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1. Coupon Number Number of coupon adhered to caution Period of Operation Number of days in which operation takes place Currency Trading currency Class Defined by the Market 03 ANNEX
2. discontinuous type index NB In the Functional Header the stock code is the code of the index referred to 02 Messages Structure BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 33 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 18 Index B1 Objective Message B1 is issued at a specified frequency for each index Depending on the type of index it simultaneously reports its level variations and indicators of behavior of stocks in this portfolio Type of Index Last Index of the Day pee eee er Day s lowest index N 9 5 ee B a ae Reserved Indicator Direction of Variation of Index Type of Index 1 2 5 X Percentage Variation of Index Type of Index 1 2 5 9 3 V99 rd A Indicator direction of variation of index in relation to the previous year s last type of index 1 2 5 X Percentage variation of index in relation to previous year s last Type of Index 1 2 5 i 9 3 V99 Reserved 6 ae A 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 34 39 Chapter Issue Date Il Procedure 04 11 13 08 Continuation Reserved 19 Indicator of presence of supplementary data on index portfolio Pe ES Length of Text in Body of Message O Field name e Type of Index Definition Purpose Indicates the type of index associated with message Possible values 1 First index announced 2 In
3. A Bo USER MANUAL Use Page sheet INFORMATION SIGNAL External 10 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 4 Five Best Offer Prices 04 Objective This message informs Information Signal users of alterations in the five best offers associated with a certain stock A FIVE BEST OFFER PRICES message may be sent even if no DISCLOSURE OF BID OR ASK PRICE message is sent whereas a DISCLOSURE OF BID OR ASK PRICE message is usually accompanied by a FIVE BEST OFFER PRICES message Reserved Indicator of Best Offer Prices that have been altered arr Information on Best Offers Best Prices tables fields below may occur up to six times Total quantity bids Number of bids One of the best bid prices Format indicator Price One of the Best ask prices Format indicator Price Number of asks Total quantity asks sr E mi Length of Text of Body of Message max Field name e Indicator of the best bids asks that have been altered Definition Purpose The indicator is a six character field The first five characters show whether or not there was an alteration in the five best offers The sixth character shows whether the market summary was generated by MEGA BOLSA BOVESPA s Electronic Trading System during pre opening Possible values Each of the six characters in the indicator has value of 1 one if the price of the corresponding offer was altered and O zero otherwise Only offers that ha
4. B Night Processing Phase C Preparatory Phase E Promoter Intervention Phase F End Day Consultation Phase O Opening Phase P Pre opening pre closing phase R After Market Trading Phase session S Trading Phase session I Impeded N Market Control BOVESPA Intervention Phase or for Market Segment 02 and 08 indicate Trading Phase session Z Interrupted e Number of collectors used by quotation group Indicates the total number of collectors used by the message switcher to receive the messages issued by the Quotation Group A quotation group that has more than a collector receives as many messages 16 as its number of collectors 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 17 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 10 Theoretical Opening Price 30 Objective This message informs Information Signal users of changes to parameters relating to opening trading for a stock Field name Type Compr Theoretical Opening Price Format indicator X 01 Price N 13 Theoretical quantity traded ee a Direction of offer s not met at opening price ERES Quantity not taken up at opening price EE Variation in relation to previous day s closing price Format indicator Value of Variation X 01 N 13 a e Length of Text in Body of Message as Field name e Theoretical Opening
5. Format modification of field Price of all messages Added Field Format in AnnexA Format modification of field Variation of all messages Message 53 Added Option Maturity Time field 00 Historical Modifications doc BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 1 3 Chapter Issue Date l Objectives Application and Definitions 02 04 07 08 1 OBJECTIVE Guide users on use of Information Signal in order to enable those interested to handle BOVESPA data relating to their markets 2 APPLICATION The Manual applies to Information Signal users 3 DEFINITIONS 3 1 TERMS NOMENCLATURE 3 1 1 Information Signal user Institution that receives Information Signal and is authorized to disclose and or distribute the data or a certain part of the data to its customers 3 2 DATA PROVIDED BY THE INFORMATION SIGNAL 3 2 1 Quotations Quotations of the stock trading on all BOVESPA markets cash forward options and futures including companies listed on Novo Mercado New Market and Corporate Governance Levels 1 and 2 segments which feature stricter rules for disclosure and publication with enhanced minority shareholder rights 3 2 2 BOVESPA indices All BOVESPA indices Ibovespa main indicator of the Brazilian stock market Brazil Index ndice Brasil IBX comprising the 100 most traded shares in the cash market the IBX 50 composed by 50 shares selected among the more traded
6. 03 ANNEX BOVESPA A Bolsa dc Chapter USER MANUAL Use Page sheet INFORMATION SIGNAL External 12 21 Issue Date Il Procedure 03 12 29 08 3 5 2 3 2201 Updates for Agents Field name Type Size Market X 01 Agent 9 03 Operator X 02 Movement code 9 01 Name X 10 Business name X 30 Address X 30 Locality X 15 Postal code 9 04 Person responsible X 30 Telephone X 20 Fax X 10 Type of Agent X 10 Trading status X 01 Reserved X 08 Proprietor of Information X 02 Reserved X 32 Description of fields Market Market to which Agent belongs Agent Number Identifying Market Agent Operator 00 for Agent s Main Registration 1 Exclusion 2 Inclusion 3 Alteration Movement code Name Brief name of Agent Business name Name of Agent Trading status 0 normal 1 blocked 2 suspended Proprietor of 29 BOVESPA Information 03 ANNEX BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 13 21 Chapter Issue Date Il Procedure 03 12 29 08 3 5 2 4 8104 Official Closing Field name Type Size Market X 01 Date 9 08 Instrument code X 15 Simple description X 10 Description X 30 Closing Price sg 10 V9 08 Settlement Condition X 01 Closing price dat
7. Night processing phase This phase is for batch update operations and maintenance of the Mega Bolsa system BOVESPA s Electronic Trading System For instance during this phase the system processes creations cancellation or modifications of stocks as well as indications of distribution of dividends for the following day 4 2 RESPONSIBILITIES 4 2 1 BOVESPA Arrange for updated versions of this Manual and provide technical support 4 2 2 Service Provide support and procedures for solutions requested by telephone 55 11 3233 2333 2105 4 3 HARDWARE AND SOFTWARE CONFIGURATION Minimum configuration required for installing and using the Information Signal e Pentium Ill 900 MHz e 512 MB RAM memory e OS Windows 2000 XP Recommended Pentium IV 2 0 GHz e 512 MB de RAM memory e OS Windows XP 00 Objectives BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 1 13 Chapter Issue Date Il Procedure 02 04 07 08 1 RECEIVING INFORMATION 1 1 PROXYDIFF RECEIVER ProxyDiff receivers distribute broadcast messages to Information Signal users systems This receiver is divided in two quite distinct parts e One part receives broadcast messages from the HUB e The other distributes messages to one or more applications 1 1 1 General description On starting the ProxyDiff receiver follows these steps 1 Reads configuration file 2 Starts a thread to await MMTP connection
8. Information Signal User 1 3 3 2 PROVIDED DATES ON INFORMATION SIGNAL 1 3 3 2 1 Quotations 1 3 3 2 2 BOVESPA indices 1 3 3 2 3 News 1 3 3 2 4 BOVESPA 1 3 3 2 5 BOVESPA FIX 1 3 3 2 6 Over the Counter Market 1 3 3 3 COMMERCIAL POLICY 2 3 4 SYSTEM RULES 2 3 4 1 POINTS RELATING TO SYSTEM FUNCTIONALITY 2 3 4 1 1 Start of Day 2 3 4 1 2 Preparing quotation groups 2 3 4 1 3 Pre opening phase 2 3 4 1 4 Opening phase 2 3 4 1 5 Regular trading phase 2 3 4 1 6 Pre closing phase 2 3 4 1 7 BOVESPA intervention phase 3 3 4 1 8 After Market trading phase 3 3 4 1 9 Close of day phase 3 3 4 1 10 Night processing phase 3 3 4 2 RESPONSIBILITIES 3 3 4 2 1 BOVESPA 3 3 4 2 2 Service 3 3 4 3 HARDWARE AND SOFTWARE CONFIGURATION 3 3 Il Procedures 1 RECEIVING INFORMATION 1 13 1 1 PROXYDIFF RECEIVER 1 13 1 1 1 General description 1 13 1 1 2 Treatment of HUB connections 1 13 1 1 3 Nonexistent file 2 13 1 1 4 Existing file 2 13 1 1 5 Treatment of connections 3 13 1 1 6 Configuration parameters 5 13 1 2 USE OF OCX COMPONENT 9 13 1 3 INFORMATION SIGNAL 10 13 1 3 1 Functionality architecture 10 13 1 3 2 Functionality characteristics 10 13 1 4 BOVESPA MONITORING AGENT 11 13 00 ndex doc BOVESPA A Bolsa do Brasil Chapter Index USER MANUAL Use INFORMATION SIGNAL External Issue 1 4 1
9. Price Price of operation Reference price Exchange reference price Top Base Maximum percentage variation of prices possible on day Fluctuation Maximum percentage price variation in relation to reference price before going to auction Type of Operation Joined fields Type of origin operation and Type of destination operation Price yesterday Last price previous business day Code of origin 0105 for sale based on offer operation 0205 for purchase based on offer 0301 for sale based on trading 0301 for sale based on trading 0302 for exclusion of sale operation 0401 for purchase based on trading 0402 for exclusion of purchase operation Interest Volume of interest gained by settlement date Argentina only Residual value Percentage yet to be amortized Interest Value of interest entered in offers Argentina only Origin of Operation D Direct order M Matching O Taking offer P Auction T Trading 3 5 2 6 9120 Reference Price Field name Type Size Type of record X 01 Security Code X 05 Coupon number X 03 Currency X 01 Reference Price Sg 10 V9 08 Term of Operation 9 03 Date 9 06 Hour 9 06 03 ANNEX BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 18 21 Chapter Issue Date Il Procedure 03 12 29 08 Type of Negotiation
10. 3 5 2 9 Inclusion of new chapter MEGA837 V5 6 0 0 11 13 2008 e Retransmit the order book cap 2 2 14 Change message type e Updating order book cap 2 2 15 Update message type Previous offer identification Identification of next offer Order TimeStamp Reserved Length of Text in Body of Message Change of possible values in Type of price registered field e Cancellations in order book cap 2 2 16 Change message type Reserved Length of Text in Body of Message e All or Nothing offers cap 2 2 19 e Exclusion of all or Nothing offer cap 2 2 20 MEGA380 V5 5 0 0 05 23 2008 e Updating order book A3 Previous offer identification Identification of next offer 00 Historical Modifications doc New New New Update Update Exclusion Exclusion New Exclusion Update Correction Update Exclusion Update Exclusion Exclusion Update Update BOVESPA Brazil s Stock Exchange USER MANUAL Use Page Sheet INFORMATION SIGNAL External 2 5 Chapter Issue Date Historical Modifications 05 12 29 08 MEGA380 V5 4 0 0 04 07 2008 e Stock referential data 53 cap 2 2 13 Deletion of Market Type field Exclusion Number of Shares Update Average Quantity Last Trade Sessions Update Frozen Parameters for Cross Trades Update Frozen Parameters for non Cross Trades Update e Annex C Market type cap
