Futures Specific Symbol Processing

CFE has implemented a simple symbol mapping mechanism (OOF Symbol Mapping message) for the Options Multicast TOP feed to map a six character feed symbol to a specific options contract.

CFE has also implemented a complex symbol mapping mechanism (Complex Instrument Definition Expanded message) for the Options Multicast TOP feed to map a six character feed Complex Instrument ID (CID) to the complex instrument definition. A complex instrument definition consists of two or more option legs.

This simple and complex symbol mapping significantly reduces the size of the Options Multicast PITCH feed for futures and allows participants to use the same symbol handling mechanisms for the Cboe operated equity, options, and futures exchanges. This symbol mapping is the same as the Options Multicast PITCH feed.

Real-time symbol mapping messages are available on each unit's multicast feed. OOF Symbol Mapping messages are un-sequenced and Complex Instrument Definition Expanded messages can be both sequenced and un-sequenced. Un-sequenced messages are sent from pre-market through the end of trading in a continuous loop. Once the same contract has been seen twice, the user can be certain the full loop has been observed. The rate is variable and will be adjusted as bandwidth allows.

Complex instruments may be occasionally created intra-day. In these cases, the Complex Instrument Definition Expanded message will be sent as a sequenced message on the real-time feed and from the Spin Server before any other messages that reference an instrument created intra-day are sent.

In addition to the symbol mapping events available on the Options Multicast TOP feed, a downloadable file with current Production and Certification mappings is available via the CFE website.