ICE Market Data Subscriptions Via MFT Description and Connectivity Guide

ICE Market Data Subscriptions via MFT Description and Connectivity Guide

Version 1.4.1 05 August 2021

Contents 1. Overview ...... 1 2. Content, availability, and history ...... 2 2.1. End Of Day (EOD) Report - Futures & Options ...... 2 2.2. Settlement Snapshot - Futures & Options ...... 3 2.3. Markers and Indices ...... 5 3. MFT connectivity ...... 7 3.1. ICE MFT ID types ...... 7 3.2. Access Authentication ICE ...... 7 3.3. Network connectivity ...... 7 3.4. SFTP clients ...... 7 4. Publications and fees ...... 9 5. Data Dictionary ...... 11 5.1. End Of Day (EOD) Report - Futures & Options ...... 11 5.2. Settlement Snapshot - Futures & Options ...... 13 5.3. Markers and Indices Reports ...... 14 6. File Naming Conventions ...... 15 6.1. End Of Day (EOD) Report - Futures & Options ...... 15 6.2. Settlement Snapshot - Futures & Options ...... 16 6.3. Markers and Indices Reports ...... 17 7. Version Management ...... 18

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ICE Data Subscriptions via MFT 1. Overview

ICE Data offers a variety of proprietary data from markets operated by ICE as well as ICE Markers and Indices. This data can inter alia be used for general market insight, compliance and risk management.

As seen on the Report Center of the ICE website, a select set of market data reports is made available over a Managed File Transfer (MFT) solution (“ICE MFT”), where subscribers can retrieve the reports in a secure, efficient and reliable manner. All data files are published in a Comma Separated Values (CSV) file.

The available subscriptions are summarized in Section 4 (Publications and Fees) and can be purchased through the ICE Dashboard. The data in these reports is made available on days on which the market is open. Please visit the ICE website for Holiday Hours of the relevant ICE market.

The purpose of this Description and Connectivity Guide is to serve as a reference for ICE Data subscribers in connecting to the ICE MFT as well as interpret the content of the data files included to their subscription.

For any questions regarding the license and content, please speak with your ICE Data contact or send an email to [email protected].

For MFT connectivity support, please email [email protected] or call +1 - (770) 738 -2101.

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2.1. End Of Day (EOD) Report - Futures & Options Content The EOD reports provides a daily market summary for futures and options and includes the data fields shown in table 1 (Data field in EOD Report) below.

Futures Options TRADE_DATE CLOSE_PRICE TRADE_DATE CLOSE_PRICE LONG_NAME SETTLEMENT_PRICE LONG_NAME SETTLEMENT_PRICE HUB TOTAL_VOLUME HUB TOTAL_VOLUME PRODUCT OPEN_INTEREST PRODUCT OPEN_INTEREST COMMODITY EFP_VOLUME COMMODITY EFP_VOLUME STRIP EFS_VOLUME STRIP EFS_VOLUME LOW_PRICE BLOCK_VOLUME PUT_CALL BLOCK_VOLUME HIGH_PRICE SPREAD_VOLUME STRIKE SPREAD_VOLUME OPEN_PRICE LOW_PRICE OPTION_VOLATILITY HIGH_PRICE DELTA_FACTOR OPEN_PRICE Table 1. Data fields in EOD Report For more information about these files, please see section 5 (Data Dictionary) and section 6 (File Naming Conventions).

Availability The EOD reports can be found in the following folders on the ICE MFT: • Futures: /EndOfDayReports/[Market]/Futures. • Options /EndOfDayReports/[Market]/Options.

The EOD files are published on the ICE MFT twice per day. The first publication includes the data for the current Trade Date as listed in table 1 above, with the exception of Open Interest. The second publication takes place the first business day following the Trade Date and updates the EOD files to include Open Interest.

The EOD files for Trade Date (D) are published at the following times.

EOD Report US Eastern London Singapore First publication 20:30 - 22:00 01:30 - 03:00 (D+1) 08:30 - 10:00 (D+1) Second publication 06:00 - 07:00 (D+1) 11:00 - 12:00 (D+1) 18:00 - 19:00 (D+1)

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Publication times and updates may vary among the various publications. Delays in publishing and/or updating files may occur due to market volatility or any other reason.

