Trade Message Fields
The Trade message provides information about executions that occur off of the CFE book (such as ECRP/Block trades). Trade messages are necessary to calculate CFE execution data. Trade messages do not alter the book and can be ignored if messages are being used solely to build a book. The Order Id sent in a Trade message is obfuscated and will not tie back to any real Order Id sent back via a FIX or BOE order entry session.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x2A | Trade message (long). |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Order Id | 6 | 8 | Binary | Obfuscated Order ID or Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B=Buy Order regardless of resting side. |
| Quantity | 15 | 4 | Binary | Incremental number of contracts executed. |
| Symbol | 19 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Price | 25 | 8 | Binary Price | The execution price of the order. |
| Execution Id | 33 | 8 | Binary | CFE generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Trade Condition | 41 | 1 | Alphanumeric |
|
| Total Length = 42 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x2B | Trade message (short). |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Order Id | 6 | 8 | Binary | Obfuscated Order ID or Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B=Buy Order regardless of resting side. |
| Quantity | 15 | 2 | Binary | Incremental Number of contracts executed. |
| Symbol | 17 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Price | 23 | 2 | Binary Short Price | The execution price of the order. |
| Execution Id | 25 | 8 | Binary | CFE generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Trade Condition | 33 | 1 | Alphanumeric |
|
| Total Length = 34 bytes | ||||