Settlement Message Fields
Settlement messages are used to provide information concerning indicative, approved, or corrected daily and final settlement prices for CFE products. An indicative daily settlement price (Issue=I) is calculated by the system and sent immediately after an instrument closes trading but before the settlement price is approved. An approved settlement price (Issue=S) is sent once the CFE Trade Desk approves a settlement price for an instrument. If there is an error in the approved settlement price, then it may be re-issued (Issue=R). For VX and VXM futures products, the system will begin disseminating an intermediate indicative price update (Issue=i) at 2:59:05 p.m. CT (following the first interval of the VWAP calculation) that will be sent every five seconds, leading up to the receipt of the indicative daily settlement price (Issue=I).
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB9 | Settlement message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Symbol | 6 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Trade Date | 12 | 4 | Binary Date | Trade Date for the settlement. |
| Settlement Price | 16 | 8 | Binary Price | Settlement Price. |
| Issue | 24 | 1 | Alphanumeric |
|
| Total Length = 25 bytes | ||||