History In addition to the daily EOD reports for futures and options, historical EOD reports are made available from 02 April 2018 to the current business day. This is subject to change and subscribers will be given advanced notice before the ICE MFT directories are updated. Any further historical EOD data (“Back History”) is available for purchase on ICE Dashboard.

2.2. Settlement Snapshot - Futures & Options Content - Regular Settlement Snapshots The Settlement Snapshot is a supplementary report for futures and options and includes the data fields shown in the table 2 (Data fields in Settlement Snapshot) below.

Futures Options SETTLEMENT PRICE DATE SETTLEMENT PRICE MARKET ID DATE HUB MARKET ID PRODUCT HUB COMMODITY CODE PRODUCT STRIP COMMODITY CODE CONTRACT TYPE STRIP SETTLEMENT PRICE STRIKE PRICE PRODUCT ID CONTRACT TYPE SETTLEMENT PRICE PRODUCT ID OPTION_VOLATILITY DELTA_FACTOR Table 2. Data fields in Settlement Snapshot The Settlement Snapshot files contain the same ICE Market Types as those included in the EOD Report (above) and provide settlement data for all futures and options contracts (full curve). These files are currently not available for ICE Futures US - Energy Division nor ICE Futures Europe - S2F Oil.

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© 2021 Intercontinental Exchange, Inc. Content - Utility Markets Settlement Snapshot Additional Utility Market Settlement Snapshots are published at 18:00 London time and again on 19:00 London time, containing futures and options contracts included in the following Market Types (Table 3. Utility Market Types - Settlement Snapshot).

ICE Futures Europe - market types ICE Endex - market types First Publication: First Publication: IPE Natural Gas Futures Belgian Power Futures UK Emissions Allowances Dutch Power Futures UK Emissions Auction Dutch TTF Gas Futures EU Aviation Emissions Allowances Second Publication: EU Emissions Allowances IPE Natural Gas Futures EU Financial Power Futures UK Emissions Allowances European Gas Futures UK Emissions Auction German Natural Gas Futures CFR South China Coal Futures Italian Natural Gas Futures FOB Indo sub-bit Coal Futures gC Newcastle Coal Futures ICE Richards Bay Coal Futures ICE Rotterdam Coal Futures IPE UK Electricity Futures Base IPE UK Electricity Futures Peak Table 3. Utility Market Types - Settlement Snapshot The Utility Market Settlement Snapshots for the ICE Futures Europe market types are included in the ‘ICE Futures Europe Commodities (non-S2F)’ subscription. The Utility Market Settlement Snapshots for the ICE Endex market types are included in the ‘ICE Endex’ subscription.

The files containing the Utility Market Settlement Snapshots include the settlement data for strategies (quarter, summer, winter, calendar) as well as a relative period indicator for these strategies (e.g. M1, S3, C2)1.

The Utility Market Settlement Snapshot is published in separate files of which the file name ends on _UtilityMarkets.

For more information about these files, please see section 5 (Data Dictionary) and section 6 (File Naming Conventions).

1 Available from September 2021.

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The regular Settlement Snapshot files are published on the ICE MFT twice per day. The Utility Markets and first publication only includes settlement data which is available at that point in time. The second publication includes all final settlement data for the current Trade Date. The Settlement Snapshot files for Trade Date (D) are published at the following times.

Settlement Snapshot US Eastern London Singapore Utility Markets - First publication 13:00 18:00 01:00 (D+1) Utility Markets - Second publication 14:00 19:00 02:00 (D+1) Regular Snapshot - First publication 17:30 22:30 05:30 (D+1) Regular Snapshot - Second publication 18:45 23:45 06:45 (D+1)

Publication times and updates may vary among the various publications. Delays in publishing and/or updating files may occur due to market volatility or any other reason.

History Historical Settlement Snapshot reports are made available from 02 April 2018 to the current business day. This is subject to change and subscribers will be given advanced notice before the ICE MFT directories are updated. Any further historical EOD data (“Back History”) is available for purchase on ICE Dashboard.

