Two Side Update Message Fields
Two Side Update messages provide an updated price and size for both sides of a Symbol. One Two 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.
Two Side Update messages come in two variants: Two Side Update (Long) message and Two Side Update (Short) message. The Two Side Update (Short) message is used whenever possible, but the Two 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.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB6 | Two Side Update (Short) message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from Unit Timestamp in this message. |
| Symbol | 6 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Bid Price | 12 | 2 | Binary Short Price | Bid price (may be a zero or negative price for some instruments). |
| Bid Quantity | 14 | 2 | Binary | Number of contracts on the bid side of the inside book (a zero value denotes the Bid Price is invalid). |
| Ask Price | 16 | 2 | Binary Short Price | Ask price (may be a zero or negative price for some instruments). |
| Ask Quantity | 18 | 2 | Binary | Number of contracts on the ask side of the inside book (a zero value denotes the Ask Price is invalid). |
| Total Length = 20 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB7 | Two Side Update (Long) message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from Unit Timestamp in this message. |
| Symbol | 6 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Bid Price | 12 | 8 | Binary Price | Bid price (may be a zero or negative price for some instruments). |
| Bid Quantity | 20 | 4 | Binary | Number of contracts on the bid side of the inside book (a zero value denotes the Bid Price is invalid). |
| Ask Price | 24 | 8 | Binary Price | Ask price (may be a zero or negative price for some instruments). |
| Ask Quantity | 32 | 4 | Binary | Number of contracts on the ask side of the inside book (a zero value denotes the Ask Price is invalid). |
| Total Length = 36 bytes | ||||