions on the quality
and usefulness of this document. Your input is an important part of the revision process.
If you find any errors or have any other suggestions to improve the document quality and clarity,
please indicate the chapter and page number (if available).
Please send comments to:
Atos Euronext Market Solutions
Quality Department
6-8 boulevard Haussmann
75009 Paris - FRANCE
© 2008 AEMS
This document contains information which is confidential and of value to Atos Euronext Market Solutions (AEMS). It may be
used only for the agreed purpose for which it has been provided. AEMS’ prior written consent is required before any part is
redistributed or reproduced. All references to cost in this document are provided for illustrative purposes only and do not
constitute a commercial bid or binding agreement. Whilst all reasonable care has been taken to ensure that the information
contained in this document is accurate and not misleading, AEMS shall not be liable (except to the extent required by law) for
the use of the information contained herein. Neither AEMS, nor its servants nor agents, is responsible for any errors or
omissions contained in this document which is provided for information only and shall not constitute advice. All information,
descriptions, examples and calculations contained in this document are for guidance purposes only, and should not be
treated as definitive.
Tehran Stock Exchange
Page 2 of 175Public Message Specifications
(RLC Messages)
Version 2.0
February 2008
HISTORY
Document name....................................................NSC 900 Series - Public (RLC or DIFF) Message Specifications
Version......................................................................................................................................................................2.0
Created...........................................................................................................................Thursday, October 12, 2006
Last modified..................................................................................................................Tuesday, February 12, 2008
VersionStatusDateSource1.0Deliverable02 Feb. 2007FBOInitial version based on RLC specifications v1.11 for the NSC® V900
series.
1,1Deliverable30 Aug. 2007TCHRemoved all the obsolete information.
1,2Deliverable03 Sept, 2007TCHUpdated the possible values of Order Origin (YCpteOm) and Order
Technical Origin (YOm) fields.
1.3Deliverable4 Sept. 2007FBOSingle version for both internal and external specifications.
1.4Deliverable29 Oct. 2007FBOAdded the TCS (33 – TCS Trade) and PFI2 (A5 – Composition of an
Index, B1 – Real-time Data for an Index, B2 – Stock Index: Daily
Summary) RLC messages.
1.5Deliverable21 Nov. 2007FBORedesigned layout for unified presentation.
1.6Deliverable28 Nov. 2007FBOUpdated the possible values for field YOPSJ (Type of corporate event
causing instrument modification on current day) to match those in
recent RCE deliveries.
1.6aDeliverable5 Dec. 2007FBOUpdated the possible values for the CGdSVal field.
Moved the glossary index at the end of the document.
1.7Deliverable12 Dec. 2007FBOEnriched description of IIBsAscNivIbs field (Flag for Indicators
Related to an Index Level).
New Value 'Z' for the CNivIdx field (Index level code).
1.8Deliverable16 Jan. 2008FBOChanged the expression of variations in B1 – Real-time Data for an
Index and B2 – Stock Index: Daily Summary messages from
percentage to points.
Removed the useless ISupOmCrn field from the 53 –
Deletion/Creation of Instrument Characteristics message.
1.9Deliverable23 Jan. 2008FBOA5 – Composition of an Index: added the missing field ZTitValCaIdx
(Number of shares used for index calculation); fixed field positions
within the message structure and total message length (which does
not change however).
A6 – Display of Bid or Offer: removed the DSeaBsEven and
CExtValMdv fields (message length shortened accordingly).
2.0Deliverable for
TSE only12 Feb. 2008FBO(TSE phase I and II only): Added ITranImp field (Impacting Trade
Indicator) in M1 – Trade For Clearing message.
Tehran Stock Exchange
Comments
Page 3 of 175Public Message Specifications
(RLC Messages)
Version 2.0
February 2008
TABLE OF CONTENTS
Introduction..............................................................................................................................5
Overview ......................................................................................................................................................................................................................5
Message Headers .......................................................................................................................................................................................................6
Message Structures...................................................................................................................7
RLC-01 – Opening Trade ............................................................................................................................................................................................7
RLC-02 – Trade ...........................................................................................................................................................................................................9
RLC-03 – Price ..........................................................................................................................................................................................................11
RLC-04 – Best Limits ...............................................................................................................................................................................................13
RLC-05 – Instrument State Change ........................................................................................................................................................................17
RLC-07/08 – Start/End of Session .........................................................................................................................................................................20
RLC-16 – Group State Change ................................................................................................................................................................................21
RLC-23 – Text Message ...........................................................................................................................................................................................22
RLC-30 – Theoretical Opening Price .......................................................................................................................................................................23
RLC-32 – Opening Summary ...................................................................................................................................................................................25
RLC-33 – TCS Trade .................................................................................................................................................................................................27
RLC-37 – Static Thresholds .....................................................................................................................................................................................29
RLC-39 – Trading Day Timetables ...........................................................................................................................................................................31
RLC-50/51 – Start/End of Instrument Reference Data Flow ................................................................................................................................32
RLC-52/53 – Deletion/Creation of Instrument Characteristics ............................................................................................................................33
RLC-5E – Boards ......................................................................................................................................................................................................38
RLC-5F – Sectors ......................................................................................................................................................................................................39
RLC-5G – Sub-sectors ..............................................................................................................................................................................................40
RLC-5K – Super-sectors ...........................................................................................................................................................................................41
RLC-5L – Industry .....................................................................................................................................................................................................42
RLC-5I – Market Activity ...........................................................................................................................................................................................43
RLC-5J – Closing Price .............................................................................................................................................................................................44
RLC-AO – Start / End of Market Sheet Broadcasting ............................................................................................................................................46
RLC-A3 – Market Sheet ............................................................................................................................................................................................47
RLC-A4 – Delete N Lines ..........................................................................................................................................................................................50
RLC-A5 – Composition of an Index ..........................................................................................................................................................................53
RLC-A6 – Display of Bid or Offer ..............................................................................................................................................................................55
RLC-B1 – Real-time Data for an Index ....................................................................................................................................................................57
RLC-B2 – Stock Index: Daily Summary ...................................................................................................................................................................62
RLC-M1 – Trade For Clearing ...................................................................................................................................................................................64
Glossary..................................................................................................................................68
Glossary Index ........................................................................................................................................................................................................183
Tehran Stock Exchange
Page 4 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Introduction
INTRODUCTION
OVERVIEW
This document specifies the structure of the public RLC messages for the Tehran Stock Exchange.
