Securities market EOD data structure change
Moscow Exchange informs its partners - consumers of the MOEX market data who source the data via the Informational and Statistical Server (ISS, https://www.moex.com/a2920) of the changes in the end-of-day (EOD) data structures, scheduled for June 22 2020 due to the evening (additional) session launch on the Securities market.
Please note that these changes only affect the structure of the data transmitted via the ISS and do not affect the structure of the data transmitted via other technological solutions (that is, non-ISS, such as Gateway, FAST).
The EOD file archives (https://www.moex.com/en/marketdata/archive/), both the results and the trades, for all instruments of the Securities market will be extended via a new field: TRADINGSESSION (session number: 1 – main, 2 – additional, 3 – day total).
In the CSV format the new field TRADINGSESSION is added rightmost. In the XML format the order of fields within the tag is not guaranteed.
The EOD results for the main session are going to be made available after main session, like today.
Important note: the EOD results for additional session (if applicable) as well as day totals and trades list for all Securities market instruments are going to be made available after midnight.
Sample files for shares and bonds in the current and new formats are attached.
The EOD data from January 1, 2020 will be reformatted on the date of the launch. During the rest of 2020 the data for 2019 and earlier will be reformatted.
Please alter your processing scripts for EOD files or make sure the new data is safely ignored.
Please also pay attention to the data readiness timing changes.
If you have any questions, please contact help@moex.com.
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