FactSet Exchange DataFeed Data Model Version 2.0J Last Updated: 18th August 2020 Copyright © 2020 FactSet Research Systems Inc. All rights reserved. FactSet Research Systems Inc. | www.factset.com 1 Notice This manual contains confidential information of FactSet Research Systems Inc. or its affiliates ("FactSet"). All proprietary rights, including intellectual property rights, in the Licensed Materials will remain property of FactSet or its Suppliers, as applicable. The information in this document is subject to change without notice and does not represent a commitment on the part of FactSet. FactSet assumes no responsibility for any errors that may appear in this document. Revision History Effective Date Version Number Description Changes made 18/08/2020 2.0J FactSet Exchange Updated Template DataFeed Data Model 2.0I Section 5.3.2 Added Indicative Intraday Nav and NAV for ETF’s Section 5.8.3 Added Market Statistics Appendix C Added Mapping table for Market Makers Appendix C Remove ISO table 1.2R Section 3.2 Mapping tables have been updated Copyright © 2020 FactSet Research Systems Inc. All rights reserved. FactSet Research Systems Inc. | www.factset.com 2 Table of Contents Notice ................................................................................................................................... 2 Revision History .................................................................................................................... 2 Document Organization and Audience .................................................................................. 6 1. Introduction ....................................................................................................................... 7 1.1 The FactSet Data Service ............................................................................................ 7 1.2 Terminology ................................................................................................................. 7 1.3. FID ............................................................................................................................. 8 1.3.1 FID Value Pairs ...................................................................................................... 8 1.3.2 Field Identifiers ....................................................................................................... 8 2. Field Encodings and Types ............................................................................................... 9 2.1 Field Encodings ........................................................................................................... 9 2.1.1 Field Types ............................................................................................................. 9 3. Field List and Enumerations ............................................................................................ 11 3.1 Field List .................................................................................................................... 11 3.1.1 Streaming fields .................................................................................................... 11 3.1.2 End of Day fields .................................................................................................. 25 3.2 Field Enumerations .................................................................................................... 26 3.2.1 Table 1: Message Types ...................................................................................... 27 3.2.2 Table 2: Quote Conditions .................................................................................... 27 3.2.3 Table 3: Tick Direction .......................................................................................... 30 3.2.4 Table 4: Security Type ......................................................................................... 30 3.2.5 Table 5: Security Status ....................................................................................... 32 3.2.6 Table 6: Exchange Codes .................................................................................... 33 3.2.7 Table 7: Financial Status ...................................................................................... 33 3.2.8 Table 8: Trade Conditions .................................................................................... 34 3.2.9 Table 9: Ex-Date Status ....................................................................................... 35 3.2.10 Table 10: Pricing Method .................................................................................... 35 3.2.11 Table 11: Halt Information .................................................................................. 35 3.2.12 Table 12: Market Makers .................................................................................... 39 4. Security Layouts ............................................................................................................. 40 5. FactSet Symbology and Data Policy ............................................................................... 55 5.1 Introduction ................................................................................................................ 55 5.2 Real-Time and Delayed Data ..................................................................................... 55 5.2.1 Additional Feature of the Snapshot Service .......................................................... 55 Copyright © 2020 FactSet Research Systems Inc. All rights reserved. FactSet Research Systems Inc. | www.factset.com 3 5.3 Other Identifier Formats ............................................................................................. 55 5.3.1 Bloomberg Identifiers for equities ......................................................................... 55 5.3.2 Indicative intraday NAV and NAV for ETFs ........................................................... 56 5.4 Futures Identifiers ...................................................................................................... 57 5.4.1 Timed Identifiers ................................................................................................... 58 5.4.2 Continuous Identifiers ........................................................................................... 58 5.5 Options Identifiers ...................................................................................................... 59 5.5.1 FactSet’s Option Symbology ................................................................................ 59 5.5.2 FactSet’s OPRA Symbology ................................................................................. 59 5.5.2.1 Strike Price Denominator table .......................................................................... 59 5.5.3 FactSet’s OCC Symbology ................................................................................... 60 5.5.4 FactSet’s simplified Option Symbology (US Options only) .................................... 60 5.5.5 Call/Put Expiration Month codes ........................................................................... 60 5.5.6 FactSet’s Options of Futures symbology .............................................................. 61 5.6 FactSet Exchanges.................................................................................................... 62 5.7 Composite Exchanges ............................................................................................... 83 5.7.1 US Composite ...................................................................................................... 83 5.7.2 Canadian Composite ............................................................................................ 85 5.7.3 Indian Composite ................................................................................................. 85 5.7.4 Australian Composite ........................................................................................... 85 5.7.5 German Composite .............................................................................................. 86 5.8 Market and Index Movers .......................................................................................... 87 5.8.1 Market Movers...................................................................................................... 87 5.8.2 Index Movers ........................................................................................................ 88 5.8.3 Market statistics .................................................................................................... 90 5.9 Exchange Roll-over timing ......................................................................................... 92 5.10 Field Behavior .......................................................................................................... 93 5.10.1 Close fields ......................................................................................................... 93 5.10.2 Last Price fields .................................................................................................. 94 5.10.3 Open and close trade conditions. ....................................................................... 95 6. Appendix ......................................................................................................................... 96 Appendix A: International Currency Codes ISO-4217 ...................................................... 96 Appendix B: Trade Conditions ......................................................................................