RLC messages are used to disseminate the public market data to Brokerage firms and Vendors.
It completes the SLE Message Specifications document that provides the private SLE messages
used for the communication between the Central Trading Engine and the Brokerage firms.
RLC messages are sent by the following applications:
•RCE (Reference Data and Corporate Event), the application managing the market reference
database that supports trading at a financial exchange;
•NSC®, the trading engine;
•TCS, the OTC engine;
•PFI2, the index management system.
Structure of the document
The first chapter provides the structure of the RLC messages.
The next chapter, Glossary, provides the definition of every field used in the structures of the
message, including their possible values, dependencies and the messages referencing
them.
To ease the navigation in the document, you may use the active links as follows:
click on any field in a message structure to jump to its definition in the glossary
click on any message or field reference in the definition of a field to jump to the
corresponding message structure or field definition.
Hit the Alt+Left arrow keyboard shortcut to return to the previous position in the document.
Conventions
The type of a field can be one of the following:
Type code
Meaning
XAlphanumerical
NNumerical
BBinary
Some message structures have a variable length (for example RLC-04 – Best Limits). This depends
on the number of occurrences of one of several fields or field aggregates. In that case, the “Occ.”
column in the structure table of the message provides the maximum number of occurrences of such
data.
Tehran Stock Exchange
Page 5 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Introduction
MESSAGE HEADERS
All RLC messages begin with the following RLC Header.
Field
Occ. Type Length Pos. Short description
AEttRLCY1
AEttTchRLCY1
Pge
1 Header for RLC message, type 190
1 Technical header for RLC message, type 191
YTchRLCN11 Type of header for RLC message184
CEmetRLCN22 ID of the RLC sending application96
ZOctMsgRLCN34 RLC message length in bytes (3 digits)187
NMsgInRLCN67 Number for incoming RLC message137
NMsgOutRLCN613 Number for outgoing RLC message138
CGrRLCX219 RLC group code99
CSgrRLCX221 Code for RLC subgroup110
YMsgRLCX223 Type of RLC message179
25 Functional header for RLC message, type 190
AEttFnlRLCY1
CSicoRGAX625 Short instrument ID110
CValMneX531 Instrument mnemonic code111
CPlCotN336 Market place ID for instrument106
ADHEvenRLC
39
Aggregate for time stamp for RLC event (up to the
milliseconds)
89
DEvenRLCN839 Date of RLC event114
HEvenRLCN647 Time of RLC event117
ZMlsHEvenRLCX353 Number of milliseconds in time of RLC event186
InstrumentIDX1256 Instrument identifier126
ZOctMsgRLC5N568 RLC message length in bytes (5 digits)187
FillerX1273
In the following sections, the header structures are not repeated in the message structures.
Tehran Stock Exchange
Page 6 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
MESSAGE STRUCTURES
RLC-01 – OPENING TRADE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
QTitTran
N
12
PTran
1 Traded quantity158
13 Trade Price149
IFtX113 Decimal point locator124
QMtN1314 Amount151
CIdAdhNSCAcX827 ID of NSC® Buying Member100
CIdAdhNSCVtX835 ID of NSC® Selling Member100
QTitNgJN1243 Total traded quantity of the trading day158
ISensVarPX155 Last trade price variation as compared to the reference
price128
FillerX556YCpteOmAcX161 Type of Clearing Account for the buyer Member in the
Trade175
YCpteOmVtX162Type of Clearing Account for the seller Member in the
Trade176
FillerX263ITranYAplN165 Cross Trade Flag131
IFinTranX166 Flag indicating end of trades at the same price123
YOmAcX167 Code for the technical origin of the buy order180
YOmVtX168 Code for the technical origin of the sell order181
CSensVarPTranPPX169NTranN770 Trade numberFillerX377YMarNSCX280 NSC® market segmentFillerX8682DHTranX14168 Trade Date and Time116
YOmOrgTranX1182 Type of orders at the origin of a trade180
183 Price Variation As Compared to Reference Price171
IFtX1183 Decimal point locator124
QMtN13184 Amount151
XQVarPJDrPRf
Message length
Tehran Stock Exchange
196
Page 7 of 175
Sign of price variation as compared to the previous
price
109
139
179Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
Processing rules
This message is sent for the first trades occurring for one instrument during a trading day.