11. Action Type Definition Purpose Indicates the type of update made in the order book Possible values C Creation of an Offer in the order book M Modification of an Offer in the order book R Retransmission of the order book e Direction of Offer Definition Purpose Indicates direction of Offer 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 28 39 Chapter Issue Date Il Procedure 04 11 13 08 Possible values A Bid V Ask e Price of Registered Offer Definition Purpose Inform price of offers Format indicator See Annex A of the User Manual e Price Definition Purpose The price at which the offer is published in the order book The purpose of this field is to report offer prices Possible values Comprises price and format e Quantity shown Definition Purpose Total of stock that may be disclosed to the market in the order book Allows MEGA BOLSA BOVESPA s Electronic Trading System to process an offer step by step with the total quantity of offers disclosed gradually Possible values Less or equal to the remaining quantity to be executed e Theoretical opening price e Definition Purpose Report theoretical opening price during pre opening Format indicator See Annex A of the User Manual Price e Theoretical opening price Definition Purpose The purpose of this field is to report offer prices Poss
12. Information Signal users applications must be made by MsgID MsgID may not be sequential in other words it will depend on the type of filter each receiver has Bovespa transmitters and receivers use MMTP protocol to ensure integrity so that there is no loss of messages MsgID format YYYYMMDDsnnnnnnnnnn s session n identification number 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 1113 Chapter Issue Date Il Procedure 02 04 07 08 MESSAGENS ORIGIN BOVESPA HUB Application Transmitter HUBDIFF2 Contingency Site Transmitter HUBDIFF1 Main Site Receiver 1 4 BOVESPA MONITORING AGENT 1 4 1 General description Bovespa s Monitoring Agent monitors ProxyDiff connections and disconnections and other information of the type e Last message sent to Information Signal users 2005 05 12 16 13 14 950 ProxyDiff Sic 00007 SLC statistics LMS 20050512A0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 e Time of last message sent Information Signal users 2005 05 12 16 13 14 950 ProxyDiff Sic 00007 SLC statistics LMS 200505 12A0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 e Average response time for receiving and sending messages to Information Signal users 2005 05 12 16 13 14 950 ProxyDiff Sic 00007 SLC statistics LMS 20050512A
13. X 01 Reserved X 22 Description of fields Type of Record A Inclusion M Modification B Exclusion Coupon number Is the number of the coupon identification Currency Currency of Trade Term of Operation Is the number of days in which settlement is carried out Date Date of Registration Hour Hour of Registration Type of Negotiation Defined by market 3 5 2 7 9130 Totals Update every minute Field name Type Size Type indicator X 01 Movement in reais 9 12 V9 06 Movement in dollars 9 12 V9 06 Proprietor of Information X 02 3 5 2 8 9140 Update of Offers Field name Type Size Code of origin operation 9 04 Code of round X 04 Code of attached round X 04 Order sequence number 9 05 Argument X 30 Linked argument X 30 Expiration time 9 06 Residual quantity 9 14 V9 04 Nominal price s9 12 V9 06 Residual value 9 03 V9 02 Instrument code X 15 Information price or fee X 01 03 ANNEX BOVESPA A Bolsa do Chapter USER MANUAL Use Page sheet INFORMATION SIGNAL External 19 21 Issue Date Il Procedure 03 12 29 08 Order of Offers X 01 Proprietor of Information X 02 3 5 2 9 Description of fields Code of origin operation 0101 inclusion of ask 0102 exclusion of ask 0103 alteration of ask 0201 inclusion of bid 0202 exclusion of bid 0203 alterat
14. in BOVESPA in liquidity terms the Electricity Index locally IEE the Bovespa Value Index IVBX 2 which measures the return on a portfolio consisting exclusively of stocks issued by companies favored by investors the Differentiated Corporate Governance Stock Index IGC the Telecommunications Sector Index ITEL the Corporate Sustainability Index ISE the Industrial Sector Index INDX and the Special Tag Along Stock Index ITAG 3 2 3 News All news relating to BOVESPA Over the Counter Market and CBLC Brazilian Clearing and Depository Corporation the main products and services of these two institutions plus data on transactions indices quotations bids and asks and a range of information on the market and listed companies 3 2 4 BOVESPA Information on MEGA BOLSA BOVESPA Trading System 3 2 5 BOVESPA FIX Information on BOVESPA FIX the integrated environment for trading settlement and custody of private fixed income securities 3 2 6 The Over the Counter Market Information on securities traded on the Over the Counter Market 00 Objectives BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 2 3 Chapter Issue Date l Objectives Application and Definitions 02 04 07 08 3 3 COMMERCIAL POLICY Information Signal may be leased in two ways directly from BOVESPA with the advantage of the exchange s full infrastructure and technical support for data reception or through carriers v
15. messages will be stored in the default file see Hublogd documentation If the path is omitted the file will be created in the ProxyDiff receiver directory The default value for this parameter is ProxyDiff trc 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 8 13 Chapter Issue Date Il Procedure 02 04 07 08 D Important The path should be created beforehand See chapter 1 5 2 HubTracesEnabled Enables or deactivates MMTP protocol traces for MMTP connections to the HUB By default this characteristic is deactivated SicTracesEnabled Enables or deactivates MMTP protocol traces for MMTP connections with Information Signal user programs By default this characteristic is deactivated Parameters of the broadcast messages file MsgFilePath Shows the path to write the file that contains the broadcast messages received from the HUB If this parameter is missing or empty the file will be created in the ProxyDiff receiver directory D Important The path must be created beforehand See chapter 1 5 1 MaxMsgFiles and NbMsgPerFile The file where broadcast messages from HUB are received is cyclical This means that this file contains a certain number of messages NbMsgPerFile parameter and a certain number of files MaxMsgFiles parameter When this file is complete each new message takes over the place of the old message in the file Expected values for t
16. need to receive data on 2 lines an extra set router port and line signal is required In accordance with item 3 4 2 Equipment 03 ANNEX BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 8 21 Chapter Issue Date Il Procedure 03 12 29 08 3 5 ANNEX E FIXED INCOME DESCRIPTION OF MESSAGES Format for messages distributed in Fixed Income markets is as described below 3 5 1 Message structure The header control block is common to all registrations and contains control information The trailer data block takes on format and size depending on indication of the registration code field 3 5 1 1 HEADER Field name Type Size Size 9 04 User Market X 01 Agent 9 03 Operator X 02 Date YYMMDD 9 06 Time HHMMSS 9 06 Sequence 9 05 Registration code 9 04 Description of fields Size Quantity of characters sent in registration User Proprietor of Information Agent and Operator zeroed Date Date of Registration Time Time of Registration Sequence Registration Sequence Number Registration codes Specifies correspondence between information contained in the data block and current transaction 2101 Updating securities 2102 Updating securities Variable Portion 2201 Updating Agents 8104 Official closing 9110 Updating for each operation 9120 Reference Price 9130 Total updating each m
17. number of seconds pause between two attempts to connect to HUB Expected values range from 0 to 3600 0 indicates that there is no timeout The default value is 5 RemoveSpfHeader RemoveSpHeader removes the SPF header from broadcast messages sent to SLC Default value is false HubCompressionEnabled Not used by Information Signal users HubSubscriber Shows the name of the subscriber used in the MMTP connection request sent to the HUB This parameter is obligatory HubPassword Shows the subscriber password used in the MMTP connection request sent to the HUB This parameter is also obligatory HubWindowsSize 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 7 13 Chapter Issue Date Il Procedure 02 04 07 08 Means Window synchronization size which is the number of messages sent between SYNC REQ requests used in the MMTP connection with the HUB Expected value range from 1 to 1000 The default value is 50 It is not mandatory Connection parameters for Information Signal users SicPort Shows the TCP port in which the process expects connections from Information Signal user programs This parameter is obligatory SicTimeout The delay in seconds allowed Information Signal user programs to respond to an MMTP request If a Information Signal user exceeds this delay the connection is considered down and the MMTP request canceled Expected v
18. of shares defined by Market Surveillance for Cross Trades e Frozen Parameters for non Cross Trades Inform the frozen percentage over the last trade price average quantity of shares and total number of shares defined by Market Surveillance for non Cross Trades e Option exercise price value of contract for secondary forward Definition Proposal In the case of options contains the series exercise price If secondary forward contains value of contract e Indication of Option Possible values C call Purchase Option P put Sale Option e Date of expiration of option secondary forward e Trading code of stock underlying option e Market Segment See Annex C e IPDRV Definition Proposal Indicator of previous day s closing price Possible values T Theoretical price of EX share E Theoretical price of EX share when greater than WITH price P Theoretical price of EX share resulting from dividends in different types of stocks companies A Price arbitrated by BOVESPA Closing price for last session in which share traded e Quantity Multiplication Coefficient 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 25 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Proposal All traded quantities must be multiplied by the multiplication coefficient This will produce the real quantity traded Note The coefficient is currently
19. on the day e News schedule e Number of news pages Definition Purpose Defines the number of pages that will compose news e Page number Definition Purpose Defines number of news page Possible values From 1 to the number of news pages e News item text Definition Purpose The text of the news item comprises lines of at most 80 characters The line break will be CR LF 0D 0A The first line of each news item is its headline 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 39 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 21 Fixed Income BOVESPA FIX Z5 Objective Distribution of data from BOVESPA FIX trading environment for BOVESPA s Private Income Securities Length of Text in Body of Message Variable Field name e BOVESPA FIX message Definition Purpose See description in Annex E Fixed Income Description of Messages 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 1 21 Chapter Issue Date Il Procedure 03 12 29 08 3 ANNEXES 3 1 ANNEX A FIELD CODES 3 1 1 Binary type b Binary code b with the following convention integer with or without signal 1 2 or 4 bytes 3 1 2 Numerical type n ASCII coding for a whole with the following convention right adjusted may be completed with 0 Example coding for 257 nu
