Market Snapshot
A Market Snapshot message provides a snapshot of the price and size for the bid and ask, last trade price, total number of contracts traded, and the current trading status of a single symbol. The Market Snapshot message will be included during a Spin for all products traded so far this Trade Date. Finally, Market Snapshot messages will also be sent in a continuous loop as part of the Periodic Refresh mechanism.
The Unit Timestamp field is provided because the timestamp for a Market Snapshot message is the last time an event occurred on that Symbol. Since the Futures market can cross midnight Central Time, the Epoch (midnight, January 1, 1970 UTC) is used as a reference point.
The Market Snapshot message comes in two variants: Market Snapshot (Long) message and Market Snapshot (Short) message. The Market Snapshot (Short) message is used whenever possible, but the Market Snapshot (Long) message version is used if any of the Price fields cannot be represented by a Binary Short Price (-327.68 to +327.67) or any of the Quantity fields cannot be represented by an unsigned 16-bit value (65536).
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB2 | Market Snapshot (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. |
| Unit Timestamp | 12 | 4 | Binary | Last unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC). |
| Bid Price | 16 | 2 | Binary Short Price | Bid price (may be a zero or negative price for some instruments). |
| Bid Quantity | 18 | 2 | Binary | Number of contracts on the bid side of the inside book (a zero value denotes the Bid Price is invalid). |
| Ask Price | 20 | 2 | Binary Short Price | Ask price (may be a zero or negative price for some instruments). |
| Ask Quantity | 22 | 2 | Binary | Number of contracts on the ask side of the inside book (a zero value denotes the Ask Price is invalid). |
| Last Trade Price | 24 | 2 | Binary Short Price | Price of last execution (this can be zero or negative for some instruments). |
| Last Trade Size | 26 | 2 | Binary | Number of contracts traded on the last trade (if this value is 0 the Last Trade Price is invalid). |
| Last Trade Condition | 28 | 1 | Alphanumeric |
|
| Total Volume | 29 | 4 | Binary | Total number of contracts traded on the current business day. |
| Trading Status | 33 | 1 | Alphanumeric | See Trading Status field of Trading Status message. |
| Reserved | 34 | 3 | Alphanumeric | Reserved for use in other markets. |
| Total Length = 37 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB3 | Market Snapshot (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. |
| Unit Timestamp | 12 | 4 | Binary | Last unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC). |
| Bid Price | 16 | 8 | Binary Price | Bid price (may be a zero or negative price for some instruments). |
| Bid Quantity | 24 | 4 | Binary | Number of contracts on the bid side of the inside book (a zero value denotes the Bid Price is invalid). |
| Ask Price | 28 | 8 | Binary Price | Ask price (may be a zero or negative price for some instruments). |
| Ask Quantity | 36 | 4 | Binary | Number of contracts on the ask side of the inside book (a zero value denotes the Ask Price is invalid). |
| Last Trade Price | 40 | 8 | Binary Price | Price of last execution (this can be zero or negative for some instruments). |
| Last Trade Size | 48 | 4 | Binary | Number of contracts traded on the last trade (if this value is 0 the Last Trade Price is invalid). |
| Last Trade Condition | 52 | 1 | Alphanumeric |
|
| Total Volume | 53 | 4 | Binary | Total number of contracts traded on the current business day. |
| Trading Status | 57 | 1 | Alphanumeric | See Trading Status field of Trading Status message. |
| Reserved | 58 | 3 | Alphanumeric | Reserved for use in other markets. |
| Total Length = 61 bytes | ||||