The Opening Trade message could be sent at the opening or during the continuous trading phase.
•
At opening:
For the first opening of an instrument since the start of the trading day, an Opening Trade
message is sent for each trade that is generated. The Flag Indicating End of Trades at the
Same Price (IFinTran) is set to 0 for all the opening trades except for the last trade, where it
is set to 1.
For the second and subsequent openings of the day, the RLC-02 – Trade message is used.
•
During continuous trading phase:
If the instrument has not traded at the Opening, an Opening Trade message is sent for the
first trade generated during Continuous Trading.
The subsequent trades will be RLC-02 – Trade messages.
Caution:: In case of an Opening Trade cancellation, the cancelled trade is broadcast using a RLC-02
– Trade message with a trade cancellation flag (IAnuTran) set to “00”.
Transmission functions
Opening a group of instruments
If it is the first opening of the instrument, all trades generated are broadcast with an Opening Trade
message.
The last trade at the same price indicator is set to 0 for all the opening trades except for the last one
which is set to 1.
Instrument opening
Same as Opening a group of instruments.
Order entry during continuous trading
When an instrument is traded for the first time of the trading day, an Opening Trade message is sent.
Subsequent trades are broadcast with RLC-02 – Trade messages.
Trade creation by the surveillance
If the instrument has not traded, the creation of a trade by Market Control leads to an Opening Trade
message, otherwise it generates a RLC-02 – Trade message.
Tehran Stock Exchange
Page 8 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-02 – TRADE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
QTitTran
N
12
PTran
1 Traded quantity158
13 Trade Price149
124
IFtX113 Decimal point locator
QMtN1314 Amount151
CIdAdhNSCAcX827 ID of NSC® Buying Member100
CIdAdhNSCVtX835 ID of NSC® Selling Member100
QTitNgJN1243 Total traded quantity of the trading day158
128
ISensVarPX155 Last trade price variation as compared to the reference
priceFillerX556YCpteOmAcX161 Type of Clearing Account for the buyer Member in the
Trade175
YCpteOmVtX162Type of Clearing Account for the seller Member in the
Trade176
63 Highest trade price of the trading day147
IFtX163 Decimal point locator124
QMtN1364 Amount151
77 Lowest trade price of the trading day146
IFtX177 Decimal point locator124
QMtN1378 Amount151
IAnuTranN291 Trade cancellation flag121
FillerX293ITranYAplN195 ITranYApl131
IFinTranX196 Flag indicating end of trades at the same price123
YOmOrgTranX197 Type of orders at the origin of a trade180
YOmAcX198 Code for the technical origin of the buy order180
YOmVtX199 Code for the technical origin of the sell order181
CSensVarPTranPPX1100 Sign of price variation as compared to the previous price109
NTranN7101 Trade number139
FillerX3108YMarNSCX2111 NSC® market segmentFillerX86113DHTranX14199 Trade Date and Time116
297 Price Variation As Compared to Reference Price171
PPhSeaCotJ
PPbSeaCotJ
XQVarPJDrPRf
179
IFtX1297 Decimal point locator124
QMtN13298 Amount151
FillerX16311
Message length
Tehran Stock Exchange
326
Page 9 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
Processing rules
This message is sent for all the trades occurring after the Opening trades or to indicate a trade
cancellation.
The Flag Indicating End of Trades at the Same Price (IFinTran) is set for the last trade at a given price
in case of order entry.
Transmission functions
Opening a group of instruments
If the instrument has already been traded (instrument’s first traded price filled in), all trades
generated are broadcast with an Trade message.
Instrument opening
Same as Opening a group of instruments.
Order entry and processing in session
If the instrument has already been traded, all trades generated are broadcast with a Trade message.
Creation / Cancellation of trade by the Market Control
If the instrument has already been traded, the creation of a trade by Market Control leads to a Trade
message.
When a trade is cancelled by Market Control, the cancelled trade is broadcast using a RLC-02 –
Trade message with a trade cancellation flag (IAnuTran) set to “00”.
Tehran Stock Exchange
Page 10 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-03 – PRICE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
1 Price146
IFtX11 Decimal point locator124
QMtN132 Amount151
15 Highest trade price of the trading day147
IFtX115 Decimal point locator124
QMtN1316 Amount151
29 Lowest trade price of the trading day146
IFtX129 Decimal point locator124
QMtN1330 Amount151
YPMsgPN243 Price type183
128
PObjMsgP
PPhSeaCotJ
PPbSeaCotJ
ISensVarPX1Last trade price variation as compared to the reference
45
price
FillerX546
CSensVarPValPPX151 Trade price versus next to last trade price variation flag
XQVarPJDrPRf
109
52 Price Variation As Compared to Reference Price171
IFtX152 Decimal point locator124
QMtN1353 Amount151
FillerX666
Message length
71
Processing rules
This message indicates a modification of instrument specific prices.
Transmission functions
Change in previous day's adjusted closing price
This change leads to the transmission of a RLC-03 – Price message with a price trend flag (YPMsgP)
set to 34 indicating that the previous day's closing price has been modified. Then according to the
type of price, another RLC-03 – Price message is sent with a price trend flag set to 35 if the modified
price is a settlement price, or with a price trend flag set at 36 if the modified price is a final
settlement price, or with a price trend flag set to 38 if the modified price is a reference price.