2.3. Markers and Indices The Markers and Indices publication covers Brent and WTI Crude Futures, Gas Oil Futures, RBOB Gasoline Futures and European Natural Gas.

The files containing the Markets and Indices are located in the folder /EndOfDayReports/Markers_and_Indices.

The Markets and Indices report for Trade Date (D) is published at the following time. Markers and Indices US Eastern London Singapore Publication 14:55 19:55 02:55 (D+1)

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History Markets and Indices are made available from 11 November 2020 to the current business day. This is subject to change and subscribers will be given advanced notice before the ICE MFT directories are updated. Any further historical EOD data (“Back History”) is available for purchase on ICE Dashboard.

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3.1. ICE MFT ID types There are two types of IDs for connecting to the ICE MFT. The first and most common is a service account which is intended to be used to automate the upload and download of data. The second type is a "named user" and intended for an individual's manual use or ad-hoc connection to the ICE MFT.

3.2. Access Authentication ICE ICE supports two options through which access authentication to MFT is provisioned:

• A Named User with a username and password, or • A Service User with a system generated secure key.

For automation of downloads, ICE requires that a separate “service” user is used. This utilises a system generated secure key in place of a password and avoids embedding passwords in data files or scripts. This also prevents a password from being changed and subsequently may cause an automation process to fail.

If you are unsure of what type of access you require or would like further information, please email [email protected] or call +1 (770) 738-2101, option 1, sub-option 3.

3.3. Network connectivity Connectivity to MFT is provided via SFTP on the standard port 22. The client- side firewall must allow port 22 outbound to our host at mft.theice.com (63.247.112.85 22). This connectivity can be provisioned over the public Internet or via any of the existing dedicated connections available for connection to the ICE data center. Additional information concerning connectivity options is available on the ICE website (https://www.theice.com/connectivity).

3.4. SFTP clients The ICE MFT can be accessed using SFTP clients (e.g. WinSCP, SSH, Putty, FileZilla). Please check with your internal information security department for the most appropriate solution for your organization.

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For MFT connectivity support, please email [email protected] or call +1 - (770) 738 -2101.

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Publication ICE Market Type Annual fee included

ICE Futures US - Energy Division

Futures and Options Financial Gas & Henry Hub USD 10,000 END OF DAY Canadian Financial Gas Financial Power Physical Environmental Financial LNG, LNG Freight ICE Futures S2F Oil (US and Europe)

Futures and Options Oil USD 10,000 END OF DAY Financial LNG Wet/Dry Freight Ferrous Metals NGLs/Monomers/Olefins Financial LNG, LNG Freight ICE Futures Europe Commodities (non-S2F)

Futures and Options Brent and WTI Crude USD 2,500 END OF DAY Low Sulphur Gas Oil Heating Oil Middle East Sour Crude RBOB London Agriculturals UK Natural Gas UK Electricity Coal UK Emissions *** Emissions (EUA, EUAA) ** ICE Futures US Commodities and Financials

Futures and Options Currency Pairs USD 2,500 END OF DAY Financial US LNG Metals MSCI Indices Russell Indices U.S. Agriculturals U.S. Dollar Index Canadian Grains

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ICE Endex

Futures and Options Belgian Power USD 2,500 END OF DAY Belgian ZTP Gas Dutch Power Dutch TTF Gas EU Financial Power German Natural Gas Italian Natural Gas Emissions (EUA, EUAA) ** ICE Futures Singapore

Futures and Options Mini Brent USD 0 END OF DAY One-Kilo Gold Chinese Renminbi Mini Low Sulphur Gas Oil ICE Futures Europe Financials

Futures and Options STIRs USD 2,500 END OF DAY Bond Derivatives Swapnote® GCF Repo ERIS Interest Rate Futures Single Stock Futures Index Futures Dividend Adjust Stock Futures ICE Futures Abu Dhabi

Futures Murban Crude Oil USD 0 END OF DAY Inter Exchange Spreads ICE Futures Markers and Indices

Daily Report Brent and WTI Crude USD 100 Futures Gas Oil Futures RBOB Gasoline Futures European Natural Gas

