Trade Message Fields

When an execution occurs, a Trade message is sent which includes the cumulative volume and last price and size. Multiple executions which occur concurrently will be compressed into a single update for bandwidth savings. TOP does not send a trade message for every individual fill.

In the event of a trade break or correction, it is possible that the cumulative volume will decrease from the previous update.

Please note that for EU markets (BXE, CXE, DXE) the lastTradePrice, lastTradeSize, and volume fields relate only to lit-book executions on the applicable venue. Cboe provides a separate Last Sale feed containing the full trade type granularity.

Table 1. Trade Message Fields

Field Name	JSON	Value	Description
messageType	m	"f"	Trade message
timestamp	t	Numeric	Milliseconds since midnight ET (BZX, EDGX), or Milliseconds since midnight London (BXE, CXE, DXE)
symbol	s	Alpha	Symbol
lastTradePrice	tp	Price	Last trade price
lastTradeSize	ts	Numeric	Last trade size
volume	v	Numeric	Cumulative number of shares traded today