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Revision History

Document VersionDateDescription
1.0.005/01/17Initial version.
1.0.106/28/17
  • Updated description for Report Symbol, Leg Offset and Variance Block Offset fields in Futures Instrument Definition message.
  • Updated descriptions of Variance Futures fields in Futures Instrument Definition message.
  • Updated list of messages included in spin responses.
  • Added Price Limits message.
  • Corrected inconsistencies of field and messages lengths for Trade Long and Trade Short messages.
1.0.207/11/17Added Rendevous Points, Source IP addresses, and Multicast IP addresses.
1.0.308/08/17
  • Replaced Binary Long Price with Binary Price.
  • Updated Data Types to include definition of Binary Price.
1.0.409/21/17
  • Renamed Trade Date message to Time Reference.
  • Added Epoch Time field to Time message.
  • Fixed discrepancies between Spec and Example Messages.
1.0.509/26/17
  • Fixed discrepancies between available PITCH message types and those listed in section 5.3.
  • Corrected feed label references in section 7.
1.0.610/17/17
  • Added clarification on Trading Status messages for Complex Instruments going in and out of Queuing because of Threshold Width
  • Cboe branding/logo changes.
1.0.710/18/17Fixed discrepancy with the Secondary Data Center listed as CH4 instead of 400 S La Salle.
1.0.811/24/17
  • Removed LegOffset = 93 value as this value is not possible to be sent.
  • Added missing Price fields in example messages
  • Added clarification to handling of Order Executed at Price/Size message
  • Futures Instrument Definition messages are sent for all live symbols on a spin.
1.0.912/08/17Price limits may apply during any trading hours subject to contract specifications.
1.0.1012/29/17
  • Trading Status messages for Complex instruments transitioning in and out of Queuing on account of Threshold Width no longer surpressed. Removed associated commentary from Trading Status message section.
  • Added "I=Inactive" as possible Listing State.
  • Updated Realized Variance, Discount Factor, Previous ARMVM, and Fed Funds Rate to Signed Binary data type.
  • Corrected the offsets for Leg Ratio and Leg Symbol.
  • Added Canned Test Data section.
1.0.1101/17/18
  • Block and ECRP trades (Trade Condition = B or E) do not update High Price or Low Price.
  • Corrected length of Transaction End from 48 to 6 bytes.
1.0.1201/25/18
  • Updated field description of Symbol to remove "padding" language. The Symbol field is always six characters, base 62.
Price Limits are included in a spin.
  • Added Feed Hours and System Restart section.
  • Clarified cases where the Unit Clear message would be sent.
  • More specifics added to how End of Day Summary values are determined.
  • If no Trading Status has been received for a Symbol, then the Trading Status is "S= Suspended".
1.0.1302/01/18Added links to certification and production symbol mapping files.
1.0.1402/21/18
  • Fixed remaining discrepancy with the Secondary Data Center listed as CH4 instead of 400 S La Salle.
  • Updated Trade Condition field values to demonstrate that some values are only sent for simple instruments.
  • Described how trade corrections are modeled in the feed.
  • Additional clarifications added around daily restart based on customer feedback.
1.0.1502/27/18Fixed formatting of the Settlement message example.
1.1.003/01/18
  • Removed Executed at Price/Size message. This message is not used for CFE.
  • Updated description of High Price and Low Price in End of Day Summary message.
1.1.103/22/18The End of Day Summary message will be enhanced and expanded to 65 bytes.
  • Total Volume will be updated to include Block and ECRP volume.
  • Block Volume field will be added.
  • ECRP Volume field will be added.
  • Bit Fields field will be added.
End of Day Summary example was updated.
1.1.203/23/18Updated effective date of End of Day Summary message change from 1.1.1 to be effective 06/03/18.
1.1.305/10/18Clarified the cases when sequenced Futures Instrument Definition messages are sent.
1.1.407/16/18Removed ModifyBitField1 from Modify Order - Short example in section 6.18; not applicable to futures.
1.1.511/08/18
  • Updated Overview and and Multicast Routing Parameter sections with new Multicast Feed IDs (A to FC, B to FD, E to FE). Added note clarifying simple leg FID messages come before complex leg FID messages sent in Spin responses.
  • Updated multicast feed ids in section 1.3 to follow standard naming convention.
1.1.604/08/19Updated Multicast Routing Parameter Data Center feed names to align with references in unit distribution table.
