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.
| Field Name | JSON | Value | Description |
|---|---|---|---|
| messageType | m | "f" | Trade message |
| timestamp | t | Numeric |
|
| 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 |