Complex Instrument Definition Expanded Message Fields
A Complex Instrument Definition Expanded message represents a complex instrument that is available to place orders.
This message can be sent either as a sequenced message or as an unsequenced message. It is sent as a sequenced message at system startup upon the beginning of a trading session or if an instrument is created or modified during a trading day. A new sequenced message may also be sent for a symbol that does not visibly change any attribute. A continuous loop of unsequenced symbol mapping messages (sequence = 0) is sent throughout the day at variable rates as bandwidth allows. The Time Offset field should be ignored on unsequenced messages.
The Complex Instrument Definition Expanded message will contain two or more repeating groups of leg definitions. There is a limit of 16 leg definitions.
Complex Instrument Definition Expanded messages are included in a spin response.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x9A | Complex Instrument Definition Expanded message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Complex Instrument Id | 6 | 6 | Printable ASCII | Complex Instrument Id. Six character, base 62. |
| Complex Instrument Underlying | 12 | 8 | Printable ASCII | Complex Instrument Underlying right padded with spaces. |
| Complex Instrument Type | 20 | 4 | Alphanumeric |
|
| Leg Count | 24 | 1 | Binary | The number of legs in the complex instrument. The maximum number of legs is 16. |
| The following fields repeat Leg Count times for multi-leg strategies. Leg Index is zero-based. | ||||
| Leg Symbol | 25 + Leg Index * 13 | 8 | Printable ASCII | Option Symbol of leg. Six character, base 62. |
| Leg Ratio | 33 + Leg Index * 13 | 4 | Signed Binary | Leg ratio (positive for buy-side, negative for sell-side). For options this is the number of contracts, for equities this is the number of shares. |
| Leg Security Type | 37 + Leg Index * 13 | 1 | Alphanumeric | O = Leg is an Option instrument |
| Total Length = 25 + (Leg Count * 13) bytes | ||||