20. other than 02 and 08 Term Market Quantity of securities traded Accumulated on the day Definition Purpose Quantity of a certain stock traded on MEGA BOLSA BOVESPA s Electronic Trading System during the current day Possible values An initial value of O zero that increases with each trade of the stock concluded during the day Indicator for end of trading at opening price Definition Purpose Define whether this message is the last of the opening Possible values 0 this message is not the last 1 this message is the last Indicator of variation in relation to previous price Trade number Definition Purpose Created by MEGA BOLSA BOVESPA s Electronic Trading System for stock Market Segment Definition Purpose See Annex C Date trade took place YYYYMMDD Time trade took place HHMMSS Origin of trade 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 4 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Purpose Indicates where trade was made Possible values Unlike S indicates that the trade was made in the Electronic Session S indicates that the trade was made by MEGA BOLSA Control e Variation in relation to previous day s closing price Definition Purpose Percentage variation between last price of day and previous day s closing price Format Indicator See Annex A 02 Messages Structu
21. stock during the day e Highest Price Quoted on the day e Lowest Price Quoted on the day e Origin of trade Definition Purpose Indicates where trade was made Possible values Unlike S indicates that the trade was made in the Electronic Session S indicates that the trade was made by MEGA BOLSA Control e Type of Registration 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 7 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Purpose Indicates creation or cancellation of a trade Possible values 00 Cancellation 07 Creation e Indicator of variation in relation to previous price e Trade number Created by MEGA BOLSA BOVESPA s Electronic Trading System for stock e Market Segment See Annex C e Period for settlement in days Definition Purpose For forward trades indicates period for settlement in days e Date trade occurred e Time trade occurred e Variation in relation to previous day s closing price Definition Purpose Percentage variation between last price of day and previous day s closing price This field does not exist for stock traded in the forward market 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 8 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 3 Price Update 03 Objective This message informs Information Signal use
22. 000 ms 1000 lt n lt 1500 ms 1500 lt n lt 2000 ms 2000 lt n Example of message recorded in LogFile 2005 05 12 16 12 25 670 ProxyDiff HUB statistics LMR 200505 12A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 1 1 5 Treatment of Connections This chapter describes the connections between the receiver ProxyDiff and OCX Bovespa BovSinalXControl1 ocx 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 4 13 Chapter Issue Date Il Procedure 02 04 07 08 Sending Messages for Broadcast As soon as a connection is received and accepted the ProxyDiff receiver starts to send broadcast messages see chapter 3 2 Use of OCX component Monitoring and Supervision The ProxyDiff receiver regularly calculates and logs statistics on reception of broadcast messages by Information Signal users see parameter Monitoringlnterval The format for these statistics is LMS x TSS x RTA n MRT n HST n n n n n The following table describes the different fields comprising this information Last Message Sent Msgld of the last message sent to Information Signal users Time Stamp of Sending Time of last message sent to Information Signal user The format is MMDDhhmmsscc where MM is month DD day hh hour mm minutes ss seconds and cc hundredths of seconds Response Time Average since the last statistics logged Ave
23. 0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 e Maximum response time for Information Signal user 2005 05 12 16 13 14 950 ProxyDiff Sic 00007 SLC statistics LMS 20050512A0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 e History of response time for Information Signal user 2005 05 12 16 13 14 950 ProxyDiff Sic 00007 SLC statistics LMS 20050512A0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 e Last message received by HUB 2005 05 12 16 12 25 670 ProxyDiff HUB statistics LMR 20050512A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 12 13 Chapter Issue Date Il Procedure 02 04 07 08 e Time of last message received by HUB 2005 05 12 16 12 25 670 ProxyDiff HUB statistics LMR 20050512A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 e Average response time for receiving and sending messages on the HUB 2005 05 12 16 12 25 670 Proxy Diff HUB statistics LMR 20050512A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 e Maximum HUB response time 2005 05 12 16 12 25 670 ProxyDiff HUB statistics LMR 20050512A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 e History of HUB response time 2005 05 12 16 12
24. 1 in most cases 02 Messages Structure BOVESPA A Bo do Br USER MANUAL Use Page sheet INFORMATION SIGNAL External 26 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 14 Retransmit the Order Book S0 Objective This message tells Information Signal users that the Order Book S3 messages will be retransmitted Indicator of beginning and end of retransmission Te Reseed SSCS Kd Tergth o Tetin Body oi Messa 8 Field name e Indicator of beginning and end of retransmission Possible values D Beginning retransmission F End retransmission Important All orders currently in the order book for the asset in question must be excluded on receiving a message indicating start of retransmission of the order book 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 27 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 15 Updating Order Book S3 Objective This message tells Information Signal users that the alteration is in one of the elements of the Order Book Action type Direction of Offer j Registered Offer Price Format indicator X 1 Price X 13 So Theoretical Opening Price Format indicator X 1 Price X 13 T A Offer Identification Broker Identification X 8 Offer Date N 8 Sequential number of Offer N 6 X 1 Type of Price Registered Order TimeStamp Length of Text in Body of Message OOo TES Field name e
25. 25 670 ProxyDiff HUB statistics LMR 20050512A0000054900 TSR 051216122565 RTA 19918440 MRT 25257390 HST 0 0 0 0 22527 1 4 2 Configuration Parameters The first task the Monitoring Agent Bovespa AgenteBovespa exe does is read the configuration file AgenteBovespa cf If this reading fails due to an obligatory parameter being missing or a value invalid the process will attempt to connect to a standard Monitoring server defined by BOVESPA This chapter describes each parameter Server1 Where information from server 1 will be inserted IP Ip of Monitoring server 1 Port Port of Monitoring server 1 Server2 Where information from server 2 will be inserted IP Ip of Monitoring server 2 Port Port of Monitoring server 2 NB BOVESPA will inform values for these parameters using the Technical Form 1 5 FILE MAINTENANCE 1 5 1 Data Files The data recorded by the ProxyDiff receiver defined by the MsgFilePath parameter should be stored in files big enough to support information of at least one full day s trading Therefore we recommend that each file is approximately equivalent to a full day session 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 13 13 Chapter Issue Date Il Procedure 02 04 07 08 We suggest the values MaxMsgFiles 7 and NbMsgPerFile 1000000 for Information Signal users to keep approximately one week s data on their s
26. 3 3 Deletion of Annex Exclusion e Opening trade 01 cap 2 2 1 Change of possible values in Origin of Trade field Correction e Trade 02 cap 2 2 2 Change of possible values in Origin of Trade field Correction MEGA 380 V5 3 0 0 04 10 2007 e Message Text cap 2 2 BM amp F Signal 22 Exclusion Fixed Income BM amp F Sisbex Z4 Exclusion e Presentation BM amp F and SISBEX Signal Exclusion Technical contact e mail Correction e Hardware and Software Configuration cap 4 3 Change in the minimum configuration Update Inclusion of the recommended configuration Update e Functional Architecture cap 1 3 1 Deletion of Link 256 k of the drawing Update e Annex E cap 3 5 Update on the following items because the implantation of RCCF General Description Equipments Function Security Management Contingency e Configuration Parameters cap 1 1 6 Inclusion of new parameters HubWindowSize and lt 5 New SlcWindowSize Update 00 Historical Modifications doc BOVESPA Brazil s Stock Exchange Chapter USER MANUAL INFORMATION SIGNAL Historical Modifications MEGA380 MEGA380 o MEGA380 o 7 o o MEGA380 o 7 V5 1 0 0 10 27 2005 Opening Trade 01 cap 2 2 1 Deletion of value of Trade origin Trade 02 cap 2 2 2 Deletion of Note and
27. A recommendations the system will reject or accept the latter to build a theoretical price 4 1 4 Opening phase The timing of this phase is defined for each quotation group During this phase depending on the definitions for the groups opening trades will take place 4 1 5 Regular Trading phase The timing of this phase is defined for each quotation group This is the traditional phase of quotation in the Trading Hall or through terminals During this phase offers statements of trades or trades against previously registered offers will be introduced 4 1 6 Pre closing phase When a stock in a group is in a prolonged fixing the group does not go on directly to the state of BOVESPA intervention but to Pre closing in which the entry of offers is the same as during Pre opening 00 Objectives BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 3 3 Chapter Issue Date l Objectives Application and Definitions 02 04 07 08 4 1 7 BOVESPA Intervention phase The timing of this phase is defined for each quotation group This phase is for BOVESPA interventions corrections for instance 4 1 8 After Market Trading phase Only shares with a base price established in the regular trading phase and belonging to markets authorized by the Exchange may be traded during this phase 4 1 9 Close of day phase During this phase no intervention is possible since it is the end of activities 4 1 10
28. BOVESPA MEGA BOLSA Trading System servers connections to Brokers are down and it reduces delays in the flow of real time data to end users The content of this Manual should be studied by managers and employees of the institutions using the Information Signal who are directly involved with developing and handling information This Manual is subdivided as follows e Objective introduce users to the use and purpose of the Manual its objectives definitions and procedural rules e Subsequent chapters Receiving Data Message Structure Annexes and Modification Histories When necessary BOVESPA will inform users who have received this Manual of any updates or revisions to chapters Support for institutions involved in this process such as issues relating to technical support will be provided by BOVESPA call center referred to locally as CAB on 55 11 3233 2333 or by e mail cab bovespa com br Commercial or contractual issues should be referred to Service Development Supervision on 55 11 3233 2105 Fax 55 11 3233 2423 or e by mail Sinal_Bovespa bovespa com br 00 Presentation doc BOVESPA A Bolsa do Brasil USER MANUAL Use Page Sheet INFORMATION SIGNAL External 1 2 Chapter Issue Date Index 04 12 29 08 Chapter Pages Presentation 11 Index 1 2 Historical Modifications 1 5 Objectives Application and Definitions 1 OBJECTIVES 1 3 2 APLICATIONS 1 3 3 DEFINITIONS 1 3 3 1 TERMS TERMINOLOGY 1 3 3 1 1
