FuturesProductDefinitionEventArgs Class | Table of Content | AccruedPremiumAmt Property |
FuturesProductDefinitionEventArgs Properties |
The FuturesProductDefinitionEventArgs type exposes the following members.
Name | Description | |
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AccruedPremiumAmt |
Total Premium Accrual: Premium that has accrued during the current quarterly payment period.
Based on 100 Notional and will be applied to the 'A' value.
Number of decimal places for AccruedPremiumAmt is 10.
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AlignmentInterestRate |
Price Alignment Interest (C): Eris PAI is the cumulative daily interest on variation margin
adjustment for 100 notional. Eris PAI is one of the primary inputs needed for calculating a
futures price for a swap future.
Denominator value for AlignmentInterestRate is 10.
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AllowOptions |
Indicates if the market supports option markets.
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AllowsImplied |
AllowsImplied Indicate if implication is done for a
given spread market and its given outright leg markets.
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AltPriceDenominator |
Denominator for the alternate deal price fields in the market.
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AONAllowed |
Indicates if AON order is supported in the market.
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BlockDetails |
Collection of block details.
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BlockTickValue |
Identifies the monetary amount per tick move when calculated for
Off-Exchange trades.
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ClearedAlias |
Clearing limit admin related.
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ContractSize |
The deliverable quantity of a stock, commodity, or other financial
instrument that underlies a futures or options contract.
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ContractSizeDenominator |
Denominator for ContractSize.
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ContractSymbol |
See Naming Convention on Appendix D.
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CouponRate |
Fixed Rate: The fixed rate for an instrument.
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CouponRateDenominator |
Fixed Rate: The fixed rate Denominator for an instrument.
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CreditRating |
Rate Descriptor: The description of Float Rate.
Sent for float leg on aged or spot starting swap futures.
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CrossOrderSupported |
Indicates if Cross order is supported in the market.
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Currency |
The currency that the market is traded on.
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DatedDate |
Cash Flow Alignment Date: The cash flow alignment date is a date not adjusted
for holidays used to derive interest payment dates. Any calendar day.
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DealPriceDenominator |
Denominator for the deal price fields in the market.
For most markets, this is the same as OrderPriceDenominator.
However, it could be different for some crack or spread markets.
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EventPaymentAmt |
CDS - Premium & Credit Event Payments (B): This value represents historical premium and
credit event payments for 100 notional, and is one of the primary inputs needed for
calculating a futures price for a swap future.
IRS - Accrued Coupons (B Value): This value represents historical fixed and floating
payments for 100 notional, and is one of the primary inputs needed for calculating a
futures price for an interest rate swap future.
Number of decimal places for EventPaymentAmt is 10. This value can be negative.
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ExchangeSilo |
Exchange silo code for the market.
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Factor |
Index Factor: Percentage of the original index that is still accruing interest.
Number of decimal places for Factor is 2.
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FlexAllowed |
Indicates if flexible strikes can be created for the option market.
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GTAllowed |
Indicates if GTC is allowed in the market.
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HedgeMarketId |
Market ID for the corresponding hedge market. It will be set to -1 when not applicable.
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HedgeOnly |
Indicate if the contract is for hedge only.
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HubAlias |
Alias of the hub for the contract/market.
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HubId |
ID of the hub for the contract/market.
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IncrementPrice |
Minimum increment price for this market.
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IncrementQty |
Minimum increment quantity for this market.
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InstrRegistry |
Payment Frequency: The interest rate swap future payment frequency.
Supported values:
6M = 6 months
1Y = 1 year
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InterestAccrualDate |
Effective Date: The effective date of the swap future. Any business day.
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InterpolationFactor |
Interpolation Factor: Multiplier that when applied to the longer rate in the CreditRating
(Rate Descriptor) field results in RepurchaseRate (Previous Fixing Rate). Not sent for
forward starting interest rate swap futures.
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InterpolationFactorDenominator |
Denominator value for ContractMultiplier.
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IsBlockOnly |
Indicates if Market is only tradable via ICE Block Trade. This also
means the screen trading is not allowed for the market.
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IsCrackSpread |
Indicates if the market is crack spread.
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IsDividendAdjusted |
Indicates if dividend is adjusted.
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ISIN |
This ISIN is only supported for MiFID Regulated Markets.
Of the MiFID markets, only Futures and Options markets
will support ISINs; some strategies will have an ISIN.
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IsInterested |
Is a flag allows the user to specify that the product is interested to user.