Change in settlement price (for derivatives)
This change leads to the transmission of a RLC-03 – Price message with a price trend flag (YPMsgP)
set to 34 indicating that the previous day's closing price has been modified and a RLC-03 – Price
message with the price trend flag set to 35 indicating that the settlement price has been modified.
Change in final settlement price (for derivatives)
Tehran Stock Exchange
Page 11 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
This change leads to the transmission of a RLC-03 – Price message with the price trend flag
(YPMsgP) set to 34 indicating that the previous day's closing price has been modified and a RLC-03
– Price message with the price trend flag set to 36 indicating that the final settlement price has
been modified.
Change in reference price
This change leads to the transmission of a RLC-03 – Price message with the price trend flag
(YPMsgP) set to 34 indicating that the previous day's closing price has been modified, and a RLC-03
– Price message with a price trend flag set to 38 indicating that the reference price has been
modified. Note that this transmission is submitted to the parametrization of the trading rule
[CALCUL-VAR], indeed if [CALCUL-VAR] = 0 (cash configuration), only one RLC-03 – Price
message is sent with a price trend flag set to 38.
Trade cancellation
In the event of a modification to the previous traded price (trend flag YPMsgP set to 33), the first
traded price (trend flag set to 30), to the highest traded price (trend flag set tot 31) or the lowest
traded price (trend flag set to 32), a RLC-03 – Price message is sent for each modified extreme
value.
Tehran Stock Exchange
Page 12 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-04 – BEST LIMITS
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
YOmOrgTranX11 Type of orders at the origin of a tradeFillerX62X18 Change of best limit flag14 Best limit aggregate92
QTitMeDemN1214 Best buy limit quantity156
ZOrdMeDemN426 Number of orders at a best buy limit188
30 Best buy limit price145
IFtX130 Decimal point locator124
QMtN1331 Amount151
44 Best sell limit price146
IFtX144 Decimal point locator124
QMtN1345 Amount151
ZOrdMeOfN458 Number of orders at a best sell limit188
QTitMeOfN1262 Best sell limit quantity157
FillerX274ITabModMeLim6
AMeLim6
PMeDem
PMeOf
Minimum message length75
Maximum message length385
180
130
Processing rules
The RLC-04 – Best Limits message is broadcast as changes occur to the order books of an
instrument. For each of the 5 best limits on each side, it shows:
●the number of orders at that level (limit);
●the total quantity of orders at that level;
●the price.
This message is broadcast as soon as something changes in these five best limits. In pre-opening
mode, an additional occurrence is broadcast in the message called Market summary.
The concept of market summary for an instrument
The Market summary for an instrument is the summary of the orders that would be executed if the
Opening of the instrument took place at the moment this message was sent. The market summary
has no meaning except when the TOP (Theoretical Opening Price) has been determined during the
Pre-opening phase.
Orders participating in the calculation of the best limits
Non-triggered Stop orders are not included is the RLC-04 – Best Limits message. To minimize the
message length, only the modified limits (Bid and Ask) are broadcast.
In pre-opening mode, if a Theoretical Opening Price (TOP) is determined:
Tehran Stock Exchange
Page 13 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
•the first occurrence contains the Market Order (MO) limit if it exists
•the second occurrence contains the Market On Opening (MOO) limit if it exists
•the third occurrence contains the price overridden limit at the TOP
•the sixth occurrence is the sum of the MO limit, the MOO limit and total price overwrites. If
the sixth occurrence is equal to the first one (no buy or sell "Market Order" and no buy or sell
"Market On Opening" orders for an instrument) it is not filled in and its corresponding flag in
ITabModMeLim is set to "0".
In Continuous Trading mode, the sixth element is meaningless and the corresponding change flag in
ITabModMeLim is set to "0".
Best Limits sent when the order book is modified
In order to minimize the size of RLC-04 – Best Limits messages, only the best limits that have been
modified or deleted are sent. The market summary is only present during the Pre-Opening phase.
The RLC-04 – Best Limits message therefore has a variable length. The presence in the message of
modified or deleted best limits and of the market summary is indicated via a table (ITabModMeLim)
with 6 Boolean flags:
•flags 1 to 5 indicate whether or not the best limit for rank 1, 2, 3, 4 or 5 respectively is
present in the message;
•flag 6 indicates whether the market summary is present.
Caution: It is important to note that, except by chance, the position of a best limit in the message
does not correspond to its rank in the order book, because not all best limits in the book appear in
the message: the first limit present in a given occurrence of the Best Limits message can for
example correspond to the limit with a rank of 3 in the order book.
The relative order of the best limits in the message is the same as the relative order of the best limits
in the book; thus, the rank N in the order book of the best limit that has the position X in the
message is equal to the position in the flags table of the Xth flag that has the value of 1. For example,
if the flags are 001000, this means that there is only one best limit in the message and its rank is 3.
Transmission functions
Preparation for the Session
At the beginning of a new trading session, for each instrument whose order book has been modified
by Post-Session processing (elimination of orders in the order book after a corporate event or after
the expiration of a derivative instrument or after the order validity date has been reached), a RLC-04
– Best Limits message is sent.