29. General description 1 4 2 Configuration parameters 1 5 FILE MAINTENANCE 1 5 1 Data files 1 5 2 Log files 2 MESSAGE STRUCTURE 2 1 FUNCTIONAL HEADER 2 2 BODY OF MESSAGE TEXT 2 2 1 Opening trade 01 2 2 2 Trade 02 2 2 3 Price update 03 2 2 4 Five best offer prices 04 2 2 5 Change of stock status 05 2 2 6 Start of trading day 07 2 2 7 Closing of day 08 2 2 8 System on the air 09 2 2 9 Alteration of quotation group status 16 2 2 10 Theorethical opening price 30 2 2 11 Summary of openning 32 2 2 12 Session schedule by quotation group 39 2 2 13 Basic registry of the stock 53 2 2 14 Retransmit the order book SO 2 2 15 Updating order book S3 2 2 16 Cancellations in order book S4 2 2 17 Index Composition of Index A7 2 2 18 Index B1 2 2 19 Securities loans BTC Z1 2 2 20 News 23 2 2 21 Fixed Income BOVESPA FIX Z5 3 ANNEXES 3 1 ANNEX A FIELD CODES 3 1 1 Binary Type b 3 1 2 Numerical Type n 3 1 3 Character Type x 3 1 4 Dates 3 1 5 Time 3 1 6 Field format 3 2 ANNEX B QUOTATION GROUPS 3 3 ANNEX C MARKET SEGMENT 3 4 ANNEX D TECHNICAL STRUCTURE FOR INFORMATION SIGNAL USERS RECEIVING DATA 3 4 1 General Description 3 4 2 Equipment 3 4 3 Functioning 3 4 4 Security 3 4 5 Addressing 3 4 6 Management 3 4 7 Con
30. NFORMATION SIGNAL External 20 21 Chapter Issue Date Il Procedure 03 12 29 08 Buy occurs 5 times from 1 to 5 best Best Buy Price S9 10 V9 08 Number of Offers at the best buy price 9 03 Best Buy Price Quantity 9 14 V9 04 Description of fields Pit Code Is the name of the pit where the order is found Instrument Code See following description Instrument Code Is the identification of the first column of the pit used generically to Description identify the instrument to be traded Number of Offers at the Number of Offers at the best sell side best sell price Best Sell Price Quantity Quantity of the best limit at the sell side Number of Offers at the Number of Offers at the best buy side best Buy price Best Buy Price Quantity Quantity of the best limit at the buy side 03 ANNEX BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 21 21 Chapter Issue Date Il Procedure 03 12 29 08 DESCRIPTION OF INSTRUMENT CODE Instrument Code contains 15 positions Field name Type Size Trading Code X 01 Code Type X 05 Coupon X 01 Coupon Number 9 03 Period of the Operation 9 03 Currency X 01 Class of Instrument X 01 Description of Field Stock Trading Code Defined by the Market Type Code This refers to the type traded Coupon C trading coupon only trading full caution
31. NNEX BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 6 21 Chapter Issue Date Il Procedure 03 12 29 08 BOVESPA Signal Server RCCF Equipment Signal Receptor 3 4 4 Security IPSEC configuration will be implemented in such a way that Information Signal Users only access a group of servers and a specific PORT TCP P This configuration will be applied to BOVESPA routers 3 4 5 Addressing IP addressing for the network and hosts will be provided by BOVESPA and should be followed in its entirety The IP address is based on the A class and the sub network mask has 14 bits Network 125 0 0 0 subnet mask 255 255 252 0 Other addresses and configurations will be made available on the Technical Form 3 4 6 Management BOVESPA will manage the network using the response time and RCCF switch availability the remainder of the network will be under control and management responsibility of Information Signal users themselves 3 4 7 Contingency The contingency system optional for Information Signal users may be provided through the following form Information Signal user server contingency 03 ANNEX BOVESPA A Bolsa do Brasi USER MANUAL Use Page sheet INFORMATION SIGNAL External 7 21 Chapter Issue Date Il Procedure 03 12 29 08 BOVESPA RCCF Equipment jo Signal Receptor Signal Receptor Backup If Information Signal users
32. Option 1 xs EEE Option expiration date Option expiration time Trading code of stock underlying option Reserved gt Reserved IPDRV Quantity multiplication coefficient Reserved k Length of Text in Body of Message e Field name e Name of stock e Specification Definition Purpose Inform type of stock and its details for trading purposes with or without rights to dividends e Number of Shares Inform the total number of shares by type of the stock code e Stock s quotation group e Form of Quotation Definition Purpose Indicates how stock is quoted Possible values 1 quotation for one share 3 quotation for one hundred share 4 quotation for one thousand shares 5 quotation for ten thousand shares e Date of last trade e Previous day s closing price 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 24 39 Chapter Issue Date Il Procedure 04 11 13 08 Format indicator Price e Standard lot Definition Purpose The quantity traded must be a multiple of the standard lot for this stock in the cash market e Stock s ISIN code e Average Quantity Last Trade Sessions Inform the average quantity shares traded in the last trade sessions see CVM Rule number 168 e Frozen Parameters for Cross Trades Inform the frozen percentage over the last trade price average quantity of shares and total number
33. Previous day s trading suspended Issue date Date of Issue of the Instrument Date of Expiration Date of Expiration of the Instrument Date last interest paid Last date interest on instrument paid 03 ANNEX BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 11 21 Chapter Issue Date Il Procedure 03 12 29 08 Annual base Annual base divisor e g 360 365 Price divisor Quantity of instrument that price represents Settlement date indicator Space not applicable H Date of process M Date of process 1 business day P Date of process 2 business days Expiration Indicator A Annual S Half yearly C Four monthly T Quarterly B Bimonthly M Monthly Next Expiration Date of next amortization BCB Index Instrument code Central Bank 3 5 2 2 2102 Updates for securities variable portion Field name Type Size Movement code X 01 Trading code X 01 Security code X 05 Currency X 01 Variable X 07 Settlement Date YYYYMMDD 9 08 Proprietor of Information X 02 Description of fields Movement code 1 Exclusion 2 Inclusion 3 Alteration Trading code Defined by Market Security code Type Traded Currency Trading currency Variable Free may be a fee Issue date Expiration date of instrument Proprietor of 29 BOVESPA Information
34. Price Definition Purpose Price of trade if trade were to take place at this time Possible values Composed of the format indicator price e Direction of offers not taken up at opening price Definition Purpose Identifies in the order book which end buy or sell is not being taken up at opening Possible values A Purchase V Sale 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 18 39 Chapter Issue Date Il Procedure 04 11 13 08 e Quantity not taken up at Opening Price Definition Purpose Shows quantity not being attended at opening e Variation in relation to the previous day s closing price Definition Purpose Percentage variation between theoretical Opening Price and previous day s Closing Price 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 19 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 11 Summary of Opening 32 Objective This message will be sent in order to inform Information Signal users of the summary of trades taking place at the time of the first trade opening of the group and later if the stock had no quotation at the time of opening the group First Price Format indicator Price Last Price Format indicator Price Best Price Format indicator Price Lowest Price Format indicator Price Type of Last Price Accumulated amount Indi
35. UAL Use Page sheet INFORMATION SIGNAL External 15 21 Chapter Issue Date Il Procedure 03 12 29 08 3 5 2 5 9110 Update for Each Operation Field name Type Size Instrument code X 15 Code operation origin 9 04 Type of operation origin 9 01 Type of operation destination 9 01 Time 9 06 Total quantity 9 14 V9 04 Volume traded 9 12 V9 06 Average price Sg 10 V9 08 Price Previous Closing S9 10 V9 08 Last Price S9 10 V9 08 Fluctuation signal X 01 Fluctuation with previous closing 9 04 V99 Minimum 9 10 V9 08 Maximum 9 10 V9 08 Date 9 06 Time 9 06 Sequence 9 05 Instrument code X 15 Origin Agent Code X 06 Destination Agent Code X 06 Quantity of Operation 9 14 V9 04 Price sg 10 V9 08 Reference price s9 10 V9 08 Top Base 9 3 V99 Fluctuation 9 3 V99 Type Operation 9 02 Price Yesterday s9 10 V9 08 Code of round X 4 Code operation origin 9 04 Interest 9 16 V9 02 Residual value 9 3 V 02 Operation fee s9 10 V9 08 Origin of Operation X 01 Gain 9 16 V9 02 Gain in dollars 9 16 V9 02 Acronym X 30 Bid number X 05 03 ANNEX BOVESPA A Bolsa dc Chapter Il Procedure USER MANUAL Use INFORMATION SIGNAL External Issue 03 3 5 2 5 9110 Update for each operation continuation Page sheet 16 21 Date 12 29 08 Field name Type Size Ask number X 05 Proprietor of Information X 02 Reserved X 321 De
36. alues range from 0 to 3600 0 indicates that there is no timeout The default value is 60 1 minute SicCheckAliveTimeout The timeout in seconds after which an MMTP connection between an application and the Information Signal user s program is considered lost if no message is received Expected values range from 0 to 7200 O indicates that there is no timeout If the value is greater than O and less than 10 10 is used The default value is 60 MaxSle The maximum number of Information Signal users that can be connected simultaneously to a ProxyDiff receiver Expected values range from 1 to 100 The default value is 10 SlcWindowsSize This parameter means Window synchronization size which is the number of messages sent between SYNC REQ requests used in the MMTP connection with the Information Signal users program Expected value range from 1 to 1000 The default value is 50 It is not mandatory Trace parameters MMTP protocol MmipLogPipe The name of the output file to which MMTP protocol trace messages will be sent If the parameter is missing empty or indicating non existent output trace messages will be stored in the file shown by the MmtpLogFile parameter This parameter does not have a default value MmtpLogFile The path and name of the file where MMTP protocol trace messages will be stored if the MmtpLogPipe parameter is indefinite or indicating non existent output If the parameter is omitted trace
37. cation of Variation in relation to previous price Variation in relation to previous day s closing price Format indicator Variation Reserved Length of Text in Body of Message Field name e First Price Definition Purpose First price traded on the day Possible values Restrictions Comprises price and its format e Last Price 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 20 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Purpose Last price traded so far Possible values Restrictions Comprises price and its format e Best Price Definition Purpose Best price traded so far Possible values Restrictions Comprises price and its format e Lowest price Definition Purpose Lowest price traded so far Possible values Restrictions Comprises price and its format e Type of the last price Definition Purpose Indicates type of event described in the message Possible values Restrictions 04 First trade 07 Trade e Accumulated quantity Definition Purpose Accumulated quantity of a stock traded at the session opening price e Indicator of variation in relation to previous price e Variation in relation to previous day s closing price Definition Purpose Percentage variation between last opening price of the day and the previous day s closing price NB If the trade is the first of the day type of las
38. chapter 1 5 2 TraceLevel Indicates message trace levels The lower the value the more detailed trace messages will be Expected values range from 5 to 7 LogName 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 6 13 Chapter Issue Date Il Procedure 02 04 07 08 The LogName parameter is used when more than one ProxyDiff receiver is running on the same computer using the same LogPipe parameter It allows supply of a unique identifier which will be used in the trace messages The default value for this parameter is ProxyDiff receiver Parameters HUB connection HubPort TCP port used by the program to establish connection with HUB This parameter is obligatory HublpAddr HUB s IP address This is also obligatory HubTimeout The number of seconds delay HUB accepts to respond to an MMTP request If HUB exceeds this delay in responding the connection is considered lost and the MMTP request canceled Expected values range from 0 to 3600 0 indicates that there is no timeout The default value is 60 1 minute HubCheckAliveTimeout The timeout in seconds after which an MMTP connection between a program and HUB is considered lost if there is no message received Expected values range from O to 7200 O indicate that there is no timeout If the value is greater than O and less than 10 10 is used the default value is 60 HubCnxinterval The minimum
