Market Data Definition Language (MDDL)
The XML specification to enable the interchange of information necessary to account, to analyze, and to trade financial instruments of the world's markets.
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MDDL 2.0-draft Glossary
MDDL 2.0-draft Glossary
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 Definition
accrual container Container Container for the parameters of the accrual (start of interest calculation) "Period" indicates start of accrual.
accrualBasis container Container The day counts for month and year on which accrual calculations are based.
address string Simple Street/Mailing address of referenced item - multiple lines augmented by "rank".
agencyRatings container Container Ratings of quality or financial strength.
agent container Container An individual or organization empowered to act for or represent another individual or organization.
agentType string Enumeration Controlled Vocabulary identifying the activity of function of the agent.
agreedRestrictions string Simple Restrictions agreed in a covenant.
allowedIndebtedness string Simple Maximum debt load to remain within covenant restrictions.
amortization boolean Simple Indicates that repayment is made via regular principal and interest payments over time. Schedule would be in ADDITION to schedules provided with interest and principal repayment items.
amortizationBehavior decimal Rate Indication of behavior of the amortization rate of the life of a debt instrument.
amortizationType string Enumeration Controlled Vocabulary identifying type of basic amortization schedule.
analytics container Container Container for analytic values to aid in analysis of instrument.
announcementDate dateTime DateTime Date announced to the public.
ask container Container Container to denote data associated with an Ask Quote.
auctionDate dateTime DateTime Date (and/or time) of issue auction.
background string Simple Descriptive background of security.
backLoad decimal Price backLoad.
baseValue decimal Quantity Value added to the component instrument's multiplier modified value in the index formula.
benchmarkStrategy string Simple The strategy applied to the management of the fund.
bid container Container This element is a container to denote data associated with a Bid Quote.
caeType string Enumeration Controlled Vocabulary denoting the type of corporate action or event of refererence. Also used within "instrumentData" and "placeOfListing" to identify the LAST CAE that took place on this instrument/market.
calculationType string Enumeration Controlled Vocabulary identifying the method used for basic calculation (e.g. average, cumulative...).
callable boolean Simple Indicates that the instrument is subject to being redeemed at the demand of the issuer.
callableType string Enumeration Controlled Vocabulary identifying the type of call applicable.
callConditionType string Enumeration Controlled Vocabulary listing the specific conditions on a call.
capitalization decimal Amount Value of outstanding shares (price * sharesOutstanding).
capitalizationType string Enumeration Controlled Vocabulary identifying types of instruments used in capitalization.
capped decimal Price The limit or upper bound on the referenced price or amount.
change decimal Price Denotes difference between this valuation and a previous valuation (per changeType).
changeDirection string Enumeration Controlled Vocabulary showing relative direction of last change.
changeType string Enumeration Controlled Vocabulary indicating base value to which "change" is referenced.
clearingHouse string Simple Central collection facility where participants maintain accounts against which the credits or debits are posted.
clearingSystem string Simple Automated system used for clearing functionality.
clearingProcess string Simple Agreed process used for clearing functionality.
clearingSettlement container Container Container to hold details of the settlement and clearing components.
cleanup decimal Quantity Exercisable when less than this quantity or percentage of a debt or debt pool remains.
close decimal Price The final price as of market close.
closeType string Enumeration Controlled Vocabulary indicating the method by which "close" is calculated.
closingDate dateTime DateTime The date on which an item closes or is no longer available. May be augmented by "closingDateType".
closingDateType string Enumeration Controlled Vocabulary indicating the type of "closingDate" (e.g. maturity, expiry).
code string Enumeration The shorthand notation for a known item (exchange, instrument) from the appropriate Controlled Vocabulary or "scheme".
codeType string Enumeration Controlled Vocabulary indicating relative ordering of this code (i.e. "previous" or "next").
collateralType string Enumeration Controlled Vocabulary indicating type of collateral backing this instrument.
comment string Simple Free text comment used by provider for clarification, if necessary.