** EU Emissions will transition to ICE Endex, effective June 7th, 2021. Exchange Notice *** UK Emissions launched May 19th, 2021. Exchange Notice

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5.1. End Of Day (EOD) Report - Futures & Options DATA TYPE FIELD DEFINITION (Max Length) TRADE_DATE Business day of trading LocalMktDate

LONG_NAME The name of the security/product String(200) being traded HUB Location of Commodity Numeric(38)

PRODUCT Traded contract Numeric(38)

COMMODITY Alphanumeric identifier of Hub and String(3) Product STRIP Delivery period of futures contract Numeric(8)

PUT_CALL only available in Options files String (1) “C” = Call “P” = Put STRIKE only available in Options files - Numeric(38,7) price at which the option can be exercised LOW_PRICE Lowest price traded on the screen Numeric(38,7) during the last 24-hour period (2:30pm EST to 2:30pm EST) HIGH_PRICE Highest price traded on screen Numeric(38,7) during the 24-hour period (2:30pm EST to 2:30pm EST) OPEN_PRICE The price at which a security first Numeric(38,7) trades upon the opening of an exchange on a trading day. CLOSE_PRICE The last price at which a security Numeric(38,7) trades upon the closing of an exchange on a trading day. SETTLEMENT_PRICE The price at which a contract Numeric(38,7) settles once a given trading day has ended

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OPEN_INTEREST The total number of outstanding Numeric(38,7) contracts (in lots) EFP_VOLUME Volume traded under “Exchange Numeric(38) for Physical” (EFP) terms (in lots) EFS_VOLUME Volume traded under “Exchange Numeric(38) for Swap” (EFS) terms (in lots) BLOCK_VOLUME Volume of blocked transactions (in Numeric(38) lots) SPREAD_VOLUME Volume of contract spread Numeric(38) transactions (in lots) IMPLIED_VOLATILITY** only available in Options files - Numeric(38,7) Estimated volatility of underlying futures price fluctuations. DELTA FACTOR** only available in Options files - Numeric(38,7) Change in price of underlying future with change in options price. ** Included as of EOM March 2021

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Market ID Unique numerical identifier of Numeric(38) contract (Product, Month) Hub Location of Commodity String(200)

Product Name Underlying commodity String(100)

Commodity Code Alphanumeric identifier of Hub and String(3) Product Strip Delivery period of futures contract String(200)

Strike Price only available in Options files - Numeric(38,7) price at which the option can be exercised Contract Type Type of trading instrument String(6) F = monthly future M = monthly future D = daily future C = call option P = put option I = index CASH = cash CS = cash Settlement Price The price at which a contract Numeric(38,7) settles once a given trading day has ended Product ID Unique numerical identifier of Numeric(38) ProductName IMPLIED_VOLATILITY** only available in Options files - Numeric(38,7) Estimated volatility of underlying futures price fluctuations. DELTA FACTOR** only available in Options files - Numeric(38,7) Change in price of underlying future with change in options price. RelativePeriod Only available in Utility Markets Alphanumeric(4) Settlement Snapshot files.

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5.3. Markers and Indices Reports DATA TYPE FIELD DEFINITION (Max Length) Date Business day of trading LocalMktDate

ProductName Underlying commodity String(100)

MarketID Unique numerical identifier of Numeric(38) contract (Product, Month) Month Contract or Delivery period of String(200) futures contract ShortName Name of Marker or Index product String(50)

Value Marker or Index Price Numeric

RelativePeriod Position of Month on futures curve String(3)

ProductID Unique numerical identifier of Numeric(38) ProductName

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6.1. End Of Day (EOD) Report - Futures & Options