Entry, modification, cancellation of an order during the Pre-Opening
For each order (except non triggered Stop orders) which modifies one of the values associated with
the five best limits of the instrument (quantity, number of orders, price), a RLC-04 – Best Limits
message is sent.
Opening of an Instrument with Its Group
For each instrument for which a TOP has been determined that falls within the price thresholds, a
RLC-04 – Best Limits message is sent.
Opening/Auction of an Instrument
Same as Opening of an Instrument with Its Group.
Modification of the Last Adjusted Closing Price
Tehran Stock Exchange
Page 14 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
The modification of the last adjusted closing price can cause the recalculation of the theoretical
opening price because of an update to the static reference price, and therefore can also result in the
modification of the best limits whose prices are overwritten by the theoretical opening price.
Consequently, if the instrument group is in Pre-Opening, or if the instrument is suspended or
reserved, a RLC-04 – Best Limits message is sent.
Order Entry and Processing During Continuous Trading
For each order entered into the order book, modified or cancelled, if one of the values associated
with the best limits for the instrument is modified (in particular, if a trade modifies the cumulative
displayed quantities), a RLC-04 – Best Limits message is sent.
Modification of the Static Reference Price and the Static Authorized Price Fluctuation for an
Instrument
The modification of the static reference price can cause the recalculation of the theoretical opening
price and therefore a modification of the best limits.
Immediate Rebroadcasting of the Best Limits
For each instrument affected by the command (for a given instrument or all instruments in a group or
all instruments): a RLC-04 – Best Limits message is sent, with the 5 best limits provided if they exist,
and the market summary is provided if appropriate.
Elimination of All Orders for an Instrument
A RLC-04 – Best Limits message is sent.
Cancellation of All Orders for a Member
For each instrument for which at least one of the 5 best limits is affected, a RLC-04 – Best Limits
message is sent.
Elimination of All Orders for a Group
(orders whose timestamps are later than a time specified in the command)
For each instrument for which at least one of the 5 best limits is modified, a RLC-04 – Best Limits
message is sent.
Post-Session
•
Purging of the Orders for a Member (command entered by Market Control at the request of
the member, but executed by the system during Post-Session): for each instrument for which
at least one of the 5 best limits is affected, a RLC-04 – Best Limits message is sent.
•
Rebroadcasting of the market sheet for one or more instruments or for all instruments: for
each group for which rebroadcasting has not been explicitly forbidden and for each
instrument in a group for which rebroadcasting has not been explicitly forbidden, a RLC-04 –
Best Limits message is sent.
Effect of "box carrying" on the conditions for sending the message:
Certain versions of NSC® use a technical mechanism called box carrying, which is designed to
optimize performance and to reduce the number of RLC-04 – Best Limits messages sent. This
mechanism modifies the conditions for sending message that were described above, but only for the
NSC® functions Order Entry, Modification, and Cancellation of an Order during Pre-Opening, and
Order Entry and Processing during Continuous Trading.
When the mechanism is used, the receiving processes (HIP) collect the orders received from the HUB
in a buffer memory called a "box," before sending ("carrying") them to the order processing
processes. When an NSC® order processing process is free, the process asks the HIP (Hub Input
Process) that feeds it to send the next box, whether the next box is full or not. When the process has
Tehran Stock Exchange
Page 15 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
finished processing the orders for the same instrument in a given box, the new state of the 5 best
limits for this instrument is compared with the state of the 5 best limits before processing. A Best
Limits message is sent if there is a difference.
Note: The maximum size of boxes is configurable for each HIP. Like order processing processes,
boxes are multi-instrument.
Tehran Stock Exchange
Page 16 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-05 – INSTRUMENT STATE CHANGE
Issuing applications: NSC®, TCS, PFI2
Field
Occ. Type Length Pos. Short description
Pge
Headers
IEtaCotValX11 Instrument trading state indicator122
IOrgResValX12 Indicator giving origin of instrument reservation126
DDebSuValN83 Start date for suspension of instrument113
HDebSuValN611 Start time for suspension of instrument117
CEtaValX217 Code indicating the state of the instrument in NSC®97
CActModEtaValX119 Action code for the instrument state change94
HOvPgmValX620 Programmed opening time for instrument120
CEtaValSysTCSX126 Instrument state code in TCS system98
FillerX2227
Message length
48
Processing rules
This message is sent by NSC® to indicate a status change of an instrument:
Trading suspension on instrument
Reservation
Programming of a deferred opening
Resumption of trading
Etc.
Transmission functions
Preparing for the session
For each instrument that remains suspended, reserved or forbidden from the previous trading day,
and for each instrument created in a forbidden state, an RLC-05 – Instrument State Change
message is sent, with an action code (CActModEtaVal) of N (State at initialization).
Opening of an instrument with its group
For each instrument in the group,
If the instrument is neither reserved nor suspended:
•
Tehran Stock Exchange
If the Theoretical Opening Price cannot be determined and some Must-Be-Filled orders or
At Opening orders or Market Orders remain unfilled, then an RLC-05 – Instrument State
Change message is sent with an instrument trading state indicator (IEtaCotVal) at H
(instrument reserved upward) or B (Instrument reserved downward), the indicator giving
origin of instrument reservation (IOrgResVal) set to A (Automatic) and an action code
(CActModEtaVal) of R (Reservation). Otherwise, an RLC-05 – Instrument State Change
message is sent with the action code of O (Changes to Open state).
