Derivatives UDP Realtime Incremental Updates
Incremental update messages are sent on dual A/B multicast channels. Each message has a long (8-byte) monotonically increasing sequence number that is never reset. The stream of messages on the A/B channels are identical; however, the grouping of messages into packets may vary between A and B channels.
The packet header sequence number is the sequence number of the first message in the packet, or the next expected sequence number if the packet contains no messages (a heartbeat packet). Thus, the expected sequence number of the next packet is always the current packet sequence number plus the current packet message count.
note
Heartbeat packets are sent in the absence of new updates every 5 seconds. This is represented by a packet header with PktMessageCount=0.
All incremental messages are sent in a transaction. A transaction contains all incremental messages that are published as a result of a single inbound message or event in the trading system. Single-message transactions have both the start-of-transaction and end-of-transaction flags set.
info
All incremental messages require a message header and instrument header component.
Instrument Header
All incremental messages contain the following component as the first field after the message header. Side is null (-128) unless otherwise noted for particular messages.
| Instrument Header | Type | Length | Offset | Description |
|---|---|---|---|---|
| Flags | uint8 | 1 | 0 | Message header bitset: 0x01 - start of transaction 0x02 - end of transaction 0x04 - clear book (reserved for future use) |
| Side | int8 | 1 | 1 | 1 - Buy -1 - Sell 0 - opening fill -128 - null value (used in messages in which side is not applicable) |
| InstrumentId | int32 | 4 | 2 | Instrument identifier |
| InstrSeqNum | uint32 | 4 | 6 | Per-instrument sequence number. Reset each trading day. |
| TradingSessionDate | int16 | 2 | 10 | Days since Unix epoch |
| Padding2 | int16 | 2 | 12 | 2 bytes of padding (reserved for future use) |
| TransactTime | int64 | 8 | 14 | Event timestamp - nanoseconds since Unix epoch |
Outright Instrument Definition
| Outright Instrument Definition (10) | Type | Length | Offset | Description |
|---|---|---|---|---|
| Symbol | char24 | 24 | 32 | Instrument name or symbol |
| ProductCode | char8 | 8 | 56 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 64 | Instrument name |
| PriceIncrement | int64 | 8 | 96 | Minimum constant tick for instrument, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 104 | ISO standard instrument categorization code |
| Currency | char8 | 8 | 112 | Currency used for price |
| FirstTradingSessionDate | uint16 | 2 | 120 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 122 | Days since Unix epoch |
| OldContractSize | int32 | 4 | 124 | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document). |
| PriorSettlementPrice | int64 | 8 | 128 | Price encoded with 9 decimal places |
| SettlementPrice | int64 | 8 | 136 | Price encoded with 9 decimal places |
| LimitDownPrice | int64 | 8 | 144 | Minimum price at which an instrument can currently trade |
| LimitUpPrice | int64 | 8 | 152 | Maximum price at which an instrument can currently trade |
| ProductId | int32 | 4 | 160 | Product identifier |
| ProductGroup | uint8 | 1 | 164 | 0 - Currency 1 - Equity 2 - Energy 3 - Metals 4 - Interest Rate 5 - Agriculture 6 - Crypto |
| TradingStatus | uint8 | 1 | 165 | Trading session status 0 - Pre-open 1 - Open 2 - Halt 3 - Pause 4 - Close 5 - Pre-open (No Cancel) 6 - Expired 7 - Forbidden |
| InstrumentDefinitionFlags | uint16 | 2 | 166 | Bitset 0x01 - isPriorSettlementTheoretical 0x02 - isAnnounced 0x04 - isCall (applicable for options) 0x08 - isStrikeDelisted |
| ContractSize | int64 | 8 | 168 | Contract size encoded with 8 decimal places (added in version 1.5 of this UDP Market Data API specification document) |
Spread Instrument Definition
| Spread Instrument Definition (11) | Type | Length | Offset | Description |
|---|---|---|---|---|
| Symbol | char24 | 24 | 32 | Instrument name or symbol |
| ProductCode | char8 | 8 | 56 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 64 | Instrument name |
| PriceIncrement | int64 | 8 | 96 | Minimum constant tick for instrument, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 104 | ISO standard instrument categorization code |
| Currency | char8 | 8 | 112 | Currency used for price |
| FirstTradingSessionDate | uint16 | 2 | 120 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 122 | Days since Unix epoch |
| OldContractSize | int32 | 4 | 124 | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document) |
