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 ICE Data Subscriptions via MFT | v 1.4.1 | 05 August 2021 i © 2021 Intercontinental Exchange, Inc. 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. ICE Data Subscriptions via MFT | v 1.4.1 | 05 August 2021 1 © 2021 Intercontinental Exchange, Inc. 2. Content, availability, and history 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) ICE Data Subscriptions via MFT | v 1.4.1 | 05 August 2021 2 © 2021 Intercontinental Exchange, Inc. 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. ICE Data Subscriptions via MFT | v 1.4.1 | 05 August 2021 3 © 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. ICE Data Subscriptions via MFT | v 1.4.1 | 05 August 2021 4 © 2021 Intercontinental Exchange, Inc. Availability The regular Settlement Snapshot are published in the same folders as the EOD Reports. 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