• Document: Taiwan Stock Exchange Market Information Transmission Operation Manual (IP Feed Specification)
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Taiwan Stock Exchange Market Information Transmission Operation Manual (IP Feed Specification) Version: B.11 Document No.: O-104-A10 Produced by the Taiwan Stock Exchange Table of Contents 1. Introduction........................................................................................................... 1 2. Connection Architecture ...................................................................................... 2 3. Data Format .......................................................................................................... 3 Format 1 Basic Data of Individual Common Stocks on TWSE Market ........................................................ 4 Format 2 Statistics of Auction Trading of Common Stocks on TWSE Market ............................................. 8 Format 3 Statistics on Auction Indices of Common Stocks on the Stock Market ....................................... 11 Format 4 Statistics on Auction Consignments of Common Stocks on TWSE Market................................ 16 Format 5 Stock Market Announcements ........................................................................................................ 22 Format 6 Real-time Auction Quotes of Common Stocks on TWSE Market ............................................... 24 Format 7 Statistics on Finished Fixed-price Transactions of Common on TWSE Markets ...................... 33 Format 8 Statistics on Fixed-price Transaction Consignments of Common Stocks on TWSE Market .... 35 Format 9 Trading Information of Individual Common Stocks in Fixed-price Transactions on TWSE Market .............................................................................................................................................. 37 Format 10 Updated Information of TWSE-complied Indices ........................................................................ 40 Format 12 Information of Auction Opening (Closing) Price of Common Stocks on TWSE ........................ 42 Format 13 Real-time Odd Lot Transaction Information on Stock Market ................................................... 48 Format 14 Full-name Information of Callable Bull(Bear) Contracts on the Stock Market ........................ 52 Format 15 Information of Suspended Stocks on the Stock Market ............................................................... 54 Format 16 Quote Transmission System t Data on Stock Market ................................................................... 56 Format 17 Real-time Auction Quotes of Common Stocks on the 2nd IP TWSE Market ............................. 59 Format 18 Information of Auction Opening (Closing) Price of Common Stocks on the 2nd IP TWSE Market .............................................................................................................................................. 63 Format 19 Data on Stocks Suspended/Resumed for trading in TWSE .......................................................... 66 4. Version Update Log ............................................................................................ 70 Appendix A: Description of Transmission Sequence ............................................. 75 Appendix B: Stock Coding Rules ............................................................................. 76 Appendix C: Stock Industry Category (Cf Format 13.1.3) ................................... 78 Appendix D: Stock Category Code Table (Cf Format 13.1.4) ............................... 79 Appendix E: TWSE-Complied Index Table............................................................ 79 Appendix F: Table of Online Transmission Format ......................................... 79 1. Introduction 1.1 Information Format Development History 1.1.1 The Taiwan Stock Exchange (TWSE) implemented four policies as of 1 July 2002 to promote market internationalization and liberalization, to ensure fair and efficient trade, and to assure information transparency. These policies included (1) integration of abolition of tick size restrictions and auction; (2) stabilization of instantaneous intraday stock price; (3) 5-minute collective auction at closing; and (4) disclosure of the one unexecuted stock with the highest buying and the lowest bids and their volumes. Further in 2004, the TWSE implemented the policy of disclosure of the five unexecuted stocks with the highest buying and the lowest bids and their volumes. Information transmission lag occurred as a result because the baud rate at 9.6Kbps of the data transmission circuits of market information companies (securities companies) was unable to handle the augmentation of data volume from the auction system adjustment of the TWSE. 1.1.2 In consideration of the data transmission

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