Trade Message Fields
The Trade message provides information about executions that occur off of the CFE book (such as Block trades). Trade messages are necessary to calculate CFE execution data. Trade messages do not alter the book and can be ignored if messages are being used solely to build a book. The Order Id sent in a Trade message is obfuscated and will not tie back to any real Order Id sent back via a FIX or BOE order entry session.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x2A | Trade message (long). |
| Time offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Order Id | 6 | 8 | Binary | Obfuscated Order ID or Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B = Buy Order regardless of resting side. |
| Quantity | 15 | 4 | Binary | Incremental number of contracts executed. |
| Symbol | 19 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Price | 25 | 8 | Binary Price | The execution price of the order. |
| Execution Id | 33 | 8 | Binary | CFE generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Trade Condition | 41 | 1 | Alphanumeric |
|
| Total Length = 42 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x2B | Trade message (short). |
| Time offset | 2 | 4 | Binary | Nanosecond offset from last unit timestamp. |
| Order Id | 6 | 8 | Binary | Obfuscated Order ID or Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B = Buy Order regardless of resting side. |
| Quantity | 15 | 2 | Binary | Incremental Number of contracts executed. |
| Symbol | 17 | 6 | Printable ASCII | Six character, base 62 symbol. |
| Price | 23 | 2 | Binary Short Price | The execution price of the order. |
| Execution Id | 25 | 8 | Binary | CFE generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Trade Condition | 33 | 1 | Alphanumeric |
|
| Total Length = 34 bytes | ||||