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IsSerialOptionsSupported |
Indicate if serial options is supported.
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IsSpread |
Indicates if the market is a spread.
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IssueDate |
First Fixing Date: The first Fixing Date is the date at which the float
rate is set during the first float period. Any acceptable business day.
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IsTradable |
Indicate if the contract is tradable.
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LotSize |
The lot size is minimum size of contracts in lots.
It is multiplier to determine the total lots.
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MarketDescription |
Description of the market.
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MarketId |
Unique identifier of a market.
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MarketTransparencyType |
This field can be used to identify if a market is Platts or not.
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MaturityDate |
Maturity date.
Last date that the market can be traded and should be removed from the system.
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MaxPrice |
Maximum Price.
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MICCode |
Market Identifier Code for the market.
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MIFIDRegulatedMarket |
Indicates MIFID-II market.
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MinPrice |
Minimum Price.
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MinQty |
Minimum quantity for this market.
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NumDecimalsOptionsPrice |
Only used for `OffExchangeIncrementOptionPrice`.
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NumOfCycles |
Number of cycles (days, hours, MWh, etc) for a contract.
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NumOfMarkets |
The number of markets for the given market type.
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OffExchangeIncrementOptionPrice |
Off exchange options increment price.
NumDecimalsOptionsPrice should be applied to this field.
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OffExchangeIncrementPrice |
Off exchange increment price.
OrderPriceDenominator should be applied to this field.
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OffExchangeIncrementQty |
Off exchange increment qty.
OffExchangeIncrementQtyDenominator should be applied to this field.
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OffExchangeIncrementQtyDenominator |
Denominator for OffExchangeIncrementQty.
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OldTickValue |
Use ScreentickValue and BlockTickValue instead of this field.
OrderPriceDenominator should be applied to get the real value.
Please take note that this value can be different for the same markets
with different expiry and that this value can change over time for a
given market (i.e. `MarketID`).
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OptionsExpirationDate |
Options Expiration Date.
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OrderPriceDenominator |
Denominator for the order price fields in this market.
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OverrideBlockMin |
Indicates whether the Block Minimum can be overridden for the market.
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PrimaryMarketId |
Ignored when it is not spread.
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ProductId |
ID of the product that the contract/market is under.
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ProductName |
Name of the product that the contract/market is under.
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RefSpreadProductId |
Product ID to use when requesting new spread.
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RepurchaseDate |
Previous Fixing Date: The date the floating rate was set for the next floating payment.
Milliseconds since Jan 1st, 1970, 00:00:00 GMT. 0 is valid for this field up until the
First Fixing Date (IssueDate).
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RepurchaseRate |
Previous Fixing Rate: The rate set on the last reset date.
Sent for float leg on aged or spot starting swap futures.
Not sent for forward starting swap futures.
Number of decimal places for RepurchaseRate is 5.
0 is valid for this field up until the First Fixing Date (IssueDate).
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RequestMarketType |
See Appendix C for the list of market types and IDs.
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RequestSeqId |
The original request sequence ID assigned by client, unique per session.
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ScreenLastTradeDate |
ScreenLastTradeDate is the last date, by Exchange rule, that the
market is available for trading on the Central Order Book. It applies
to all cleared instruments on the trading platform.
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ScreenTickValue |
Identifies the monetary amount per tick move when calculated from the
Central Limit Order Book.
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SecondaryMarketId |
Ignored when it is not spread.
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SecuritySubType |
Contains the Strategy Code for defined market where applicable.
See Appendix E for list of codes.
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SettlementType |
Settlement Type.
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SettlePriceDenominator |
Denominator for the settlement price fields in the market. For most markets, this is the same as DealPriceDenominator.
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StripId |
ID of the strip for the contract/market.
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StripName |
Name of the strip for the contract/market.
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TestMarketIndicator |
Indicates Test Market.
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TickValueDenominator |
Denominator for ScreenTickValue and BlockTickValue.
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TradingStatus |
See appendix A on trading status codes.
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UnderlyingISIN |
The ISIN of the security this market is associated with.
This is currently only populated for Liffe Equity markets.
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UnitOfMeasure |
Unit Of Measure.
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UnitQtyDenominator |
Denominator for UnitQuantity. Clients should also apply UnitQtyDenominator when calculating LotSize.
This field will be '0' or most of the markets.
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UnitQuantity |
The quantity in unit of measurement per lot.
For example, it is 1000 barrels per lot for Brent.
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