component container Container A component is a container that identifies (and the relevant valuation of) an instrument used to compute an index and the associated parameters used in that computation. The component value equals the component instruments' value (componentValue) multipled by the multiplier then added to the baseValue all multiplied by the weighting. "component" value=("componentValue" * "multiplier" + "baseValue") * "weighting".
componentIdentifier container Container Identifies the underlying instrument for this component. See "instrumentIdentifier".
componentValue decimal Price The value of the underlying instrument to be used as the component value (as a result of the calculation).
compounding container Container Identifies "period" over which compounding takes place.
convertible boolean Simple Signifies that instrument is convertible and under which conditions.
convertibleType string Enumeration Controlled Vocabulary indicating type of conversion.
country string Enumeration Controlled Vocabulary specifying the country code.
covenant container Container Container outlining the details of the arrangement or deal.
creditEnhancement container Container Container holding issue support or other credit enhancement information.
creditEnhancementType string Enumeration Controlled Vocabulary identifying the type of credit enhancement provided.
crossrate string Enumeration Controlled Vocabulary identifying two currencies and current exchange rate (multiplier).
currency string Enumeration Controlled Vocabulary identifying the currency code of the price or amount. By default, the ISO 4217 3-character code.
dateTime dateTime Simple Date (and/or time) of the event or relevant piece of data.
dayOfWeek string Enumeration Controlled Vocabulary specifying one of the seven days of the week.
days container Container Specifies which days are relevant to the parent value.
daysInMonth decimal Quantity Count of the number of days in a standard month used in the relevant calculation.
daysInYear decimal Quantity Count of the number of days in a standard year used in the relevant calculation.
debtIndicatorsType string Enumeration Controlled Vocabulary identifying specific debt-related indicators.
debtIssueData container Container Container holding information relative to the debt issue.
debtOutstanding decimal Amount Amount of debt outstanding.
declining container Container Declining schedule.
defaultClause string Simple The default clause for a covenant when no other clause applies.
delayFactor duration Simple The period of time used to delay data from this source or market.
denomination decimal Price The denomination of the instrument.
depositoryName string Simple The depository to be used over the specified period.
depositorySystem string Simple The depository processing system to be used over the specified period.
description string Simple A free-text description of the code if necessary. Not intended for automated processing.
deviation string Simple A description of the deviation permissable on an issue.
deviationType string Enumeration Controlled Vocabulary indicating the type of deviation used.
diary container Container A journal of the schedules relevant to an issue.
distributionType string Enumeration Controlled Vocabuarly indicating the method of distribution of assets.
dividend decimal Price The share of profits distributed to a holder.
duration duration Simple A basic range of time specified in years, months, days, hours, minutes, seconds.
earnings decimal Price Earnings on an instrument.
earningsRef uri Simple Reference to which earnings value was used.
earningsType string Enumeration Controlled Vocabulary indicating method by which "earnings" are calculated.
end dateTime Simple Denotes the absolute dateTime of the end of a "period".
enhancement string Simple The parameters of the enhancement or support provided.
entityType string Enumeration Controlled Vocabulary denoting type of entity described.
eventType string Enumeration Controlled Vocabulary elaborating the type of "event" - the action or description for this event.
exerciseRights container Container The rights and timeframe of the holder to exercise issue options.
exerciseRightsType string Enumeration Controlled Vocabulary denoting the specific type of right that could be exercised.
extendibleDate dateTime DateTime Date (and/or time) when a date may be extended. Multiple periods require a schedule.
faceValue decimal Price The face or par value of the instrument to be paid by the issuer at the maturity date.
firstDate dateTime DateTime Date (and/or time) of first occurence (e.g. when first interest payment is due).
firstDealingDate dateTime DateTime Date (and/or time) when instrument was first negotiated.
firstAmount decimal Price First amount for this item (eg. first payment amount for a bond).
firstSettlementDate dateTime DateTime Date (and/or time) when instrument was first settled.
nonFixedRate boolean Simple Contains parameters relating to non-fixed rate interest bearing instruments.
floatingRateType string Enumeration Controlled Vocabulary specifying the type of floating rate note.
fraction none Quantity Indicates that the number is actually a fraction. "actualDenominator" gives a clue to the denominator of the value (assume 1). If the value is intended to be displayed with a different denominator, "displayDenominator" provides this clue.