Page 17 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
•If the Theoretical Opening Price has been determined and falls within the price
thresholds, an RLC-05 – Instrument State Change message is sent with an action code
(CActModEtaVal) of C (Trading), followed by an RLC-05 – Instrument State Change
message with an action code of O (Changes to Open state).
•If the Theoretical Opening Price has been determined and falls outside the price
thresholds, an RLC-05 – Instrument State Change message is sent with an instrument
trading state indicator (IEtaCotVal) of H (Instrument reserved upward) or B (Instrument
reserved downward), the indicator giving origin of instrument reservation set to A
(Automatic) and an action code (CActModEtaVal) of R (Reservation).
If the instrument is already reserved or suspended: the conditions for sending this message
are identical to those of the Opening of an instrument function (see below).
Opening of an instrument (immediate or programmed)
If the Theoretical Opening Price cannot be determined,
•If some Must-Be-Filled orders (In the strict sense: excluding Market Orders) or some
Market On Opening orders are unfilled, the system sends an RLC-05 – Instrument State
Change message with an instrument trading state indicator (IEtaCotVal) at H (Instrument
reserved upward) or B (Instrument reserved downward), the indicator giving origin of
instrument reservation (IOrgResVal) set to A (Automatic) and an action code
(CActModEtaVal) of R (Reservation).
•Otherwise, the system sends an RLC-05 – Instrument State Change message with an
action code (CActModEtaVal) of O (Changes to Open state).
If the Theoretical Opening Price has been determined and falls within the price thresholds,
the system sends an RLC-05 – Instrument State Change message with the action code
(CActModEtaVal) set to C (Trading), followed by an RLC-05 – Instrument State Change
message with an action code of O (Changes to Open state).
If the Theoretical Opening Price has been determined and falls outside the price thresholds,
the system sends an RLC-05 – Instrument State Change message with an instrument
trading state indicator (IEtaCotVal) of H (Instrument reserved upward) or B (Instrument
reserved downward), the indicator giving origin of instrument reservation (IOrgResVal) set to
A (Automatic) and an action code (CActModEtaVal) of R (Reservation).
Instrument auction (immediate or programmed)
If the Theoretical Opening Price cannot be determined,
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•If (the instrument is neither suspended nor reserved before the auction, and some Must-
Be-Filled orders or some Market Orders or some At Opening orders are unfilled) or (the
instrument is suspended or reserved before the auction and some Must-Be-Filled orders
or At Opening orders are unfilled), the system sends an RLC-05 – Instrument State
Change message with an instrument trading state indicator (IEtaCotVal) of H (Instrument
reserved upward) or B (Instrument reserved downward), the indicator giving origin of
instrument reservation (IOrgResVal) set to A (Automatic) and an action code
(CActModEtaVal) of R (Reservation).
•Otherwise, if in addition the instrument was not open before the auction, the system
sends an RLC-05 – Instrument State Change message with the action code
(CActModEtaVal) of O (Change to Open state).
•If the instrument was authorized for order entry, the system sends an RLC-05 –
Instrument State Change message with an action code (CActModEtaVal) set to I (Order
entry forbidden).
If the Theoretical Opening Price has been determined and falls within the price thresholds,
the system sends an RLC-05 – Instrument State Change message with an action code
(CActModEtaVal) of C (Trading), followed by an RLC-05 – Instrument State Change message
with an action code of O (Change to Open state).
Page 18 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
If the Theoretical Opening Price has been determined and falls outside the price thresholds,
the system sends an RLC-05 – Instrument State Change message with an instrument
trading state indicator of (IEtaCotVal) H (Instrument reserved upward) or B (Instrument
reserved downward), the indicator giving origin of instrument reservation (IOrgResVal) set to
A (Automatic) and an action code (CActModEtaVal) of R (Reservation), followed by an RLC-05
– Instrument State Change message with an action code of I (Order entry forbidden) if the
instrument was authorized.
Processing of an order during the Continuous Trading phase
If the instrument is frozen, the system sends an RLC-05 – Instrument State Change message with an
action code (CActModEtaVal) of G (Freeze of an instrument).
Market Control commands
Programming of a deferred opening for a reserved or suspended instrument: an RLC-05 –
Instrument State Change message is sent with an action code (CActModEtaVal) of P and a
programmed opening time provided and a space for the instrument trading state indicator
(IEtaCotVal).
Cancellation of a deferred opening: an RLC-05 – Instrument State Change message is sent
with an action code (CActModEtaVal) of D.
Reservation of an instrument by a Market Control command: an RLC-05 – Instrument State
Change message is sent with an instrument trading state indicator (IEtaCotVal) of H, B or P
and an action code (CActModEtaVal) of M.
Suspension of an instrument:
•If the suspension command relates to a reserved instrument with a programmed
deferred opening, an RLC-05 – Instrument State Change message is sent with a space
for the instrument trading state indicator (IEtaCotVal) and an action code
(CActModEtaVal) of D.
•In all cases, an RLC-05 – Instrument State Change message is sent with an instrument
trading state indicator (IEtaCotVal) of S and an action code (CActModEtaVal) of M.