39. dex 5 Reference index 6 Average index 7 Settlement index 8 Ignore e Last Index of the Day e Highest Index of the Day e Time of Highest Index of the Day e Lowest Index of the Day e Time of Lowest Index of the Day e Number of Actively Traded Stocks in the Index Definition Purpose Indicates the number of stocks in the index that were traded and involved in calculation of the index e Percentage Capitalization of Actively Traded Stocks in Index Definition Purpose Indicates percentage weighting in the index relating to stocks that were traded and included in calculation of the index e Indicator direction of variation of index type of index 1 2 5 Definition Purpose Indicates direction of variation registered in relation to the previous day s reference index e Percentage Variation of Index type of index 1 2 5 02 Messages Structure BOVESPA A Bolsa Chapter do Brasil USER MANUAL Use INFORMATION SIGNAL External Issue Il Procedure 04 Definition Purpose Page sheet 35 39 Date 11 13 08 Indicates the percentage variation registered in relation to the previous day s reference index Indicator of direction of variation of index in relation to the previous year s last type of index 1 2 5 Definition Purpose Indicates direction of variation registered in relation to the previous year s last Percentage variation of index in relation to previous year s last type
40. e with 6 decimal places H negative value with 7 decimal places I negative value with 8 decimal places J negative value with 9 decimal places 03 ANNEX BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 3 21 Chapter Issue Date Il Procedure 03 12 29 08 3 2 ANNEX B QUOTATION GROUPS The Quotation Groups data shown in the Functional Header of messages item 2 1 in the Message Description Manual and in messages 16 39 and 53 are dynamic and there may be alterations from one day to another so we are not able to inform Information Signal users in advance of all and any alteration The data on Quotation Groups are contents of messages and alterations in these contents do not lead to changes in the formats of messages and fields Therefore no adjustments in Information Signal users systems are necessary 03 ANNEX BOVESPA A Bolsa d USER MANUAL Use Page sheet INFORMATION SIGNAL External 4 21 Chapter Issue Date Il Procedure 03 12 29 08 3 3 ANNEX C MARKET SEGMENT os don nt O oe femme o os fonte SSS so na 03 ANNEX BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 5 21 Chapter Issue Date Il Procedure 03 12 29 08 3 4 ANNEX D TECHNICAL STRUCTURE FOR INFORMATION SIGNAL USERS RECEIVING DATA 3 4 1 General Description Data is distributed through connection to RCCF Financial Community Communication Network in B
41. e X 08 Bid Price sg 10 V9 08 Quantity of bid 9 14 V9 04 Date of bid X 08 Time of bid X 06 Ask price Sg 10 V9 08 Quantity ask 9 14 V9 04 Date ask X 08 Time ask X 06 Price last transaction Sg 10 V9 08 Quantity last transaction 9 14 V9 04 Date last transaction X 08 Previous closing Sg 10 V9 08 Opening price s9 10 V9 08 Minimum price S9 10 V9 08 Average price S9 10 V9 08 Maximum price s9 10 V9 08 Accumulated quantity 9 14 V9 04 Volume Operated 9 12 V9 02 Number Operations 9 05 Proprietor of Information X 02 Reserved X 18 Description of fields User in header Is proprietor of information for the market zeros Date Date of registration Instrument code See description on page 15 Simple description Brief description of instrument 03 ANNEX BOVESPA A Bolsa Chapter do B Il Procedure Use External Issue 03 USER MANUAL INFORMATION SIGNAL Page sheet 14 21 Date 12 29 08 Description Full description of instrument Closing Price Closing price traded on the day Settlement Condition C Buyer closing set by active offers V Seller closing set by active offers T Transaction closing marked by an operation N Nominal Closing historical price without offers or operations Closing price date Dates of setting closing price Bid price Price of best bid when se
42. ed to find the file If the parameter is not supplied the program will attempt to use a proxydiff cf file in the current directory Pi Parameter Pi is just a command line argument It allows specification of multiples values for any parameter in the configuration file selecting the value to be used through the Pi argument on starting the program Parameters with multiples values are suffixed with the character then with the value of the Pi parameter For instance when the following lines are found in the configuration file e TraceLevel 5 e 6 TraceLevel Test 6 e TraceLevel Debug 7 The TraceLevel parameter will be 6 when the Pi parameter is in Test mode 7 when in Debug mode or 5 when the Piis missing or is in another mode Log parameters LogPipe Contains the output name where trace messages will be sent see Hublogd documentation If this parameter is missing empty or indicating non existent output trace messages will be stored in the file shown by the LogFile parameter This parameter does not have a default value LogFile Contains the path and name of the file where the trace messages will be stored if the LogPipe parameter is undefined or indicating non existent output If the parameter is omitted the trace messages will be shown on the screen If the path is omitted the file will be created in the ProxyDiff receiver directory The screen will be used as default D Important The path must be created beforehand See
43. egment 02 e 08 Update Message 03 Added value 35 Must be discarded in field Type of Price Used by Bovespa Update Message 16 1 Added value R After Market session in field Stock Group Update State 2 For Market Segment 02 and 08 Forward the field Stock Group State N means it is in Market Session State Update Message 30 1 Unfilled quantity side at opening price gt New 2 Unfilled quantity at opening gt New Message AO Order Book Rebroadcasting available only after 2003 Jun 02 New Message A3 1 Type of Price Registered corrections Update 2 Added value S Limit Price Order in the field Type of Price New Registered MEGA380 V2 03 10 2003 Message A3 Added value X At best order in the field Type of Price New Registered Ei Message 09 Message 09 Presence System is on New 00 Historical Modifications doc BOVESPA Brazil s Stock Exchange USER MANUAL Use Page Sheet INFORMATION SIGNAL External 5 5 Chapter Issue Date Historical Modifications 05 12 29 08 MEGA380 B1 10 04 2002 For Mega Bolsa 380 the following messages were excluded A1 Forward Order Book Update A2 Order Price Marking A5 Deletions in the Order Book Forward Market 09 Presence System is on For Mega Bolsa 380 the following messages were included D3 All or none offers D4 Exclusion of All or none offers
44. endors acting as intermediaries providing Information Signal services 4 SYSTEM RULES 4 1 POINTS RELATING TO SYSTEM FUNCTIONALITY System functionality is organized daily with several phases Each phase corresponds to a specific state of the system during which some shares are authorized to operate and others not Some phases are simultaneous for all quotation groups while others develop specific schedules for each group They are shown as follows 4 1 1 Start of day This is the first phase of the day and applies to all quotation groups The aim is to allow users systems to update by processing messages produced automatically by the system for instance preparing data for a stock after distribution of dividends No intervention by Brokers is allowed during this phase 4 1 2 Preparing Quotation Groups The timing of this phase is defined for each quotation group and will be used by BOVESPA to audit the situation of the quotation system and for any interventions canceling offers of a stock or a Broker if necessary The system is not yet available for intervention by brokers 4 1 3 Pre opening phase The timing of this phase is defined for each quotation group This is the first phase in which brokers may come in with offers that may only be executed in the following phase Following parameters defined by BOVESPA the system may or may not accept an offer Furthermore in the case of acceptance of offers in all cases following BOVESP
45. ervers If a Information Signal user so wishes this value may be altered depending on their needs Important At the time of connecting with ProxyDiff check that Msgld data received by the program of the Information Signal user corresponds to the current date otherwise the messages will be ignored by the program This type of situation may arise if the ProxyDiff receiver has not yet received any message for the current date 1 5 2 Log files Log files kept in the directories defined by the variables MmtpLogFile and LogFile should be renamed at the end of the day or before restarting a new day in the ProxyDiff receiver Bovespa Monitoring Agent AgenteBovespa exe does this automatically in the following way At the beginning of every new day run AgenteBovespa exe start the previous day s log files are renamed with their names plus the extension of the current date Therefore we suggest Information Signal users use Bovespa Monitoring Agent as their tool for purging and storing log files It should be configured to start automatically at the beginning of the day before ProxyDiff receiver starts and should be closed at the end of the same day 01 Receiving Information BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 1 39 Chapter Issue Date Il Procedure 04 11 13 08 2 MESSAGE STRUCTURE This chapter describes the content of messages to be distributed to Information Signal users Messa
46. ese o 0 eeses 000 0000 O e e eeses 000 ese e o o e e o e o es O e 00 o eo ees O o ee e a o ee ee e e eo o ooo e o 00000 sess O ee o e o ee ooe e e ee e eee e sesos e e e ee e e e ee e ee o o ee o e e e ee e sos o se ses o ee ee o e eee sos o e eee eee ese o e 8 e o ee e ee o eo e o o eee e 0 seo es o ee e e e ee 9 esses q e e e e ee d ee eee eee esse o ee e esese BOVESPA Brazil s Stock Exchange BOVESPA Brazil s Stock Exchange USER MANUAL Use Page sheet INFORMATION SIGNAL External 11 Chapter Issue Date Presentation 02 04 07 08 This Manual introduces Information Signal Users to the solution for distributing Information Signal a data channel which make possible the reception of the information produced by BOVESPA in real time and worldwide This electronic data channel carries the following data BOVESPA stock market electronic trading session Over the Counter Market as well as information regarding to BTC Securities Lending Program and the BOVESPA FIX Fixed Income Private Securities Trading System In addition to these data all news referring to BOVESPA and CBLC are available on NBC This solution for Information Signal distribution originated in MEGA BOLSA BOVESPA s Electronic Trading System and the aim is to attend to the growing volume of transactions and messages At the same time it improves data recovery time if the
