Eurex Sample Enumerations#

A subset of symbols from Eurex covering Futures for products FDAX (DAX), FESX (Euro Stoxx 50 Index), FTUK (FTSE 100 Index). Between January 2,2024 and March 31, 2024

The following fields have Enumerations:

  • AGGRESSOR_SIDE - Indicates whether a trade resulted from an incoming buy or sell order.

  • ASK_COND - Quote condition applicable to the best ask

  • BID_COND - Quote condition applicable to the best bid

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

  • MKT_COND - Indicates any unusual market conditions

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

  • 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_DIVIDEND_IND - Identifies whether a trade includes special dividend arrangements, e.g. a trade sold cum-dividend during an ex-dividend period.

  • 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_OFF_BOOK_AUTO_IND - Identifies whether an off-book trade report was executed via a manual or automated process.

  • 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

AGGRESSOR_SIDE - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Undefined (e.g. auction trades, off-book trades)

B

Buy

S

Sell
ASK_COND - Enumeration#

Enumeration ID

Enumeration Description

‘””’

No condition

I

Ask size consists only of implied liquidity

O

Ask size consists only of outright liquidity

P

Ask size contains both outright and implied liquidity
BID_COND - Enumeration#

Enumeration ID

Enumeration Description

‘””’

No condition

I

Bid size consists only of implied liquidity

O

Bid size consists only of outright liquidity

P

Bid size contains both outright and implied liquidity
CALL_PUT_IND - Enumeration#

Enumeration ID

Enumeration Description

C

Call option

P

Put option
MKT_COND - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Normal market conditions

F

Fast market

FS

Fast + stressed market

S

Stressed market
MKT_PHASE - Enumeration#

Enumeration ID

Enumeration Description

BOOK

Order management

CALL

Auction call

CIRAUCL

Circuit breaker auction triggered by breach of static trading limits (call phase)

CIRAUCLFRE

Circuit breaker auction triggered by breach of static trading limits (uncrossing phase)

CIRCAUC

Circuit breaker auction

CIRCAUCFRE

Circuit breaker auction freeze

CLOSAUC

Closing auction call

CLOSAUCFRE

Closing auction freeze

CLOSE

Closed

CONTINUOUS

Continuous trading

FREEZE

Continous auction freeze

INTRAUC

Intraday auction

INTRAUCFRE

Intraday auction freeze

OPENAUC

Opening auction call

OPENAUCFRE

Opening auction freeze

RESTRICTED

Trading halted, orders can only be deleted
MMT_BENCHMARK_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not applicable
MMT_CROSS_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not a cross trade
MMT_DEFERRAL_TYPE - Enumeration#

Enumeration ID

Enumeration Description

-

No deferral / unspecified
MMT_DIVIDEND_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not applicable
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

8

Hybrid
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 applicable
MMT_OFF_BOOK_AUTO_IND - Enumeration#

Enumeration ID

Enumeration Description

-

Not applicable
MMT_PRICE_FORMING_IND - Enumeration#

Enumeration ID

Enumeration Description

J

Trade not contributing to the price discovery process

P

Plain vanilla (price-forming) trade

Z

Price not applicable
MMT_PUB_MODE - Enumeration#

Enumeration ID

Enumeration Description

-

Immediate publication
MMT_TRANS_CAT - Enumeration#

Enumeration ID

Enumeration Description

-

Not applicable

Y

Exchange for physical

Z

Package trade
MMT_TRD_MODE - Enumeration#

Enumeration ID

Enumeration Description

1

Auction

2

Continuous trading

3

Trading at market close

5

Trade reporting (on-exchange)

6

Trade reporting (off-exchange)

I

Intraday auction

K

Closing auction

O

Opening auction

U

Unscheduled auction
TRADE_TYPE - Enumeration#

Enumeration ID

Enumeration Description

‘””’

Regular trade

AUC

Auction trade

BAS

Basis trade

BLK

Block trade

BLKL

Block leg trade

BTAM

Block trade at market

CAN

Trade cancellation

DTAM

Delta trade at market

EFP

Exchange for physical

EFPF

Financial EFP

EFPI

Index futures EFP

EFS

Exchange for swap

ENL

EnLight trade

ENLL

EnLight leg trade

IMP

Implied trade

LEG

Strategy leg trade

LIC

Liquidity improvement cross [Eurex Improve / CLIP trade]

ND

Non-disclosed trade

OOS

Out of sequence [Trade entered manually by Market Supervision]

PCMP

Portfolio compression trade [until 20230728]

QTP

QTPIP block trade [Qualified 3rd Party Information Provider]

VOLA

Volatility trade

XAUC

Cross auction trade [trade in an outright instrument executed via implied markets as part of the uncrossing process for a spread]