Forbidding or authorization of an instrument: an RLC-05 – Instrument State Change
message is sent with a space for the instrument trading state indicator (IEtaCotVal) and an
action code (CActModEtaVal) of I or A.
Stopping of the broadcasting of the market sheet for an instrument (Change to a Fast
Market): an RLC-05 – Instrument State Change message is sent with a space for the
instrument trading state indicator (IEtaCotVal) and an action code (CActModEtaVal) of F.
Resumption of the broadcasting of the market sheet for an instrument (Return to a Slow
Market): an RLC-05 – Instrument State Change message is sent with a space for the
instrument trading state indicator (IEtaCotVal) and an action code (CActModEtaVal) of S.
Elimination of all orders in the book for an instrument: an RLC-05 – Instrument State
Change message is sent with an action code (CActModEtaVal) of E.
If the instrument is thawed, the system sends an RLC-05 – Instrument State Change
message with an action code (CActModEtaVal) of G (Thaw of an instrument).
Post-Session
Rebroadcasting of the Market Sheet: for each instrument for which rebroadcasting has not been
explicitly forbidden, an RLC-05 – Instrument State Change message is sent.
Tehran Stock Exchange
Page 19 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-07/08 – START/END OF SESSION
Issuing applications: NSC®, TCS, PFI2
Field
Occ. Type Length Pos. Short description
Pge
Headers
Message length
0
Processing rules
The Start of Session message indicates the start of a system at the beginning of a new trading
session. More precisely, this message announces, at the beginning of each new trading day, that the
system is starting its activity of sending RLC messages.
As a general rule, each system that sends RLC messages sends 0 or 1 start of session message per
trading day. However:
•NSC® sends one start of session message per trading unit;
•the sending of such a message is optional (some system do not send it).
The End of Session message indicates the end of the Trading session and that no more messages
will be sent except the following messages:
•RLC-A3 – Market Sheet
•RLC-AO – Start / End of Market Sheet Broadcasting
NSC® Transmission functions
Management of start of session for trading day
The start of session management process sends a starting message to the broadcasting process. It
then sends all messages generated by "Post-Session" processing during post-session.
Changeover the group of instrument's status
The session management process sends an End of Session message as soon as all the non-
forbidden groups of instruments have switched to post-session state (End-of-Day Inquiries).
PFI2 Transmission Functions
The PFI2 application sends 1 type-07 message per trading day. This message is sent by the start-of-
day batch processes, which are started at a specific configurable time (currently, 6:15 am CET). This
message precedes all other RLC messages sent by PFI2.
the PFI2 application sends 1 type-08 message per trading day. This message is sent by the end-of-
day batch processes, which are started when all the following conditions are met:
1. the earliest time for starting end-of-day batch processes has been reached (a configurable
time).
2. the Cash Instruments Reference Data coming from RCE has been processed.
3. all indices are closed (and therefore all type-B2 messages have been sent).
Tehran Stock Exchange
Page 20 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-16 – GROUP STATE CHANGE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
CIdGrcX21 Instrument group identification101
CEtaGrcX13 Instrument group state97
ZPcsNSCEmetMsgRLCGrcN24 Number of Trading Units used by the group188
FillerX236
Message length
28
Processing rules
Indicates a change in the state of an instrument group.
The number of messages of this type corresponds to the number of NSC® trading units for the
corresponding group, and the number of these links is stated in the message
(ZPcsNSCEmetMsgRLCGrc).
Transmission functions
Session management in case of change of group instrument's status
A RLC-16 – Group State Change message is transmitted every time the status of a group of
instruments changes. Both the group of instruments code (CIdGrc) and the new status (CEtaGrc) are
transmitted by the broadcasting process (except for change to post-session).
Session management in case of trading interruption
A RLC-16 – Group State Change message is transmitted whenever a group of instruments is
interrupted. For an overall market interruption, one message is sent per group of instruments.
Session management in case some groups of instrument are forbidden
A RLC-16 – Group State Change message is transmitted whenever a group of instruments is
forbidden. For an overall market interruption, one message is sent per group of instruments.
Tehran Stock Exchange
Page 21 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-23 – TEXT MESSAGE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
YMarMsgX21 Type of Market concerned by the message179
IUrgX13 Priority Indicator131
YCrlX14 Nature of Message177
YDestX25 Address type177
CIdMsgX37 Message Number102
ZTotSegX210 Number of messages in this message189
NSeqSegX212 Sequence number of message within this message138
LTitX8014 Message title136
LMsgX85494 Message text134
Message length
947
Processing rules
Enables the Market Control to send a free text to the market participants.
This type of message is sent by the Market Control to inform brokerage firms about events of general
interest that occurred in the market (halting of stocks, deletion of order books, new listing of stocks,
various technical messages, etc.)
A long message can be split into several transmissions, each of which is a separate message (type
23). Information in the header enables to rebuild the entire message.
Transmission functions
The message is sent through the Market Surveillance tool SPI MAIL.