47. ges consist of two parts Functional header Body of the Message 2 1 FUNCTIONAL HEADER Compr Position Type Description Vale De po f qmma o Reserved oN Quotation Group See ANNEX B Reserved N N DO so o TT x nT N 2 2 BODY OF THE MESSAGE Next come layouts by field Message Type described in item 2 1 Functional Header 02 Messages Structure BOVESPA A Bolsa d USER MANUAL Use Page sheet INFORMATION SIGNAL External 2 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 1 Opening trade 01 Objective This message informs Information Signal users of opening trades for a certain stock Quantity traded Trade Price ARI Price Format 1 Price 13 Perco qGft ET A E CPC amp E O En Reserved Date of Trade YYYYMMDD Time of Trade HHMMSS oe E Variation in relation to previous day s closing price Format Indicator X 1 Variation N 13 Length of Text of Body of Message Does Field name e Quantity Traded Definition Purpose 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 3 39 Chapter Issue Date Il Procedure 04 11 13 08 Indicate total of stock traded in a transaction Trade price Definition Purpose Inform price of execution of trade Format Indicator See Annex A Price Price at which trade was made Note These messages are valid only for Market Segments
48. gularly saves to disk information from broadcast messages received see parameter SaveContextinterval The information file is named for the HUB subscriber see HubSubscriber parameter followed by msg ctx If the data file already exists this is always the case except for the first time it is renamed by adding bak at the end before creating a new file Monitoring and Supervision The ProxyDiff receiver regularly calculates and records statistics on reception of broadcast messages see monitoring parameter The format for these statistics is LMR x TSR x RTA n MRT n HST n n n n n The following table describes the different fields comprising this information Last Message Received Msgld of last message received from HUB Time Stamp of Receipt Time of last message received from HUB The format is MMDDhhmmsscc where MM is month DD day hh hour mm minutes ss seconds and cc hundredths of seconds Response Time Average since the last statistics logged Response time from sending of message by HUB to reception through the ProxyDiff receiver Maximum Response Time since last statistical data sent Maximum response time HISTORY of Response Time since the last statistical data stored History of response time This is a sequence of five numerical values separated by commas each showing the number of messages received with response time in this interval The five intervals are 0 lt n lt 500 ms 500 lt n lt 1
49. he MaxMsgFiles parameter range from 2 to 100 The default value is 10 Expected values for the NbMsgPerFile parameter range from 1000 to 100 000 000 The default value is 1 000 000 Important these values must be high enough to allow at least one full day of broadcast messages SaveContextinterval Shows the interval in minutes between 2 saved contexts Expected values range from 1 to 60 If this parameter is set at 0 this option is deactivated not recommended The default value is 1 Various parameters Monitoringinterval Shows the delay in seconds between 2 calculations of statistics Expected values range from 0 to 3600 The default value is 60 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 9 13 Chapter Issue Date Il Procedure 02 04 07 08 1 2 USE OF OCX COMPONENT The purpose of the OCX Component BovSinalXControl1 ocx is to enable Information Signal users to develop their applications without the need to know MMTP communication protocol The following are implementation data for the OCX component BovSinalXControl1 ocx Properties Ack Boolean Indicates to issuer that it can send the next message IpAddr String IP Address of the MMTP message server process Port Integer MMTP connection port Methods The methods used for opening and closing the connection to BOVESPA are as follows Connect Responsible fo
50. ible values Comprises price and its format e Offer Identification 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 29 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Purpose Identifies an offer for a certain stock in the order book Possible values Comprises Broker identification Offer Date Offer Sequential Number An offer s sequential number is created by MEGA BOLSA BOVESPA s Electronic Trading System for a stock e Order TimeStamp Definition Purpose Indicates order priority date time Possible values YYYYMMDDHHMMSS999999 e Type of price registered Definition Purpose Indicates nature of offer limit specified by operator Possible values O Offer at opening price L or S Limit offer M Offer at market price X Offer at best price 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 30 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 16 Cancellations in Order Book S4 Objective This message allows all Information Signal users to update their Order Book Indication of type of cancellation X 1 Offer Identification Broker Identification Offer Date Sequential number of Offer Direction of Offer Length of Text in Body of Message FR ES Field name Indication of type of cancellation Definition Purpose Defines the
51. inute 9140 Updating offers 9141 5 Best Limits 03 ANNEX BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 9 21 Chapter Issue Date Il Procedure 03 12 29 08 3 5 2 Registration codes 3 5 2 1 2101 Updates for securities Field name Type Size 1 Security code X 05 2 Movement code 9 01 3 Description X 30 4 Has coupon 9 01 5 First Coupon 9 03 6 Last Coupon 9 03 7 Currency X 01 8 Residual value 9 03 V9 06 9 Indicator type X 01 10 Brief description X 10 11 Stock s trading status X 01 12 Date suspended YYYYMMDD 9 08 13 Time suspended HHMMSS 9 06 14 Divisibility 9 07 15 Current coupon X 03 16 Qualified operation occurs 20 times X 01 17 Date Validity Interest YYYYMMDD 9 08 18 Date End Interest YYYYMMDD 9 08 19 Interest rate today 9 02 V9 6 20 Date Validity Previous Interest YYYYMMDD 9 08 21 Date End Previous Interest YYYYMMDD 9 08 22 Previous interest rate 9 02 V9 6 23 Trading Ambit Occurs 10 Times X 01 24 Nominal load X 01 25 Real Days X 01 26 ISIN Code X 12 27 Percentage on Price 9 03 V9 02 28 Whom affected by price x 01 29 Percentage of available security paid 9 03 V9 02 30 Whose payment is affected secured X 01 31 Sta
52. ion Page sheet INFORMATION SIGNAL External 2 13 Chapter Issue Date Il Procedure 02 04 07 08 1 1 3 Nonexistent file The ProxyDiff receiver sends an initial MMTP request with empty Msgld blanks This means that it wishes to receive all broadcast messages for the day Example of message recorded in LogFile 2005 05 12 07 13 01 930 ProxyDiff Send start request to the HUB Msgld If the initial request is rejected the ProxyDiff receiver closes the Information Signal user should contact BOVESPA If HUB accepts the initial request it sends broadcast messages from the beginning to the last one current The ProxyDiff receiver creates the file in which broadcast messages will be stored using MaxMsgFiles and NbMsgPerFiles parameters The file directory is defined by the MsgFilePath parameter and its name is the name of the HUB subscriber defined by the HubSubscriber parameter followed by msg In the example if HubSubscriber is SUBS001 and MaxMsgFiles is 3 the following files will be created 1 SUBS001 msg which contains private information 2 SUBS001 msg idx01 SUBS001 msg idx02 SUBS001 msg idx03 which are the index files 3 SUBS001 msg dat01 SUBS001 msg dat02 SUBS001 msg dat03 which are the data files 1 1 4 Existing file In this case the ProxyDiff receiver searches the Msgld file for the last broadcast message received in the last connection and uses it in initial request for messages to HUB Sample me
53. ion of bid Code of round Name of round in which offer is made Code of attached round Name of attached round in which same offer is shown Sequence number The number assigned to the transaction Argument Identification of the first column of the round used generically to identify the instrument to be traded Attached argument Identification of first column of the attached round Expiration time Time offer expires Residual amount Nominal price Quantity entered in the offer modified by the residual value of the instrument Price entered in the offer modified by residual value of instrument Residual value Percentage of nominal value yet to be amortized Instrument code See following description Information Price or Fee 1 States price 2 States fee Order of Offers 1 best purchase is the highest value best sale is the lowest value 2 Best purchase is the lowest value best sale is the highest value 9141 5 Best Limits Field name Type Size Market X 01 Pit Code X 04 Instrument Code X 15 Proprietor of Information X 02 Instrument Code Description X 30 Sell occurs 5 times from 1 to 5 best Best Sell Price s9 10 V9 08 Number of Offers at the best sell price 9 03 Best Sell Price Quantity 9 14 V9 04 03 ANNEX BOVESPA A Bolsa do USER MANUAL Use Page sheet I
54. ma seye opening me EM N asm px 8 Length of Tetin Body of Message The table below shows the main combinations of events that may occur others may be ignored The character means that the data in this field are of no importance Trading status of Status of stock Stock type Description stock S Suspended G Frozen Inhibited Offers forbidden H B P R R Stock reserved for auction or extension of the latter Space Other than I Opening of stock R P Show scheduled rescheduled time for opening stock 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 13 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 6 Start of Trading Day 07 Length of Text in Body of Message Oo This message informs Information Signal users of the start of trading on MEGA BOLSA BOVESPA s Electronic Trading System Due to the characteristics of the system more than one opening message may be generated each day 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 14 39 Chapter Issue Date II Procedure 04 11 13 08 2 2 7 Closing of Day 08 Length of Text in Body of Message Oo This message informs Information Signal users of the close of trading on MEGA BOLSA BOVESPA s Electronic Trading System Due to the characteristics of the system
55. merical using 4 bytes FE a code for 12 numerical using 8 bytes COBOL equivalent PIC 9 n or PIC S9 n 3 1 3 Character Type x alphanumeric COBOL equivalent PIC X n 3 1 4 Dates All dates are presented as 8 numerical characters in format YYYYMMDD 3 1 5 Times All times are shown as 6 numerical characters in the format HHMMSS 3 1 6 Field format Indicates the number of decimal places of the amount and whether positive or negative Possible values no significance 0 positive value no decimal place 1 positive value 1 decimal place 2 positive value with 2 decimal places 3 positive value with 3 decimal places 4 positive value with 4 decimal places 5 positive value with 5 decimal places 6 positive value with 6 decimal places 7 positive value with 7 decimal places 8 positive value with 8 decimal places 03 ANNEX BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 2 21 Chapter Issue Date 03 12 29 08 Il Procedure 9 positive value with 9 decimal places A negative value no decimal place B negative value 1 decimal place C negative value with 2 decimal places D negative value with 3 decimal places E negative value with 4 decimal places F negative value with 5 decimal places G negative valu
56. more than one closing message may be generated each day 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 15 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 8 System on the Air Warning 09 Length of Text in Body of Message 1 Oo This message will be sent every minute in order to inform Information Signal users that the system is active 02 Messages Structure BOVESPA A Bo do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 16 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 9 Alteration of Quotation Group Status 16 Objective This message shows Information Signal users alterations in a quotation group condition There will be as many messages sent as collectors used for a group and each message will specify the existing number of collectors for each group see Annex B Po Fieldname Ss Type Compr Quotation Group Code x 2 Quotation Group Condition OX 4 Number of Collectors Used by the Group of Quotation oN 2 EEE EE ee Length of Text in Body of Message 28 Field name e Quotation Group Code Definition Purpose Identifies stock that belongs to a same group and same trading schedule Possible values See Annex B e Quotation Group Condition Definition Purpose Indicates trading phase in which a group is found or a special condition attributed by BOVESPA interrupted or inhibited Possible values
