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Futures Instrument Definition Message Fields

The Futures Instrument Definition message can be sent as a sequenced message or an un-sequenced message. It is sent as a sequenced message when the system starts up at the beginning of a trading session or an the instrument is created or modified during a trading day. A new sequenced message may be sent for a Symbol that does not visibly change any attribute. One un-sequenced Futures Instrument Definition message for each Symbol is also sent in a continuous loop, which completes approximately once every minute as part of the Periodic Refresh mechanism.

If the instrument is a spread (Leg Count > 0) then the message contains one or more repeating groups of leg definitions beginning at the field indicated by Leg Offset. There is a limit of 4 leg definitions.

The Leg Offset field is provided to support adding additional fields to this message preceding the Leg definitions.

The Report Symbol field will contain either the weekly (e.g. VX01) or the monthly (e.g. VX) symbol for any simple futures contract. The Report Symbol will always contain the standard futures root symbol (e.g. VX) for all spread instruments.

Table 1. Futures Instrument Definition Message Fields
Field NameOffsetLengthType/(Value)Description
Length01BinaryLength of this message including this field.
Message Type110xBB Futures Instrument Definition message.
Time Offset24BinaryNanosecond offset from last unit timestamp or Unit Timestamp in this message if it is non-zero.
Symbol66Printable ASCIISix character, base 62 symbol.
Unit Timestamp124BinaryUnit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC).
Report Symbol166AlphanumericSymbol for product or underlying security.
Futures Flags221Bit FieldValue will always be zero indicating Standard Future.
Expiration Date234Binary DateExpiration Date of Instrument.
Contract Size272BinaryContract size of Instrument. Contract sizes less than 1 are represented with a 0 value; refer to the product specification for the contract size.
Listing State291Alphanumeric
  • A = Active
  • I = Inactive
  • T = Test
Price Increment308Binary PriceMinimum Price Increment.
Leg Count381BinaryValues greater than 0 indicate this is a spread instrument.
Leg Offset391Binary
  • Leg definitions, if any, begin at this offset from the beginning of the message. Possible values are 0 (no legs present) or 45 (spread instrument).
  • Cboe reserves the right to change these values without prior notice.
Reserved401BinaryReserved. Value will always be zero.
Contract Date414Binary Date
  • Populated for single leg instruments only. Zero-filled for spread instruments.
  • The date that should be used in describing the future's third party symbol and the measurement period of the contract.
  • Set to same value as Expiration Date for futures that have a Contract Date that does not differ from expire date.
The following fields repeat Leg Count times (maximum of 4) for spread instruments.
Leg Ratio
  • Leg Offset +
  • (10 * Leg Index)
4Signed BinaryLeg ratio (positive for buy, negative for sell).
Leg SymbolLeg Offset + 4 + (10 * Leg Index)6AlphanumericSymbol of leg.
Variable Total Length = 45 + (Leg Count * 10) bytes
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