| PriorSettlementPrice | int64 | 8 | 128 | Price encoded with 9 decimal places |
| SettlementPrice | int64 | 8 | 136 | Price encoded with 9 decimal places |
| LimitDownPrice | int64 | 8 | 144 | Minimum price at which an instrument can currently trade |
| LimitUpPrice | int64 | 8 | 152 | Maximum price at which an instrument can currently trade |
| ProductId | int32 | 4 | 160 | Product identifier |
| ProductGroup | uint8 | 1 | 164 | 0 - Currency 1 - Equity 2 - Energy 3 - Metals 4 - Interest Rate 5 - Agriculture 6 - Crypto |
| TradingStatus | uint8 | 1 | 165 | Trading session status 0 - Pre-open 1 - Open 2 - Halt 3 - Pause 4 - Close 5 - Pre-open (No Cancel) 6 - Expired 7 - Forbidden |
| Leg1InstrumentId | int32 | 4 | 166 | Instrument identifier for near leg |
| Leg2InstrumentId | int32 | 4 | 170 | Instrument identifier for far leg |
| SpreadBuyConvention | int8 | 1 | 174 | 1 - Use far leg as bid -1 - Use near leg as bid |
| InstrumentDefinitionFlags | uint16 | 2 | 175 | Bitset 0x01 - isPriorSettlementTheoretical 0x02 - isAnnounced 0x04 - isCall (applicable for options) 0x08 - isStrikeDelisted |
Option Instrument Definition
| Option Instrument Definition (12) | Type | Length | Offset | Description |
|---|---|---|---|---|
| Symbol | char24 | 24 | 32 | Instrument name or symbol |
| ProductCode | char8 | 8 | 56 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 64 | Instrument name |
| SmallTick | int64 | 8 | 96 | Small tick size, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 104 | ISO standard instrument categorization code |
| LargeTick | int64 | 8 | 112 | Large tick size, encoded with 9 decimal places |
| LargeTickThreshold | int64 | 8 | 120 | Large tick size applies if price is >= this threshold price, encoded with 9 decimal places |
| StrikePrice | int64 | 8 | 128 | Strike price, encoded with 9 decimal places |
| FirstTradingSessionDate | uint16 | 2 | 136 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 138 | Days since Unix epoch |
| PriorSettlementPrice | int64 | 8 | 140 | Price encoded with 9 decimal places |
| SettlementPrice | int64 | 8 | 148 | Price encoded with 9 decimal places |
| ProductId | int32 | 4 | 156 | Product identifier |
| UnderlyingInstrumentId | int32 | 4 | 160 | Instrument id of the underlying outright contract |
| ProductGroup | uint8 | 1 | 164 | 0 - Currency 1 - Equity 2 - Energy 3 - Metals 4 - Interest Rate 5 - Agriculture 6 - Crypto |
| TradingStatus | uint8 | 1 | 165 | Trading session status 0 - Pre-open 1 - Open 2 - Halt 3 - Pause 4 - Close 5 - Pre-open (No Cancel) 6 - Expired 7 - Forbidden |
| InstrumentDefinitionFlags | uint16 | 2 | 166 | Bitset 0x01 - isPriorSettlementTheoretical 0x02 - isAnnounced 0x04 - isCall (applicable for options) 0x08 - isStrikeDelisted |
Trading Status Update
| Trading Status Update (17) | Type | Length | Offset | Description |
|---|---|---|---|---|
| LimitDownPrice | int64 | 8 | 32 | Minimum price at which an instrument can currently trade |
| LimitUpPrice | int64 | 8 | 40 | Masimum price at which an instrument can currently trade |
| TradingStatus | uint8 | 1 | 48 | Trading session status: 0 - Pre-open 1 - Open 2 - Halt 3 - Pause 4 - Close 5 - Pre-open (No Cancel) 6 - Expired 7 - Forbidden |
Order Put
Sent when a resting order is added or updated.
info
The Side of order is defined in the instrument header (1 or -1).
| Order Put (20) | Type | Length | Offset | Description |
|---|---|---|---|---|
| OrderId | int64 | 8 | 32 | Unique order ID. Unique across entire channel and across time, but not necessarily across different channels. Never reused for an unrelated order. |
| Price | int64 | 8 | 40 | Price encoded with 9 decimal places |
| Quantity | int32 | 4 | 48 | Quantity encoded with 0 decimal places |
Order Delete
Side of deleted order is defined in instrument header (1 or -1).
| Order Delete (21) | Type | Length | Offset | Description |
|---|---|---|---|---|
| OrderId | int64 | 8 | 32 | Unique identifier for order |
Implied Order Update
Side is defined in instrument header (1 or -1).
| Implied Order Update (22) | Type | Length | Offset | Description |
|---|---|---|---|---|
| BestPrice | int64 | 8 | 32 | First level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| NextPrice | int64 | 8 | 40 | Second level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| BestQty | int32 | 4 | 48 | First level implied quantity encoded with 0 decimal places |
| NextQty | int32 | 4 | 52 | Second level implied quantity encoded with 0 decimal places |
Trade Summary
Summarizes all fills of an aggressor order. Sent before individual trade messages, as well as order put/delete and market stat messages.