formula string Simple Textual representation or description of the formula used in calculation.
frontLoad decimal Price frontLoad.
fundStrategyType string Enumeration Controlled Vocabulary enumerating the fund strategy.
governingLaw string Simple A reference to the law, laws, or jurisdiction relating to the issue.
high decimal Price The high valuation over the period specified.
increment decimal Price The value at which a number (e.g. denomination) is incremented.
indexBaseDate dateTime DateTime The date at which the "indexBaseValue" was determined.
indexBaseValue decimal Quantity Value added to the indexMultiplier modified sum of the components before applying the indexWeighting.
indexMethodology string Simple A detailed textual description of the index and the methodology used in determing the components and weighting factors of the index.
indexMultiplier decimal Simple Used in calculation of an index per the basic index formula. Multiplied by the sum of the components before the indexBaseValue is added. See "multiplier".
indexObjective string Simple A short description of the purpose of the index indicating the target audience or interest.
indexValue container Container The value of the index at the current time (after index calculation performed).
indexWeighting decimal Simple Used in calculation of an index per the basic index formula. Multplied by the indexMultiplier modified sum of the components. See "multiplier".
indicatorsType string Enumeration Controlled Vocabulary containing various indicators about the current value (e.g. estimated, official).
industryIdentifier container Container Identifies the industry that this entity (e.g. issuer, issuer) is associated with.
instrumentData container Container Container for basic amplifying information about the instrument.
instrumentFormType string Enumeration Controlled Vocabulary denoting the basic form of the instrument (if purchased).
instrumentIdentifier container Container Identifies the instrument for the corresponding market data, calculations, or valuations. It may contain many codes from many schemes with multiple names (including multiple languages). The intent is that enough information be given to uniquely identify the instrument.
instrumentStatusType string Enumeration Controlled Vocabulary identifying the current status of the instrument.
instrumentType string Enumeration Controlled Vocabulary indicating the classification or type of instrument (e.g. ISO 10962 CFI code for Classification of Financial Instruments).
interestRate decimal Rate The interest rate applicable for the instrument. Includes amplifying information. Stepped rates require a schedule. Performance-based require multiples that are "when" qualified.
interestRepayment decimal Price The interest repayment amount - augmented by the type of repayments and when they must be made against the interest. Multiple repayments require a schedule.
investingRestrictions string Simple Lists those restrictions limiting which instruments can be components.
investingStyle string Simple A brief description of the style of investment strategy.
investingTechniques string Simple Itemizes and describes techniques used in investment decisions.
issueAmount decimal Price Total original amount for which the issue is published.
issueData container Container Container holding information relative to the issue itself (domain agnostic).
issueDate dateTime DateTime Date (and/or time) issue was made available to the public.
issueFees decimal Price Any fees associated with the issue.
issueFeesType string Enumeration Controlled Vocabulary specifying the type of fees associated with the issue.
issueMarketType string Enumeration Controlled Vocabulary identifying the type of market issue is placed into.
issuePrice decimal Price The price at which this instrument was issued.
issuerRef uri Simple A reference (into the issuerClass) of the issuer of this instrument.
issuerChoice boolean Simple An indication that the instrument is callable at the issuer's discretion.
jurisdiction container Container Jurisdictional information governing the issue.
jurisdictionType string Enumeration Controlled Vocabulary indicating the specific type of jurisdiction.
last decimal Price The last (or most recent) valuation.
lastCAE container Container The last corporate action or event that took place.
lastDate dateTime DateTime Date (and/or time) of last occurence (e.g. last interest payment).
limited container Container Container for the limited schedule.
linked boolean Simple Instrument to which the item is linked.
liquidationStatusType string Enumeration Controlled Vocabulary identifying the current liquidation status.
location container Container Information about a physical region (city, state, country).
locationType string Enumeration Controlled Vocabulary identifying the type of location (registration, domicile, physical, etc.).
low decimal Price The low valuation over the period specified.
makeWholeCall boolean Simple An indication that the issuer will make whole the value if a call is exercised.
