MEFF Exchange Enumerations#

MEFF is the Spanish derivatives exchange, offering trading in futures and options on Spanish equities, indices, and interest rates.

The following fields have Enumerations:

  • CALL_PUT_IND - “C” - Call option, “P” - Put option

  • MKT_PHASE - Indicates the instrument’s current market phase, as specified by the trading venue

  • MMT_ALGO_IND - Identifies whether a trade involved an algorithmic order.

  • MMT_BENCHMARK_IND - Identifies whether a trade was priced according to a defined benchmark (e.g. VWAP) or reference price (e.g. midpoint of the primary market BBO), or whether it was part of a trade in multiple instruments (contingent trade or portfolio trade).

  • MMT_CROSS_IND - Identifies agency cross trades, where a broker crossed two client orders outside the order book.

  • MMT_DEFERRAL_TYPE - Type of publication deferral or subsequent enrichment applied to a trade report.

  • MMT_DUP_IND - Identifies trades reported to more than one Approved Publication Arrangement.

  • MMT_MKT_MECH - Market mechanism through which a trade was executed.

  • MMT_MOD_IND - Identifies trade cancellations, or amendments of a previous trade.

  • MMT_NEGOTIATED_IND - Indicates privately negotiated trades, or Systematic Internaliser trades exempt from pre-trade transparency.

  • MMT_PRICE_FORMING_IND - Identifies whether a trade is price-forming, or contributes to the price discovery process.

  • MMT_PUB_MODE - Identifies whether a trade was subject to delayed publication, and the reason for the deferral.

  • MMT_TRANS_CAT - Identifies various special categories of trade.

  • MMT_TRD_MODE - Trading period during which an on-book trade was executed, or origin of an off-book trade report (on-exchange / off-exchange / SI).

  • TRADE_TYPE - Type of trade

CALL_PUT_IND - Enumeration#

Enumeration ID

Enumeration Description

C

Call option

P

Put option
MKT_PHASE - Enumeration#

Enumeration ID

Enumeration Description

1

Pre-trading

100

Trading at closing price

101

End of closing auction

102

Closing price calculation

2

Opening auction

202

Not started

203

Open

204

Closed

3

Continuous trading

4

Closing auction

5

Post-trading

6

Intraday auction

9

Unscheduled auction

A

Accepting orders

a

Auction

B

Break

C

Closed

c

Extended closing auction

E

Post-trading

H

Halted

I

Intraday auction

L

Closing auction

m

Manual auction

M

Pre-trading

n

Not tradable

o

Extended opening auction

r

Halted by Regulator

s

Halted by Market Surveillance

T

Continuous trading

U

Underlying halted

V

Suspended

v

Volatility auction

Z

Trading at last price
MMT_ALGO_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not an algorithmic trade

H

Algorithmic trade
MMT_BENCHMARK_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not a benchmark trade

B

Benchmark trade

S

Reference price trade
MMT_CROSS_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not a cross trade

X

Agency cross trade
MMT_DEFERRAL_TYPE - Enumeration#

Enumeration ID

Enumeration Description

-

No deferral / unspecified

1

Limited details

2

Daily aggregated trade

3

Volume omission trade

4

4 weeks aggregated trade

5

Indefinite aggregated trade

6

Volume omission trade eligible for enrichment in aggregated form

7

Full details of earlier Limited Details trade

8

Full details of earlier Daily Aggregated trade

9

Full details of earlier Volume Omission trade

V

Full details of 4 Weeks Aggregated trade

W

Full details of Volume Omission trade eligible for enrichment in aggregated form
MMT_DUP_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Unique trade report
MMT_MKT_MECH - Enumeration#

Enumeration ID

Enumeration Description

1

Central Limit Order Book

4

Off Book

6

Request for Quote
MMT_MOD_IND - Enumeration#

Enumeration ID

Enumeration Description

-

New trade

A

Amended trade

C

Trade cancellation
MMT_NEGOTIATED_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not a negotiated trade

1

Negotiated trade in liquid instruments

2

Negotiated trade in illiquid instruments

3

Negotiated trade subject to conditions other than the current market price

N

Negotiated trade
MMT_PRICE_FORMING_IND - Enumeration#

Enumeration ID

Enumeration Description

J

Trade not contributing to the price discovery process

N

Price not available but pending

P

Plain vanilla (price-forming) trade

T

Non-price forming (technical) trade
MMT_PUB_MODE - Enumeration#

Enumeration ID

Enumeration Description

-

Immediate publication

1

Delayed publication (including late reported)

2

Deferred publication (Large in Scale)

3

Deferred publication (illiquid instrument)

4

Deferred publication (size specific to instrument)

5

Deferred publication (illiquid instrument and size specific to instrument)

6

Deferred publication (illiquid instrument and Large in Scale)
MMT_TRANS_CAT - Enumeration#

Enumeration ID

Enumeration Description

-

Not applicable

Z

Package trade
MMT_TRD_MODE - Enumeration#

Enumeration ID

Enumeration Description

1

Auction

2

Continuous trading

5

Trade reporting (on-exchange)

I

Intraday auction

K

Closing auction

O

Opening auction

U

Unscheduled auction
TRADE_TYPE - Enumeration#

Enumeration ID

Enumeration Description

0

Regular trade

1

Cross trade (outside hours) [until 20221117]

2

Cross trade

3

Delta trade

4

Spread trade [until 20241231]

5

Strategy leg trade

RFQ

RFQ trade