info
Aggressor Side is defined in instrument header.
| Trade Summary (33) | Type | Length | Offset | Description |
|---|---|---|---|---|
| AggressorOrderId | int64 | 8 | 32 | Order identifier of aggressing order |
| AggressorReceiveTime | int64 | 8 | 40 | Nanoseconds since Unix epoch when we received aggressor new/replace order message on gateway |
| VwapPrice | int64 | 8 | 48 | Volume weighted average price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| DeepestPrice | int64 | 8 | 56 | Price of deepest/last resting order that an aggressing order matched |
| Quantity | int32 | 4 | 64 | Quantity encoded with 0 decimal places |
Trade
Trade message does not implicitly delete or update matched resting order; a separate OrderPut or OrderDelete is sent (in the same transaction).
info
Aggressor Side is defined in instrument header.
| Trade (30) | Type | Length | Offset | Description |
|---|---|---|---|---|
| MatchId | int64 | 8 | 32 | Transaction id representing match, shared by all trades within match |
| BuyOrderId | int64 | 8 | 40 | Unique identifier for trade buy order. In case of implied order, encoded as 0x8000000000000000 |
| SellOrderId | int64 | 8 | 48 | Unique identifier for trade sell order. In case of implied order, encoded as 0x8000000000000000 |
| Price | int64 | 8 | 56 | Price encoded with 9 decimal places |
| Quantity | int32 | 4 | 64 | Quantity encoded with 0 decimal places |
Trade Amend
| Trade Amend (31) | Type | Length | Offset | Description |
|---|---|---|---|---|
| MatchId | int64 | 8 | 32 | Transaction id representing match, shared by all trades within match |
| BuyOrderId | int64 | 8 | 40 | Unique identifier for trade buy order. In case of implied order, encoded as 0x8000000000000000 |
| SellOrderId | int64 | 8 | 48 | Unique identifier for trade sell order. In case of implied order, encoded as 0x8000000000000000 |
| OldPrice | int64 | 8 | 56 | Price encoded with 9 decimal places |
| NewPrice | int64 | 8 | 64 | Price encoded with 9 decimal places |
Trade Bust
| Trade Bust (32) | Type | Length | Offset | Description |
|---|---|---|---|---|
| MatchId | int64 | 8 | 32 | Transaction id representing match, shared by all trades within match |
| BuyOrderId | int64 | 8 | 40 | Unique identifier for trade buy order. In case of implied order, encoded as 0x8000000000000000 |
| SellOrderId | int64 | 8 | 48 | Unique identifier for trade sell order. In case of implied order, encoded as 0x8000000000000000 |
Spread Trade Amend
| Spread Trade Amend (34) | Type | Length | Offset | Description |
|---|---|---|---|---|
| MatchId | int64 | 8 | 32 | Transaction id representing match, shared by all trades within match |
| BuyOrderId | int64 | 8 | 40 | Unique identifier for trade buy order. In case of implied order, encoded as 0x8000000000000000 |
| SellOrderId | int64 | 8 | 48 | Unique identifier for trade sell order. In case of implied order, encoded as 0x8000000000000000 |
| OldPrice | int64 | 8 | 56 | Price encoded with 9 decimal places |
| NewPrice | int64 | 8 | 64 | Price encoded with 9 decimal places |
| OldLeg1Price | int64 | 8 | 72 | Spread leg price encoded with 9 decimal places |
| NewLeg1Price | int64 | 8 | 80 | Spread leg price encoded with 9 decimal places |
| OldLeg2Price | int64 | 8 | 88 | Spread leg price encoded with 9 decimal places |
| NewLeg2Price | int64 | 8 | 96 | Spread leg price encoded with 9 decimal places |
Market Stat
| Market Stat (40) | Type | Length | Offset | Description |
|---|---|---|---|---|
| Price | int64 | 8 | 32 | Price encoded with 9 decimal places |
| StatType | char | 1 | 40 | 4 - Day Opening Price 5 - Closing Price 6 - Settlement Price 7 - Trading Session High Price 8 - Trading Session Low Price F - Reference Price I - Initial Opening Price |
Trade Session Volume
| Trade Session Volume (41) | Type | Length | Offset | Description |
|---|---|---|---|---|
| VwapPrice | int64 | 8 | 32 | Volume weighted average price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| TradeVolume | int32 | 4 | 40 | Total day traded volume for instrument as of the last trade in message |
Open Interest
| Open Interest (42) | Type | Length | Offset | Description |
|---|---|---|---|---|
| Quantity | int32 | 4 | 32 | Quantity encoded with 0 decimal places |