mandatory boolean Simple Required. Not an option.
margin decimal Price The offset applied to the base value.
marketCenter container Container The market center or specialist providing the current quote.
marketConditions string Simple Conditions of the market relating to time of operations.
marketDerivedInfo container Container Container for information derived from the market - dictated based on market of trading.
marketIdentifier container Container Identifiers denoting the specific market or markets.
marketStatusType string Enumeration Controlled Vocabulary indicating the state of the market.
marketType string Enumeration Controlled Vocabulary denoting the basic form of the market (e.g. equity, commodity).
maturity container Container
maturityDate dateTime DateTime Date (and/or time) at which an instrument matures or expires.
maturityType string Enumeration Controlled Vocabulary denoting the special conditions on the type of maturity (e.g. extendible, fixed, perpetual)
mid container Container Container for information about the average of the "bid" and "ask" quotes.
maxVal decimal Price The maximum value a number may contain.
minVal decimal Price The minimum value a number may contain.
municipality string Simple The municipality of the location as identified by the "code" and/or "name".
multiplier decimal Simple General purpose coefficient applied to the parent's value.
name string Simple The textual proper name of an instrument and the role for which that name plays. This may be included in multiple languages.
nameRef uri Simple Used to reference a "name" from within a "code" so as not to duplicate text.
nav container Container Container for all data related to "nav" for a fund.
negativePledge string Simple Any negative pledge or constraints on a covenant.
notification container Container Time frame during which notification must be given.
numberHolders decimal Quantity An indication of the number of holders of an asset.
obligor string Simple A description of the obligor (debtor).
objective string Simple A description of the objective of the instrument.
objectiveType string Enumeration Controlled Vocabulary denoting the objective of the fund or benchmark.
offerType string Enumeration Controlled Vocabulary detailing the type of offer provided.
open decimal Price The value at the beginning of trading or opening of the market.
openType string Enumeration Controlled Vocabulary indicating the method used to determine the "open".
orders decimal Quantity A count of the number of orders from a particular "marketCenter".
overAllotment decimal Amount The amount (or percentage) for which an instrument can be over alloted (as in Greenshoe option).
partial boolean Simple Allocation or distribution is not the full amount possible.
partiesInvolved container Container The agents, organizations, or individuals involved in a deal or activity.
partyStatusType string Enumeration Controlled Vocabulary denoting the financial or legal status of a particular party.
payableInKind boolean Simple The debt or loan must be repayed using the same negotiable entity provided.
paymentDate dateTime DateTime Dates (and times) on which payment is expected (has happened). Multiple dates require a schedule.
paymentFrequency container Container The frequency of expected (actual) payment on the indicated instrument. Refer to the payment schedule if appropriate. A single payment at maturity is noted as the end date on the period.
paymentType string Enumeration Controlled Vocabulary detailing the type of payment to be made.
penultimateDate dateTime DateTime Date (and/or time) when next-to-last occurence (e.g. usually the last nominal coupon - the final coupon may be different).
peRatio decimal Rate Price/Earnings Ratio calculated by dividing the price of a stock by its earnings per share.
peRatioType string Enumeration Controlled Vocabulary indicating method used to calculate "peRatio".
periodType string Enumeration Controlled Vocabulary indicating how "period" relates to parent.
period container Container Denotes a range of time possibily with a fixed "start" or "end" time.
placeOfListing container Container The place of listing of an instrument. May be augmented by an indicatorsType of "official".
placeOfTrade container Container The place(s) of trading of an instrument as identified by the marketIdentifer(s) (of which their may be multiple).
postalCode string Enumeration The postal code of the location.
pricing container Container Container for pricing information of a debt instrument.
previousDateTime dateTime Simple Date (and/or time) of the previous value.
priceRef uri Simple A reference (internal) to the price used in the calculation.
principalRepayment decimal Price The principal repayment (redemption) amount - augmented by the type of repayments and when they must be made against the principal. Multiple repayments require a schedule.
principalProtection decimal Price Amount of principal protection provided at redemption.
programSpecific boolean Simple Indication that the information is specific to a particular program.