57. ndard lot 9 08 32 Maximum lot Non divisible 9 08 33 Integer decimal indicator X 01 34 Decimal Prices 9 08 35 Fee Code X 03 36 IPC Indicator X 03 37 Additional fee signal X 01 03 ANNEX BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 10 21 Chapter Issue Date Il Procedure 03 12 29 08 3 5 2 1 2101 Updates for securities continuation Field name Type Size 38 Additional fee 9 04 V9 06 39 Issue Date YYYYMMDD 9 08 40 Expiration Date YYYYMMDD 9 08 41 Date Last Interest Paid YYYYMMDD 9 08 42 Annual base 9 03 43 Divisor Price 9 08 44 Formula x 02 45 Consecutive days gone by X 03 46 Indicator settlement date X 01 47 Type of days X 01 48 Direction of Auction X 01 49 Expiration Indicator X 01 50 Next Expiration MMDD 9 04 51 Settlers X 20 52 Proprietor of Information X 02 53 BCB Index X 07 54 Reserved X 143 Description of fields Movement code 1 Exclusion 2 Inclusion 3 Alteration Coupon 0 Not applicable 1 Has Indicator Type defined by market 4 Repo sales Trading status 0 normal 1 Trading suspended 2 Trading in local currency suspended 3 Trading in dollars suspended 4 Trading suspended for 30 Minutes 5 Trading suspended until next business day 6
58. of index 1 2 5 Definition Purpose Indicates percentage variation registered in relation to the previous year s last Number of stocks falling in the index portfolio Number of stocks rising in index portfolio Number of stocks with no variation in index portfolio Number of stocks with no quotation in index portfolio Number of stocks reserved in index portfolio Number of stocks suspended in index portfolio Total number of stocks in index portfolio Indicator of presence of supplementary data on index portfolio Definition Purpose States whether the previous indicators based on number of stocks falling in index significant o No 1 Yes 02 Messages Structure portfolio are BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 36 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 19 Securities Loans BTC 21 Field name Type of Operation Inclusion A Alteration E Exclusion R Retransmission position at start of day Type of offer 1 Lender 2 Borrower Offer number Stock s trading code Company Quantity Fee five decimal places Maximum period YYYYMMDD Length of Text in Body of Message The CBLC BTC service provides securities for loans available to investors depositing collateral CBLC acts as counterpart and guarantees operations Access to the service is through an electronic system and the borrower pays a fee to the lender plus the CBLC
59. r allocation of the resources required and beginning of connection with the ProxyDiff receiver StartRequest Msgld String Requests registration based on the latest handled Msgld to start a retransmission since the start of day Pass Blanks Disconnect Responsible for closing the connection with the ProxyDiff receiver Events OnAcceptStart OnConneci Occurs when the component is connected to ProxyDiff receiver OnDisconnect Const Desc String The ProxyDiff receiver procedure disconnected client OnError Error Integer Msg Desc String Generated by any anomaly taking place during the connection process or during exchange of messages OnReceiveData Const LastMsgld String SPF Header String DataPtr Pointer DataSize Integer Occurs when MEGA BOLSA BOVESPA s Electronic Trading System sends a broadcast message NB SPF_Header for future use OnStarted Occurs after call from StartRequest method 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 10 13 Chapter Issue Date Il Procedure 02 04 07 08 1 3 INFORMATION SIGNAL 1 3 1 Functionality architecture Compacted MMTP Logs amp Statistics 1 3 2 Functionality characteristics All messages received from different origins BOVESPA SOMA BTC BM amp F etc have a single identifier called MsgID Requests to OCX Bovespa and treatment of messages by
60. rage response time in thousandths of seconds Msgld of the last message sent to Information Signal users Maximum Response Time since the last statistics logged Maximum response time in thousandths of seconds HISTORY of Response Time since last statistics logged History of response times This sequence of five numerical values separated by commas each showing the number of messages received and response time in the interval The five intervals are 0 lt n lt 500 ms 500 lt n lt 1000 ms 1000 lt n lt 1500 ms 1500 lt n lt 2000 ms 2000 lt n Example of message recorded in LogFile 2005 05 12 16 13 14 950 Proxy Diff Slc 00007 SLC statistics LMS 20050512A0000002343 TSS 051216131459 RTA 509061 15 MRT 50912330 HST 0 0 0 0 2342 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 5 13 Chapter Issue Date Il Procedure 02 04 07 08 1 1 6 Configuration parameters The first task the ProxyDiff receiver does is read the configuration file parameter CfgFile If this reading fails due to the lack of an obligatory parameter or an invalid parameter value the process terminates This chapter describes each parameter CfgFile The parameter is only sent to the program using a command line It reports the path and name of the configuration file to be used to the program If the path is omitted the current directory will be us
61. razil This requires Information Signal users to have a server to receive the Signal All Information Signal users will receive standardized data in the same conditions therefore the speed of the VPN Virtual Private Network must not be altered nor can communication protocols other than those defined in this document be used 3 4 2 Equipment The equipment required for this connection must be acquired by Information Signal users A description of equipment recommended by BOVESPA follows Hardware Software 1 PC to function as signal receiver with the following minimum configuration Minimum e Pentium lIl 900 MHz e 512 MB RAM memory e OS Windows 2000 XP Recommended e Pentium IV 2 0 GHz e 512 MB de RAM memory e OS Windows XP ProxyDiff receiver software supplied by BOVESPA OCX Component supplied by BOVESPA Programs and treatment of messages developed by Information Signal user in accordance with specifications in this Manual 3 4 3 Functioning Information Signal users must have a LAN and server to connect to a BOVESPA central server The local network will be under the responsibility of the Information Signal user The IP address of Information Signal user networks for receiving data will be defined by BOVESPA and the description and format of messages are described in this Manual The basic module for providing Information Signal data is formed by server session and an access port in BOVESPA 03 A
62. re BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 5 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 2 Trade 02 Objective This message informs Information Signal users of a trade for a certain stock if different from the opening trade Quantity traded Trade Price Price Format 1 Price 13 E De a sas Pome O Highest Price Quoted on the day Format Indicator 1 Price 13 Lowest Quoted Price on the day Format Indicator 1 Price 13 a E A E c E EN aa Es eer E DE id 2 E Gi lo O A 5 pi O im o hi 6 2 inicio A 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 6 39 Chapter Issue Date Il Procedure 04 11 13 08 Continuation Variation in relation to previous day s closing price Format Indicator X 1 Value of Variation X 13 ER Reserved Length of Text of Body of Message DA Field name e Quantity Traded Definition Purpose Indicates total of stock traded in a transaction e Trade price Definition Purpose Inform price of trade executed Format Indicator See Annex A Price Price at which trade was made e Quantity of securities traded Accumulated on the day Definition Purpose Quantity of a certain stock traded on MEGA BOLSA BOVESPA s Electronic Trading System during the current day Possible values An initial value of 0 zero that increases with each trade made for the
63. rs of changes occurring in stock price Type Last Price of the Day Format indicator xX Price Highest Price Quoted Price format Price Lowest Price Quoted Format indicator Price Reserved Indicator of variation in relation to previous price Variation in relation to previous day s closing price Format indicator Value of Variation Reserved X Price type a 1 13 1 13 1 13 2 1 1 13 1 Length of Text of Body of Message Field name e Last Price of the Day e Highest Price Quoted e Lowest Price Quoted e Price Type Definition Purpose Indicates the type of operation described in this message Possible values 30 alteration of first price 31 New highest price 32 New lowest price 33 New last price 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 9 39 Chapter Issue Date Il Procedure 04 11 13 08 34 New previous day s closing price 35 BOVESPA internal use Ignore NB When there are updates in the fields Higher or Lower Price Quoted this field has value 31 or 32 The other values of this field indicate alteration in the Last Price of the Day field e Indicator of variation in relation to previous price e Variation in relation to previous day s closing price Definition Purpose Percentage variation between last price of day and previous day s closing price 02 Messages Structure BOVESPA
64. s charge The fee is freely agreed between the parties All proceeds declared by the issuer of the security belong to the original proprietor For more conceptual information access the website http Avww cblc com br 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 37 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 20 News 23 Objective Dissemination of news Each news item may occupy one or more pages which comprise a number of lines It is assumed that the first line of the news item is its headline gt News item text Variable with max 800 Length of Text in Body of Message FR Ra Field name e Agency Identification Definition Purpose Indicates agency producing news item Possible values 11 The Over the Counter news agency 13 Electronic Purchase Exchange 14 CBLC News Agency 15 BOVESPA Index Agency 16 BOVESPA Institutional Agency 17 BOVESPA Operations Agency 18 BOVESPA Companies Agency e Priority Definition Purpose Indicates level of importance of news Possible values 1 most important 2 normal 3 less important 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 38 39 Chapter Issue Date Il Procedure 04 11 13 08 e News item number Definition Purpose Sequential number of news by agency
65. s from Information Signal user s programs 3 Starts an MMTP connection to HUB 1 1 2 Treatment of HUB connections This chapter describes MMTP connections established between the ProxyDiff receiver and HUB TCP Connections Established On initializing the ProxyDiff receiver attempts to establish a TCP connection with HUB using the parameters HubPort and HublpAdar Example of message recorded in LogFile 2005 05 12 07 13 01 410 ProxyDiff Connection established with the HUB 125 255 44 40 18401 MMTP Connections Established When the connection with HUB is established the ProxyDiff receiver sends an MMTP connection request to HUB using HubSubscriber and HubPassword for identification Example of message recorded in LogFile 2005 05 12 07 13 01 410 ProxyDiff Send connection request to the HUB subscriber HUBIPRX0234 options 0101000000000000 If HUB accepts this request for access the ProxyDiff receiver will send a request to start data reception If there is a faulty connection the ProxyDiff receiver will attempt to connect to HUB until the latter is reestablished Requests for broadcast messages When an MMTP connection is established the ProxyDiff receiver requests the messages for broadcast There are two possibilities for this request which depend on the existence and validity of the file where the messages for broadcast are stored 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilizat
