Futures Variance Symbol Mapping Message Fields
The Futures Variance Symbol Mapping message is used to disseminate symbol reference data for S&P 500 Variance Futures (VA Futures) symbols. VA Futures symbol reference data are disseminated with both the Futures Instrument Definition and Futures Variance Symbol Mapping messages. The purpose of the Futures Variance Symbol message is to disseminate product-specific supplemental information for VA Futures symbols (i.e., Accrued Day Variance, Num Final Returns, and Num Elapsed Returns).
The Futures Variance Symbol Mapping 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 if an 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 Variance Symbol Mapping message for each symbol is also sent in a continuous loop, which completes approximately once every minute as part of the Periodic Refresh mechanism.
Futures Variance Symbol Mapping messages are included in a spin response.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xFA | Futures Variance Symbol Mapping message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp or Unit Timestamp in this message if it is non-zero. |
| Unit Timestamp | 6 | 4 | Binary | Unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC). |
| Feed Symbol | 10 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Futures Symbol | 16 | 12 | Alphanumeric | Twelve character textual definition of the symbol where the first six characters contain the product symbol, left justified, and padded on the right with spaces, and the right most six characters are the expiration date in YYMMDD format. |
| Accrued Day Variance | 28 | 8 | Signed Binary | Accrued day variance as of the start of the trading day (signed 64-bit decimal with twelve implied decimal places). |
| Num Final Returns | 36 | 2 | Binary | Number of S&P 500 Index returns used in the Final Settlement Value calculation. |
| Num Elapsed Returns | 38 | 2 | Binary | Number of elapsed S&P 500 Index returns including the current day. |
| Total Length = 40 bytes | ||||