programType string Enumeration Controlled Vocabulary identifying the type of program.
purchasingMinimums string Simple Minimums necessary to invest in the asset.
putable boolean Simple Indicates that the instrument is subject to being redeemed at the demand of the holder.
putableType string Enumeration Controlled Vocabulary identifying the type of put applicable.
putConditionType string Enumeration Controlled Vocabulary listing the specific conditions on a put.
qualifiedPlans string Simple Textual description of the qualified plans of the fund.
quotationSize decimal Quantity The nominal number of units provided in a quote for this instrument.
rank decimal Simple Relative order of precedence. The value of "1" indicates the most significant or first rank.
rateFix decimal Rate Indication of parameters surrounding conversion from non-fixed-rate to fixed-rate.
rating container Container A quality or subjective indication of the value or stability of the rated entity.
recordingDate dateTime Simple Date (and/or time) when something is recorded.
recurring boolean Simple The item is recurring based on the frequency defined.
redemption container Container Container for parameters surrounding the redemption of the issue.
redemptionType string Enumeration Controlled Vocabulary detailing the specific category of redemption.
refrainFromActs string Simple Specific prohibited acts regulating a covenant.
region container Container The region of the location as identified by "code" and/or "name".
registrationStatusType string Enumeration Controlled Vocabulary detailing the current registration status of the issue.
regulationAct string Simple The act or law regulating the instrument.
regulatory container Container Container for elements related to regulation of the instrument.
relatedTo container Container The instrument with some relation or relevance to the current instrument (e.g. convertible to). NOT an underlying instrument.
relationshipType string Enumeration Controlled Vocabulary listing the type of relationship between two instruments (other than underyling).
relationshipValid container Container The period for which a relationship is valid.
replaces string Simple This valuation supercedes a previous valuation, with this sequence number, in another MDDL document.
restrictionsExist boolean Simple An indication that restrictions on investment or sale do exist although they may not be listed here.
revenues decimal Amount The gross proceeds from delivery or sale.
role string Enumeration Controlled Vocabulary identifying the formal role for which the referenced name is to be used.
rulesType string Enumeration Controlled Vocabulary indicating the type of rules that are applicable.
salesRestrictionsType string Enumeration Controlled Vocabulary identifying the restrictions on sales of this instrument.
schedule container Container A calendar when specific events will (or did) take place.
scheduleEvent container Container An event that takes place within a schedule - augmented by "scheduleEventType".
scheduleEventType string Enumeration Controlled Vocabulary listing the specific event that will happen (happened) at the scheduled time.
scopeType string Enumeration Controlled Vocabulary indicating scope of coverage of referenced item.
securityFormType string Enumeration Controlled Vocabulary identifying the physical (or otherwise) form of the security.
segmentIdentifier uri Container Identifiers denoting the subsection of a market (e.g. stratification, group, or subset). May include a reference to the index (or fund) to which this instrument belongs.
segmentType string Enumeration Controlled Vocabulary identifying the type of segment (subsegment) within a market to which an instrument belongs.
sequence string Simple An indication from the provider of the relative sequence of this valuation to a previous valuation in another MDDL document.
session decimal Simple The trading session of a particular market.
sessionStatusType string Enumeration Controlled Vocabulary indicating the current session status.
settlement decimal Price Final price as dictated by the governing rules of the regulating agency (or exchange).
settlementDate dateTime DateTime Date (and/or time) of (anticipated) settlement.
settlementType string Enumeration Controlled Vocabulary indicating the form of "settlement".
sharesOutstanding decimal Quantity Shares of a corporation which have been issued and are outstanding.
sharesOutstandingType string Enumeration Controlled Vocabulary defining the type of shares counted in "sharesOutstanding".
sinkComputationAmount decimal Price The value used in the sink computation.
sinkable boolean Simple Indicates that the fund is a sinking fund and all parameters surrounding a sinking fund.
sinkableType string Enumeration Controlled Vocabulary detailing the type of sinking fund.
sinkableComputationType string Enumeration Controlled Vocabulary detailing the type of sink computation used.