Publication MFT Directory Name File Naming Conventions ICE Futures US - Energy Division ICE_Futures_US-Energy/ Futures and Options Futures/icefutures_EOD_IFED_futures_YYYY_MM_DD.csv IFED END OF DAY ICE Futures S2F Oil Futures/icefutures_EOD_S2FOil_futures_YYYY_MM_DD.csv END OF DAY ICE_Futures_S2FOil/ Options/icefutures_EOD_S2Foil_options_YYYY_MM_DD.csv ICE Futures Europe Commodities Futures/icefutures_EOD__futures_YYYY_MM_DD.csv (non-S2F) ICE_Futures_EU-Commodities/ Futures and Options EUCmdty Options/icefutures_EOD_options_YYYY_MM_DD.csv END OF DAY ICE Futures US Commodities and ICE_Futures_US- Futures/icefutures_EOD_IFUS_futures_YYYY_MM_DD.csv Financials Commodities_and_Financials Futures and Options Options/icefutures_EOD_IFUS_options_YYYY_MM_DD.csv IFUS END OF DAY ICE Endex Futures/icefutures_EOD_endex_futures_YYYY_MM_DD.csv END OF DAY ICE_Endex Options/iceoptions_EOD_endex_options_YYYY_MM_DD.csv ICE Futures Singapore Futures/icefutures_EOD_IFSG_futures_YYYY_MM_DD.csv Futures Only ICE_Futures_SG Options/icefutures_EOD_IFSG_options_YYYY_MM_DD.csv END OF DAY ICE Futures Europe Financials Futures/icefutures_EOD_futures_YYYY_MM_DD.csv Futures and Options ICE_Futures_EU-Financials Options/icefutures_EOD_options_YYYY_MM_DD.csv END OF DAY ICE Futures Abu Dhabi Futures Only ICE_Futures_AbuDhabi Futures/icefutures_EOD_IFAD_futures_YYYY_MM_DD.csv END OF DAY

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© 2021 Intercontinental Exchange, Inc. 6.2. Settlement Snapshot - Futures & Options Publication MFT Directory Name File Naming Conventions ICE Futures US - Energy Division ICE_Futures_US-Energy/ NO SETTLEMENT SNAPSHOT REPORTS AVAILABLE Futures and Options IFED END OF DAY ICE Endex NDEX_FuturesSettlements_YYYYMMDD.csv END OF DAY NDEX_OptionsSettlements_YYYYMMDD.csv ICE_Endex NDEX_FuturesSettlements_YYYYMMDD _UtilityMarkets.csv NDEX_OptionsSettlements_YYYYMMDD_UtilityMarkets.csv ICE Futures Abu Dhabi Futures Only ICE_Futures_AbuDhabi NO SETTLEMENT SNAPSHOT REPORTS AVAILABLE END OF DAY ICE Futures Europe EUCmdty_FuturesSettlements_YYYYMMDD.csv Commodities EUCmdty_OptionsSettlements_YYYYMMDD.csv (non-S2F) ICE_Futures_EU-Commodities/ Futures and Options EUCmdty EUCmdty_FuturesSettlements_YYYYMMDD_UtilityMarkets.csv END OF DAY EUCmdty_OptionsSettlements_YYYYMMDD_UtilityMarkets.csv ICE Futures Europe EUFin_FuturesSettlements_YYYYMMDD.csv Financials ICE_Futures_EU-Financials Futures and Options EUFin_OptionsSettlements_YYYYMMDD.csv END OF DAY ICE Futures S2F Oil ICE_Futures_S2FOil/ NO SETTLEMENT SNAPSHOT REPORTS AVAILABLE END OF DAY ICE Futures Singapore Futures Only ICE_Futures_SG IFSG_FuturesSettlements_YYYYMMDD.csv END OF DAY ICE Futures US IFUS_FuturesSettlements_YYYYMMDD.csv Commodities and Financials ICE_Futures_US- Futures and Options Commodities_and_Financials IFUS_OptionsSettlements_YYYYMMDD.csv END OF DAY

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Publication MFT Directory Name File Naming Conventions ICE Futures Markers and Indices Markers_and_Indices EOD_FuturesIM_All_YYYYMMDD.csv

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Change Date effective Comment Added ICE Futures Abu Dhabi 29 March 2021 Futures only

Included Implied Volatility included 31 March 2021 Added data field UK Emissions markets 19 may 2021 Exchange notice EU Emissions transitioned to ICE Endex 07 June 2021 Exchange notice Settlement Snapshot Utility Markets 16 July 2021 Exchange notices

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