1.1.701/16/20Clarified definition of Time message. Time messages are only sent when there is a new PITCH message in a given second.
1.1.802/14/20Added Contract Date field to Futures Instrument Definition message. Effective trade date 04/27/20.
1.1.902/24/20Variance Offset and Leg Offset values will be set at 45 as a result of the change to add Contract Date. Refer to Futures Instrument Definition message for more details.
1.1.1004/07/20
  • New Canned Data sample provided dated 04/02/20.
  • Corrected feed symbols from 'FA and FB' to 'FC and FD' in Feed Connectivity Requirements section.
1.1.1107/27/20Updated symbols listed in Unit/Product Distribution tables to include VXT, VXM, and VXMT.
1.1.1201/21/21Added new value of I=Indicative Settlement to the Issue field on the Settlement message (effective 03/22/21).
1.2.008/17/21
  • Added new value of i=Periodic Indicative Settlement to the Issue field on the Settlement message (effective 10/17/21).
  • Added new Open Interest message (effective 10/17/21).
1.2.110/26/21Added note indicating CFE will eliminate the 15 minute trading pause for VX, VXM, and AMERIBOR futures products (effective 12/06/21).
1.2.211/01/21Corrected hyperlinks to Production symbol files and Certification symbol files.
1.2.301/03/22Updated Delete Order message description.
1.2.410/09/23
  • Added new value of ‘D=Derived’ to Trade Condition field in the Trade message and updated section 2.19 to indicate derived trades will be included in the Total Volume field (effective 12/11/23).
  • Removed values ‘B=Block trade’ and ‘E=ECRP trade’ from Trade Condition field in the Order Executed message.
  • Removed ‘E=ECRP trade’ value from Trade Condition field in the Trade (short) message.
1.2.511/28/23Updated hyperlinks to symbol mappings in production and certification environments.
1.2.606/28/24Updated section 1.7 to include Future Variance Symbol Mapping, added message type Future Variance Symbol Mapping, added new message structure for Futures Instrument Definition (replacing the current message structure), updated Variance Block to Reserved in example messages in section 6.26, 6.27 and 6.28, and added Future Variance Symbol Mapping example message (effective 09/23/24).
1.2.707/15/24Noted the Futures Instrument Definition message contains general futures contract information and is sent for all futures products, including Variance Futures (effective 09/23/24).
1.2.808/09/24The Futures Variance Symbol Mapping message may be sent as a sequenced message intraday if a symbol is modified intraday. Clarified the reason for setting the Futures Flags field of the Futures Instrument Definition message to zero.
1.2.909/05/24With the implementation of the new 60 second window for VWAP, the system will begin disseminating an intermediate indicative price update (Issue = i) at 2:59:05 p.m. CT for VX and VXM futures products (effective 09/09/24).
1.2.1011/04/24Removed the deprecated Futures Instrument Definition message with sunset date 09/23/24. Removed the "effective 09/23/24" annotation on the updated Futures Instrument Definition message and the new Futures Variance Symbol Mapping message.
  • Added two new Matching Units, plus new port and IP information for Matching Units 2-4 (effective 02/03/25).
1.2.1101/15/25Updated Feed Hours and System Restart to indicate the PITCH feed will start up on Sunday at approximately 10:30 a.m. CT.

Updated with Cboe Titanium branding.

1.2.1201/27/25
1.2.1304/07/25
  • Noted in Spin Servers: a Time message will be sent as the last message in a Spin if the last Time message sent on a Spin is older than the last received time from the internal market data producers.
  • Added XBTF to Unit 2 CFE Unit/Product Distribution (effective 04/28/25).
1.2.1409/09/25Added PBT and PET to Unit 3 CFE Unit/Product Distribution (effective 12/15/25 TBD 11/10/25).
1.2.1510/20/25Updated CFE Unit/Product Distribution to include MGTN on Unit 2 (effective 12/08/25) (effective 11/17/25).
1.2.1610/30/25
  • Updated Spin Servers to include End of Day Summary in list of spin request messages.
  • Updated PBT and PET effective date to 12/15/25 TBD.
1.2.1711/17/25Updated PBT and PET effective date to 12/15/25.
1.2.1811/18/25Updated MGTN effective date to 12/08/25.
1.2.1901/05/26Updated Feed Hours and System Restart to reflect the new time that persisted orders are added back into the order book.
1.2.20x/x/26
  • Updated Time description in Time and Time Reference messages.
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Cboe Titanium Cboe Futures Exchange Multicast Depth of Book (PITCH) Specification - Revision History | Cboe