Derivatives UDP Periodic Snapshots
Per-instrument, snapshots are sent continuously on the dual A/B snapshot channels. The frequency of repeated snapshots is intentionally not specified, but the maximum delay between snapshots (for different instruments) is 5 seconds.
A single (instrument) snapshot consists of 2 or more messages, starting with instrument-type-specific start message, which includes the instrument definition, followed by an order snapshot message for each active order of the instrument, followed by an EndOfSnapshot message. The snapshot messages may be split across multiple packets if the full snapshot does not fit in a single packet. All packets of the snapshot share the same packet sequence number, which corresponds to the most recent incremental feed sequence number included in the snapshot.
All snapshot messages have SnapshotSeqNum as their first field. This sequence number always starts at 0 for the first message of a snapshot and does not wrap around. A single instrument does not have more than 65534 active orders.
The end of cycle message represents the end of a cycle where all active instruments in our system have sent their respective snapshots. The message has a count of the number of instruments sent since the previous cycle so that end users can verify they have all required snapshots and check against packet loss.
info
Snapshot messages include a message header, but not an instrument header.
Start of Outright Instrument Snapshot
| Start Of Outright Instrument Snapshot (110) | Type | Length | Offset | Description |
|---|---|---|---|---|
| SnapshotSeqNum | uint16 | 2 | 10 | Sequence number of message within snapshot |
| LastInstrSeqNum | uint32 | 4 | 12 | Snapshot incorporates all incremental messages with instrSeqNum up and including this value |
| Symbol | char24 | 24 | 16 | Instrument name or symbol |
| ProductCode | char8 | 8 | 40 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 48 | Instrument name |
| PriceIncrement | int64 | 8 | 80 | Minimum constant tick for instrument, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 88 | ISO standard instrument categorization code |
| Currency | char8 | 8 | 96 | Currency used for price |
| ProductId | int32 | 4 | 104 | Product identifier |
| OldContractSize | int32 | 4 | 108 | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document) |
| OrderCount | int32 | 4 | 112 | Number of orders in snapshot |
| FirstTradingSessionDate | uint16 | 2 | 116 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 118 | Days since Unix epoch |
| TradingSessionDate | int16 | 2 | 120 | Days since Unix epoch |
| ProductGroup | uint8 | 1 | 122 | 0 - Currency 1 - Equity 2 - Energy <br />3 - Metals 4 - Interest Rate <br />5 - Agriculture `6 - Crypto |
| TradingStatus | uint8 | 1 | 123 | Trading session status 0 - Pre-open 1 - Open 2 - Halt 3 - Pause 4 - Close 5 - Pre-open (No Cancel) 6 - Expired 7 - Forbidden |
| ContractSize | int64 | 8 | 124 | Contract size encoded with 8 decimal places (added in version 1.5 of this UDP Market Data API specification document) |
Start of Spread Instrument Snapshot
| Start Of Spread Instrument Snapshot (111) | Type | Length | Offset | Description |
|---|---|---|---|---|
| SnapshotSeqNum | uint16 | 2 | 10 | Sequence number of message within snapshot |
| LastInstrSeqNum | uint32 | 4 | 12 | Snapshot incorporates all incremental messages with instrSeqNum up and including this value |
| Symbol | char24 | 24 | 16 | Instrument name or symbol |
| ProductCode | char8 | 8 | 40 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 48 | Instrument name |
| PriceIncrement | int64 | 8 | 80 | Minimum constant tick for instrument, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 88 | ISO standard instrument categorization code |
| Currency | char8 | 8 | 96 | Currency used for price |
| ProductId | int32 | 4 | 104 | Product identifier |
| OldContractSize | int32 | 4 | 108 | Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document) |
| OrderCount | int32 | 4 | 112 | Number of orders in snapshot |
| FirstTradingSessionDate | uint16 | 2 | 116 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 118 | Days since Unix epoch |
| TradingSessionDate | int16 | 2 | 120 | Days since Unix epoch |
| ProductGroup | uint8 | 1 | 122 | 0 - Currency 1 - Equity 2 - Energy 3 - Metals 4 - Interest Rate 5 - Agriculture 6 - Crypto |
| TradingStatus | uint8 | 1 | 123 | 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 | 124 | Instrument identifier for near leg |
| Leg2InstrumentId | int32 | 4 | 128 | Instrument identifier for far leg |
| SpreadBuyConvention | int8 | 1 | 132 | 1 - Use far leg as bid -1 - Use near leg as bid |
Start of Option Instrument Snapshot
| Start Of Option Instrument Snapshot (112) | Type | Length | Offset | Description |
|---|---|---|---|---|
