Market Conventions & Data

Read these first

1. 01ISIN, CUSIP, SEDOL and Tickers

   A single security can carry four different identifiers at once, a global ISIN, a US CUSIP, a UK SEDOL and a market-specific ticker, because each was built for a different purpose, and confusing them is a routine source of trade breaks.

2. 02Official Closing Price vs Last Trade

   The last trade of the day and the exchange's official closing price are usually the same number, but not always, the closing auction exists precisely because a single last print can be an outlier, and most of the money in the market marks its books to the auction price, not the last tick.

3. 03Price, Yield and Spread: How Different Assets Are Quoted

   A stock is quoted in dollars, a bond in yield or price-per-hundred, a swap in a spread, and an FX pair as a ratio, the same underlying idea of "what does it cost" takes a different quoting convention in every asset class, and mixing them up is a fast way to misread a screen.

4. 04The Corporate Action Event-Type Taxonomy

   Every corporate action a company can announce sorts into one of a handful of standard categories, mandatory, voluntary or mandatory-with-choice, and knowing which category an event falls into tells you immediately what a data feed, a back office and a shareholder each have to do about it.

Then the rest

1. 05Accrual Conventions for Financing and Borrow Fees
2. 06Bid, Ask, Mid and Last: Quoting Conventions
3. 07Board Lots and Minimum Tradable Quantities
4. 08Building a Total Return Series from Prices
5. 09Business Day Conventions and Date Rolling
6. 10Closing Benchmarks and Fixing Windows
7. 11Consolidated vs Primary Exchange Prices
8. 12Contract Multipliers and Point Values
9. 13Fractional Shares and Notional Orders
10. 14Golden Source and Reference Data Lineage
11. 15How an OHLC Bar Is Actually Built
12. 16Instrument, Issuer and Listing Hierarchies
13. 17MIC Codes and Venue Identification
14. 18Pre-Market, Regular and After-Hours Sessions
15. 19Primary Listing vs Composite Tickers
16. 20Settlement Cycles Across Asset Classes
17. 21Settlement Prices and Daily Marking Conventions
18. 22Share Class Mapping and Line Selection
19. 23The Trading Day Boundary and Session Timestamps
20. 24Tick-Size Regimes and the MiFID II Tick Table
21. 25Ticker Changes and Symbol Recycling