size decimal Quantity A count of the number of units in a bundle (for example, the number of shares in a trade).
snapType string Enumeration Controlled Vocabulary specifying any action or processing associated with this snap.
softCall decimal Price Parameters surrounding a soft call of the option.
source string Simple The source of the data provided. Note that the source of the MDDL instance document (in the header) may likely be a different organization that the source of a particular data element (like a broker).
specialRedemption string Simple A calendar of special redemption dates (and/or times) and events.
spread container Container Container for information about spread between the "bid" and "ask" quotes.
start dateTime Simple Used to denote the absolute dateTime of the start of a "period".
stateOrProvince container Container State or province of a location as identified by "code" and/or "name".
strikePrice decimal Price The strike price of an option.
strippable boolean Simple Indicates that the interest is separable from the principal.
stripType string Enumeration Controlled Vocabulary listing the type of strip that is applicable.
subscriptions container Container The minimum number of subscriptions over the indicated period to fulfill the issue.
support decimal Amount Magnitude of support provided by the indicated agent.
targetMarketType string Enumeration Controlled Vocabulary illustrating the type of consumer for which this issue is targeted.
taxation container Container Container for parameters surrounding taxation of the instrument.
taxExempt boolean Simple Instrument is tax exempt in the governing jurisdiction(s).
taxReasons boolean Simple There are tax reasons that affect the longevity of this instrument.
taxType string Enumeration Controlled Vocabulary identifying the type of tax applicable.
terms string Simple Textual description of the terms surrounding an instrument parameter.
tickDirection string Enumeration Controlled Vocabulary showing relative direction of last tick.
timeseriesType string Enumeration Controlled Vocabulary identifying the relationship of the events within a timeseries.
timezone string Enumeration Controlled Vocabulary specifying the primary time zone of relevant activity.
trade container Container Container for all data related to a "trade".
tradingRestrictionsType string Enumeration Controlled Vocabulary detailing prevailing trading restrictions in effect.
tradingStatusType string Enumeration Controlled Vocabulary indicating the current trading status.
tranche string Enumeration Controlled Vocabulary specifying type of portion applicable. Literally "slice".
transferAgent string Simple Transfer Agent for this transaction.
transferSize decimal Quantity Number of items to be transferred - there may be multiple choices identified by "rank".
turnover decimal Amount The total amount of capital exchanging hands.
underlying container Container Container for underlying components of an instrument.
underwriting container Container Container for the information applicable to underwriting of the issue.
underwritingFees decimal Amount Fees associated with underwriting the issue.
underwritingFeesType string Enumeration Controlled Vocabulary specifying the type of fees incurred for underwriting.
unitSize decimal Quantity The nominal quantity of financial instruments that must be purchased or exercised. Units defined by "unitType".
unitType string Enumeration Controlled Vocabulary indicating the unit of count (of the size).
useOfProceeds string Simple A textual description of the use of the proceeds from the issue.
valuationRef uri Simple The reference (internally) to the value used in the calculation of the current value.
valuationType string Enumeration Controlled Vocabulary indicating the type of valuation (e.g. relative, absolute).
valuationBase decimal Simple The actual value used as the basis (rather than a pointer to it).
volatility decimal Rate Characteristic of an instrument to rise or fall sharply in price within a short-term period. Also known as 'beta'.
volatilityCalculationType string Enumeration Controlled Vocabulary identifying the type of volatility calculation.
volatilityType string Enumeration Controlled Vocabulary indicating method used to calculate "volatility".
volume decimal Quantity Number of items traded in the period defined.
volumeType string Enumeration Controlled Vocabulary indicating how "volume" is calculated.
vwap decimal Price Volume Weighted Average Price determined by multiplying each trade by its volume then dividing by the volume for the day.
vwop decimal Price Volume Weighted Open Price determined by multiplying each trade by its volume then dividing by the volume over a certain period during the open.
weighting decimal Simple Used in calculation of a component of an index per the basic index formula. See "multiplier".
yield decimal Price Rate of return. Generally expressed as a percentage or a coefficient of percentage.
yieldType string Enumeration Controlled Vocabulary specifying the type of yield provided.