| SnapshotSeqNum | uint16 | 2 | 10 | Sequence number of message within snapshot |
| LastInstrSeqNum | uint32 | 4 | 12 | Snapshot incorporates all incremental messages with instrSeqNum up and including this value |
| Symbol | char24 | 24 | 16 | Instrument name or symbol |
| ProductCode | char8 | 8 | 40 | Code of underlying product/asset. Example: TEC (Nano SuperTech Fut) |
| Description | char32 | 32 | 48 | Instrument name |
| SmallTick | int64 | 8 | 80 | Small tick size, encoded with 9 decimal places |
| CfiCode | char8 | 8 | 88 | ISO standard instrument categorization code |
| LargeTick | int64 | 8 | 96 | Large tick size, encoded with 9 decimal places |
| LargeTickThreshold | int64 | 8 | 104 | Large tick size applies if price is >= this threshold price, encoded with 9 decimal places |
| StrikePrice | int64 | 8 | 112 | Strike price, encoded with 9 decimal places |
| ProductId | int32 | 4 | 120 | Product identifier |
| UnderlyingInstrumentId | int32 | 4 | 124 | Instrument id of the underlying outright contract |
| OrderCount | int32 | 4 | 128 | Number of orders in snapshot |
| FirstTradingSessionDate | uint16 | 2 | 132 | Days since Unix epoch |
| LastTradingSessionDate | uint16 | 2 | 134 | Days since Unix epoch |
| TradingSessionDate | int16 | 2 | 136 | Days since Unix epoch |
| ProductGroup | uint8 | 1 | 138 | 0 - Currency 1 - Equity 2 - Energy <br />3 - Metals 4 - Interest Rate <br />5 - Agriculture `6 - Crypto |
| TradingStatus | uint8 | 1 | 139 | 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 | 140 | Bitset: 0x01 - isPriorSettlementTheoretical 0x02 - isAnnounced 0x04 - isCall (applicable for options) 0x08 - isStrikeDelisted |
Order Snapshot
| Order Snapshot (120) | Type | Length | Offset | Description |
|---|---|---|---|---|
| SnapshotSeqNum | uint16 | 2 | 10 | Sequence number of message within snapshot |
| SignedQuantity | int32 | 4 | 12 | Signed quantity with 0 decimal places. Positive value = buy; negative value = sell |
| TransactTime | int64 | 8 | 16 | Event timestamp - nanoseconds since Unix epoch |
| OrderId | int64 | 8 | 24 | Unique identifier for order |
| Price | int64 | 8 | 32 | Price encoded with 9 decimal places |
End of Snapshot
| End Of Snapshot (122) | Type | Length | Offset | Description |
|---|---|---|---|---|
| SnapshotSeqNum | uint16 | 2 | 10 | Sequence number of message within snapshot |
| TradeVolume | int32 | 4 | 12 | Total day traded volume for instrument as of the last trade in message |
| IndicativeOpenPrice | int64 | 8 | 16 | Price encoded with 9 decimal places |
| DayOpenPrice | int64 | 8 | 24 | Price encoded with 9 decimal places |
| ClosePrice | int64 | 8 | 32 | Price encoded with 9 decimal places |
| LowPrice | int64 | 8 | 40 | Price encoded with 9 decimal places |
| HighPrice | int64 | 8 | 48 | Price encoded with 9 decimal places |
| VwapPrice | int64 | 8 | 56 | Volume weighted average price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| SettlementPrice | int64 | 8 | 64 | Price encoded with 9 decimal places |
| LastTradePrice | int64 | 8 | 72 | Price encoded with 9 decimal places |
| LastTradeTime | int64 | 8 | 80 | Nanoseconds since Unix epoch |
| BestBidImpliedPrice | int64 | 8 | 88 | First level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| BestAskImpliedPrice | int64 | 8 | 96 | First level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| NextBidImpliedPrice | int64 | 8 | 104 | Second level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| NextAskImpliedPrice | int64 | 8 | 112 | Second level implied price encoded with 9 decimal places. Null price encoded as 0x8000000000000000 |
| LimitDownPrice | int64 | 8 | 120 | Minimum price that an instrument may currently trade at |
| LimitUpPrice | int64 | 8 | 128 | Maximum price that an instrument may currently trade at |
| LastTradeQty | int32 | 4 | 136 | Quantity encoded with 0 decimal places |
| OpenInterest | int32 | 4 | 140 | The total open interest for the market at the close of the prior trading session |
| BestBidImpliedQty | int32 | 4 | 144 | First level implied quantity encoded with 0 decimal places |
| BestAskImpliedQty | int32 | 4 | 148 | First level implied quantity encoded with 0 decimal places |
| NextBidImpliedQty | int32 | 4 | 152 | Second level implied quantity encoded with 0 decimal places |
| NextAskImpliedQty | int32 | 4 | 156 | Second level implied quantity encoded with 0 decimal places |
| PriorSettlementPrice | int64 | 8 | 160 | Price encoded with 9 decimal places |
| InstrumentDefinitionFlags | uint16 | 2 | 168 | "Bitset: 0x01- isPriorSettlementTheoretical 0x02 - isAnnounced 0x04 - isCall (applicable for options) 0x08 - isStrikeDelisted" |
End of Cycle
| End Of Cycle (124) | Type | Length | Offset | Description |
|---|---|---|---|---|
| ActiveInstrumentCount | int32 | 4 | 10 | Total number of instruments sent in snapshot cycle |