Derivatives UDP Message Structure
CDE multicast UDP market data messages are encoded with Simple Binary Encoding (SBE) format with little-endian byte ordering. A UDP packet can contain zero or more messages, up to a maximum length of 1400 bytes.
Packet Header
All packets across all channels start with a packet header followed by zero or messages, up to a maximum length of 1400 bytes. The packet header has the following structure:
| Packet Header | Type | Length | Offset | Description |
|---|---|---|---|---|
| SendingTime | int64 | 8 | 0 | Nanoseconds since epoch |
| SeqNum | int64 | 8 | 8 | Sequence number. Differs based on context:
|
| ChannelId | uint16 | 2 | 16 | Channel ID for a ProductCode/Instrument set. |
| PktFlags | uint8 | 1 | 18 | Bitset: 0x01: incremental update 0x02: snapshot 0x04: retransmit |
| PktMessageCount | uint8 | 1 | 19 | Count of messages within packet |
| SnapshotInstrumentId | int32 | 4 | 20 | Instrument ID of messages in snapshot packet (not used for incrementals) |
Message Header
Each message in a packet starts with a message header. Existing fields are never removed or modified, but new fields and messages may be added.
info
Message versioning follows standard SBE versioning practices. New versions are backwards compatible with older clients.
| Message Header | Type | Length | Offset | Description |
|---|---|---|---|---|
| FrameLength | uint16 | 2 | 0 | Total message size in bytes including this header. Also includes repeating groups and var length data. Indicates empty space at end of message data for byte alignment. |
| BlockLength | uint16 | 2 | 2 | Total length of message body in bytes excluding this header and any repeating groups or variable length field. |
| TemplateId | uint16 | 2 | 4 | Message template identifier, specified for each message type in spec within parenthesis (##). |
| SchemaId | uint16 | 2 | 6 | ID of message schema containing the template. Constant: SchemaId=1201 |
| Version | uint16 | 2 | 8 | Version of message schema |