66. scription of fields Instrument code See description on page 15 Code operation origin 0105 Sale based on offers 0205 Purchase based on offers 0301 Sale based on trading 0401 Purchase based on trading Type of operation origin 1 On behalf of third parties 5 Own portfolio Type of destination O Third parties operation 1 On behalf of third parties 3 Agents from other market 5 Own portfolio Time Time of registration Total quantity Quantity traded on the day Volume traded Volume traded in the day Average price Average traded price of instrument Previous closing price Previous day s closing price Last price Last traded price Fluctuation signal Positive or negative value of difference in relation to previous closing Fluctuation Percentage variation between last price and previous closing price Minimum price Minimum price traded on the day for instrument Maximum price Maximum price traded on the day for instrument Date Date of operation Time Time of operation Sequence Sequence signed for operation Instrument code Traded instrument 03 ANNEX BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 17 21 Chapter Issue Date Il Procedure 03 12 29 08 Origin Agent Spaces Destination Agent Spaces Quantity of Operation Quantity traded in this operation
67. ssage saved in LogFile 2005 05 12 17 02 25 650 ProxyDiff 0000 Try to open home sl234 proxyd data HUBIPRX0234 msg message file 2005 05 12 17 02 25 670 ProxyDiff 0000 Try to open context file home si234 proxyd data HUBIPRX0234 msg ctx 2005 05 12 17 02 25 670 ProxyDiff Restoring context file home sl234 proxyd data HUBIPRX0234 msg ctx 2005 05 12 17 02 25 670 ProxyDiff Send start request to the HUB Msgld 20050512A0000074858 If HUB rejects the initial request the receiver removes the file and functions as described above see chapter 1 1 3 But if HUB accepts the request it starts sending broadcast messages based on the message after the one in Msgld corresponding to the initial request Processing broadcast messages After HUB accepts the initial request it begins to send data messages and stores the message Sample message saved in LogFile 2005 05 12 17 02 25 750 ProxyDiff 0000 Message received from HUB Msgld 20050512A0000074859 DataSize zoososi2 17 02 25 750 ProxyDiff 0000 Message received from HUB Msgld 20050512A0000074860 DataSize When previous tasks are completed messages will be stored in the broadcast messages file ready to be sent to the Information Signal users programs 01 Receiving Information BOVESPA A Bolsa do Brasil USER MANUAL Utilization Page sheet INFORMATION SIGNAL External 3 13 Chapter Issue Date Il Procedure 02 04 07 08 Saving Information The ProxyDiff receiver re
68. t in buyer settlement condition Quantity of bid Quantity of best bid when set with buyer settlement condition Bid date Date of best bid when set with buyer settlement condition Time of bid Time of best bid when set with buyer settlement condition Asking price Best asking price when set with seller settlement condition Quantity of ask Quantity of best ask when set with seller settlement condition Date of ask Date of best ask when set with seller settlement condition Time of ask Time of best ask when set with seller settlement condition Price last Price of last closing made transaction Quantity of last transaction Quantity of the last closing made Date last transaction Date last closing made Previous closing Last closing price Opening price Price of first closing of the day Minimum price Minimum price traded on the day for the instrument Average price Weighted average price traded on the day for the instrument Maximum price Maximum price traded in the day for the instrument Accumulated quantity Sum of quantities traded on the day for the instrument Volume traded Sum of volume traded on the day for the instrument Number of trades Quantity of closings made on the day for the instrument 03 ANNEX BOVESPA A Bolsa d USER MAN
69. t price 04 the fields last best lowest and first price are all equal to the price of the trade 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 21 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 12 Session Schedule by Quotation Group 39 Objective This message shows Information Signal users schedules for each group Field name Compr Quotation Group Code ee U EA Ak NEM a O Length of Text in Body of Message Eoo 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 22 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 13 Basic Registry of the Stock 53 pere E O Was Reserved PCC A EC itft Previous day s closing price Format indicator X 1 Price N 13 Option Exercise Price Format indicator x 1 Price N 13 X 73 Reserved a Average Quantity Last Trade Sessions do Frozen Parameters for Cross Trades Last Trade Price percentage Average Quantity of Shares percentage Total Number of Shares percentage Frozen Parameters for non Cross Trades Last Trade Price percentage Average Quantity of Shares percentage Total Number of Shares percentage 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 23 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 13 Basic Registry of the Stock 53 continuation Indication of
70. tingency 3 5 ANNEX E FIXED INCOME DESCRIPTION OF MESSAGES 00 ndex doc 3 5 1 Message structure 3 5 1 1 HEADER 3 5 2 Registration codes 3 5 2 1 2101 Updates for securities 3 5 2 2 2102 Updates for securities variable portion 3 5 2 3 2201 Updates for agents 3 5 2 4 8104 Official closing 3 5 2 5 9110 Update for each operation 3 5 2 6 9120 Reference Price 3 5 2 7 9130 Totals Update every minute 3 5 2 8 9140 Update of Offers 3 5 2 9 9141 5 Best Limits AA 04 Page Sheet 2 2 Date 12 29 08 11 13 12 13 12 13 12 13 13 13 1 39 1 39 1 39 2 39 5 39 8 39 10 39 12 39 13 39 14 39 15 39 16 39 17 39 19 39 21 39 22 39 26 39 27 39 30 39 31 39 33 39 36 39 37 39 39 39 1 21 1 21 1 21 1 21 1 21 1 21 1 21 1 21 3 21 4 21 5 21 5 21 5 21 5 21 6 21 6 21 6 21 6 21 8 21 8 21 8 21 9 21 9 21 11 21 12 21 13 21 15 21 17 21 18 21 18 21 19 21 BOVESPA Brazil s Stock Exchange USER MANUAL INFORMATION SIGNAL Chapter Historical Modifications HISTORICAL MODIFICATIONS Use Page Sheet External 1 5 Issue Date 05 12 29 08 Due to recent updating and aiming to maintain the quality of all services provided to our clients we are publishing version 5 7 0 0 of this user manual MEGA837 V5 7 0 0 e HEADER cap 3 5 1 1 Inclusion of new register codes e Reference Price cap 3 5 2 6 Inclusion of new chapter e 5 Best Limits cap
71. tion of the Index Reserved Length of Text in Body of Message Field name e Description of stocks weighting in index repeated thirty times Definition Purpose Describes weighting of stocks in index associated with message This field formed by grouping data is found thirty times in message A7 e Stock code e Stock Symbol e Stock s weighting in Market Capitalization Definition Purpose Indicates percentage weighting of the stock in the previous day s reference level for market capitalization e Indicator for last index composition message Definition Purpose Indicates whether this message is the last one describing the composition of said index or there are more messages in this respect 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 32 39 Chapter Issue Date Il Procedure 04 11 13 08 Possible values 0 This message is not the last one for the above index 1 This message is the last one for this index e Number of stocks composing the index e Previous day s closing index e Indicator of frequency of calculation of index Definition Purpose Indicates the frequency of calculation of the index identifying discontinuous indexes calculation based on the first and last price and continuous indexes calculated throughout the day of quotation at intervals predetermined by BOVESPA e g 30 seconds Possible values C continuous type index D
72. type of cancellation to be made in the order book Allows an offer to be canceled all previous offers taking into account the direction of the offer Possible values 1 only the offer identified should be canceled 2 The identified offer and all similar better bids or asks should be canceled 3 All offers of a certain stock should be canceled Offer Identification Comprises Broker s Identification Offer Date Sequential Number of Offer Direction of Offer Definition Purpose Identifies an offer for a certain stock in the order book Possible values A Purchase SV Sale Cancellation of bids and asks Occurs when the cancellation type indication is 3 02 Messages Structure BOVESPA A Bolsa do USER MANUAL Use Page sheet INFORMATION SIGNAL External 31 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 17 Index Composition of Index A7 Objective This message shows Information Signal users the composition of the index From 1 to n messages are issued at the start of the day to define the composition of each index Field name Description of stocks weighting in index repeated thirty times Stock Code Stock Symbol Contribution of the Stock in the previous day s Reference Market Capitalization Indicator of Last Message of Composition of Index Number of stocks composing index Previous day s closing index Format of Index Index Indicator of the Frequency of Calcula
73. value of Trade origin Inclusion of fields in table Price update 03 cap 2 2 3 Inclusion of fields in table Field Name Five best limits 04 cap 2 2 4 Deletion of Note Correction and Inclusion of fileds in table Field Name Correction of Definition Purpose Annex C cap 3 3 Deletion of field 9 Annex D cap 3 4 Deletion of field 98 V5 0 0 3 07 06 2005 Message Structure cap 2 Functional header cap 2 1 V5 0 0 2 05 24 2005 Message Structure cap 2 Functional header cap 2 1 BOVESPA s monitoring agent cap 1 4 Monitoring OCX Component cap 1 2 SPF_Header in OnReceiveData event V5 0 0 1 04 26 2005 ProxyDIFF New structure for feed reception Message Z6 SOMA 00 Historical Modifications doc Use External Issue 05 Deleted Deleted Correction Correction Deletion Correction Corretion Deletion Deletion Correction Correction New New New Deleted Page Sheet 3 5 Date 12 29 08 BOVESPA Brazil s Stock Exchange USER MANUAL Use Page Sheet INFORMATION SIGNAL External 4 5 Chapter Issue Date Historical Modifications 05 12 29 08 MEGA380 V4 0 08 09 2004 Message Z1 BTC Securities Lending Program New MEGA380 V3 1 05 14 2003 Message 01 e 02 Id of buying and selling member New MEGA380 V3 04 11 2003 Message 01 This is not sent for Market S
74. ve been altered are included in this message which leads to variation in the length of the text in the body of the message e Total quantity bids 02 Messages Structure BOVESPA A Bolsa do Brasil USER MANUAL Use Page sheet INFORMATION SIGNAL External 11 39 Chapter Issue Date Il Procedure 04 11 13 08 Definition Purpose Total quantity of offers at a certain price NB If the total quantity of the bid is equal to or greater than 999 999 999 999 the quantity shown will be 999 999 999 999 e Number of bids Definition Purpose Number of bids for the given price e One of the best bids or asks prices Definition Purpose Limit for best bid or ask price Possible values Comprising the price and its format or Indication of opening price OUV Indication of Offer at best price MX e Number of asks Definition Purpose Number of asks for given price e Total quantity asks Definition Purpose Total quantity of offers at given price NB If the total quantity of the ask is equal to or greater than 999 999 999 999 the quantity indicated will be 999 999 999 999 02 Messages Structure BOVESPA A Bolsa dc USER MANUAL Use Page sheet INFORMATION SIGNAL External 12 39 Chapter Issue Date Il Procedure 04 11 13 08 2 2 5 Change of Stock Status 05 Objective This message shows Information Signal users the changes in the status of a stock Trading statusofthestock x o Reseved x fo status or

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