Tehran Stock Exchange
Page 22 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-30 – THEORETICAL OPENING PRICE
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
1 Theoretical Opening Price148
IFtX11 Decimal point locator124
QMtN132 Amount151
N1215 Total traded quantity at opening159
128
PTeoOvJ
QXtePTeoOvj
ISensVarPX1Last trade price variation as compared to the reference
27
priceFiller9528CSensQNrepOvX133 Unfilled quantity side at opening price109
QNrepOvN1234 Unfilled quantity at opening154
QTitMeLimSimAcN1246 Total simulated buy quantity156
58 Simulated buy price145
IFtX158 Decimal point locator124
QMtN1359 Amount151
72 Simulated sell price145
IFtX172 Decimal point locator124
QMtN1373 Amount151
N1286 Total simulated sell quantity156
PMeLimSimAcVal
PMeLimSimVtVal
QTitMeLimSimVt
XQVarPJDrPRf
98 Price Variation As Compared to Reference Price171
98 Decimal point locator124
151
IFtX1QMtN1399 Amount
FillerX6112
Message length
117
Processing rules
Indicates an instrument's Theoretical Opening Price, or TOP (also known as an Indicative Opening
Price, or IOP): what the trading price would be if the instrument were to open at the moment when
the calculation was made (PTeoOvJ).
Furthermore, the message provides for both sides the simulated prices (PMeLimSimAcVal and
PMeLimSimVtVal), the total simulated quantities (QTitMeLimSimAc and QTitMeLimSimVt), as well as
the side (CSensQNrepOv) and quantity (QNrepOv) that would remain unfilled and the price variation
as compared to the reference price (XQVarPJDrPRf).
An RLC-30 – Theoretical Opening Price message is transmitted if the theoretical price or if any datum
of the message (except the variation) varies.
If the theoretical price remain undetermined, but the reason for this indetermination changes, then a
RLC-30 – Theoretical Opening Price message is sent.
Transmission functions
Tehran Stock Exchange
Page 23 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
Every function capable of entailing recalculation of the Theoretical Opening Price can trigger the
transmission of this message.
•
Management of the group of instruments pre-opening preparation session:
This processing can be triggered either in Session or in Post-session.
•Entering and Order processing in pre-opening mode
•Changes in previous day's adjusted closing price
•Changes to reference price and tick limit
•Overall cancellation of a Subscriber's orders
•Overall cancellation of orders for a group of instruments
•Cancellation of orders in the book for an instrument
Note: If the variation is the only modified item, the message is not sent because the variation is not
stored in the database.
Tehran Stock Exchange
Page 24 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-32 – OPENING SUMMARY
Issuing application: NSC®
Field
Occ. Type Length Pos. Short description
Pge
Headers
1 First trade price of the trading day147
IFtX11 Decimal point locator124
QMtN132 Amount151
15 Last trade price of the trading day143
IFtX115 Decimal point locator124
QMtN1316 Amount151
29 Highest trade price of the trading day147
IFtX129 Decimal point locator124
QMtN1330 Amount151
43 Lowest trade price of the trading day146
IFtX143 Decimal point locator124
QMtN1344 Amount151
YPOvValN257 Trend flag183
QTitNgOvValN1259 Total traded quantity at opening158
ISensVarPX171FillerX572CSensVarPTranPPX177
PPrCJ
DrCotJ
PPhSeaCotJ
PPbSeaCotJ
XQVarPJDrPRf
Last trade price variation as compared to the reference
128
price
Sign of price variation as compared to the previous
price
109
78 Price Variation As Compared to Reference Price171
IFtX178 Decimal point locator124
QMtN1379 Amount151
FillerX2692
Message length
117
Processing rules
Summarizes an instrument's opening trades.
The RLC-32 – Opening Summary message is sent after an instrument opening (fixing) that has been
traded to summarize the opening (fixing), or if the first trade(s) occurred during continuous trading.
The message provides the first (PPrCJ), highest (PPhSeaCotJ), lowest (PPbSeaCotJ) and last (DrCotJ)
trade prices for the trading day, the total traded quantity at opening (QTitNgOvVal), as well as the sign
of variation (CSensVarPTranPP) as compared to the previous traded price and the variation
(XQVarPJDrPRf) as compared to the reference price of the instrument. The trend indicator YPOvVal()
indicates whether this corresponds to the 1st opening on the instrument or to the first traded price
(value 04) or the nth opening if the instrument has already traded (value 07).
Tehran Stock Exchange
Page 25 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
Transmission functions
Opening a group of instruments
For each instrument with a TOP between the thresholds, an RLC-32 – Opening Summary message is
sent. Trades take place at the TOP. The message summaries the opening.
Instrument opening
If the instrument has a TOP between the thresholds, an RLC-32 – Opening Summary message is
sent.
Instrument fixing
If the instrument has a TOP between the thresholds, an RLC-32 – Opening Summary message is
sent.
Entering and processing the order in continuous trade mode
During continuous trading, when an instrument is traded for the first time (first trade of the day), an
Opening Summary message is sent after the RLC-01 – Opening Trade messages. This message
summaries the Opening trade.
Tehran Stock Exchange
Page 26 of 175Public Message Specifications
NSC V900 Series
RLC Messages
Message Structures
RLC-33 – TCS TRADE
Issuing application: TCS
Field
Occ. Type Length Pos. Short description
Pge
Headers
QTitTran
N
12
PTran
1 Traded quantity158
13 Trade Price149
IFtX113 Decimal point locator124
151
QMtN1314 Amount
FillerX827
FillerX835
QTitNgJN1243 Total traded quantity of the trading day
FillerX155