End of Day Summary Message Fields
The End of Day Summary message is sent out right after trading ends for a symbol. No more markdate data update messages will follow an End of Day Summary message for a particular symbol. A value of zero in the Total Volume field means that no volume traded on that symbol for the day. The Total Volume field reflects all contracts traded during the day. Block trades are included in the Total Volume field, but they are also reported separately to provide more detail.
The Summary Flags field provides additional information on how to interpret the High Price and Low Price fields, especially in instruments that had no volume for the day and/or where 0 is a valid price (e.g. complex instruments). There are flags that indicate whether or not the High Price and Low Price fields are valid. If they are not valid, then there was no High (and/or Low) Price for the day. There are also flags that indicate whether the High Price was set by the highest bid and the Low Price was set by the lowest offer rather than a trade.
All End of Day Summary message values will span the full trading day, including all extended hours trading and all trading segments.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xBA | End of Day Summary message. |
| Time Offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Symbol | 6 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Trade Date | 12 | 4 | Binary Date | Trade Date for the message. |
| Open Interest | 16 | 4 | Binary | Prior Trade Date Open Interest for this symbol. |
| High Price | 20 | 8 | Binary Price | The higher of highest bid price and highest trade price for the day. Block trades (Trade Condition = B or E) do not update High Price. |
| Low Price | 28 | 8 | Binary Price | The lower of lowest offer price and lowest trade price for the day. Block trades (Trade Condition = B or E) do not update Low Price. |
| Open Price | 36 | 8 | Binary Price | The first trade on the day (in any session) will set the Open Price for the day (valid only if Total Volume > 0). Block trades (Trade Condition = B or E) do not update Open Price. |
| Close Price | 44 | 8 | Binary Price | The last trade on the day (in any session) will set the Close Price for the day (valid only if Total Volume > 0). Block trades (Trade Condition = B or E) do not update Close Price. |
| Total Volume | 52 | 4 | Binary | Total number of contracts traded for the day, including block trades. |
| Block Volume | 56 | 4 | Binary | Total number of block contracts traded for the day. |
| ECRP Volume | 60 | 4 | Binary | Always zero. |
| Summary Flags | 64 | 1 | Bit Field |
|
| Total Length = 65 bytes | ||||