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Single Side Update Message Fields

Single Side Update messages provide an updated price and size for a single side of a Symbol. The side is denoted by the Side field. One Single Side Update message may reflect one or more updates to the inside book that were processed at the same time, but will only be done so in a way that can be arbitrated between A/B feeds.

Single Side Update messages come in two variants: Single Side Update (Long) message and Single Side Update (Short) message. The Single Side Update (Short) message is used whenever possible, but the Single Side Update (Long) message is used whenever the Price cannot be represented by a Binary Short Price or the Quantity cannot be represented by an unsigned 16-bit integer.

Table 1. Single Side Update (Short)
Field NameOffsetLengthType/(Value)Description
Length01BinaryLength of this message including this field.
Message Type110xB4Single Side Update (Short) message.
Time Offset24BinaryNanosecond offset from last unit timestamp.
Symbol66Printable ASCIISix character, base 62 symbol.
Side121Alphanumeric
  • B = Bid side
  • S = Ask side
Price132Binary Short PricePrice (may be a zero or negative price for some instruments).
Quantity152BinaryNumber of contracts on the inside book (a zero value denotes the Price is invalid).
Total Length = 17 bytes
Table 2. Single Side Update (Long)
Field NameOffsetLengthType/(Value)Description
Length01BinaryLength of this message including this field.
Message Type110xB5Single Side Update (Long) message.
Time Offset24BinaryNanosecond offset from last unit timestamp.
Symbol66Printable ASCIISix character, base 62 symbol.
Side121Alphanumeric
  • B = Bid side
  • S = Ask side
Price138Binary PricePrice (may be a zero or negative price for some instruments).
Quantity214BinaryNumber of contracts on the inside book (a zero value denotes the Price is invalid).
Total Length = 25 bytes
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