Futures Specific Symbol Processing

CFE TOP feed Futures Instrument Definition and Futures Variance Symbol Mapping messages map simple futures contract and spread instruments to a six character, ASCII Symbol. For example, the weekly VX11 contract expiring March 14, 2017 might be represented by the Symbol 0abC12. This symbol mapping significantly reduces the size of the Multicast TOP feed for futures and allows participants to use the same symbol handling mechanisms for the Cboe operated equity, options, and futures exchanges.

Mapping occurs on a continuous basis on each unit’s partition. Unlike the Multicast TOP feed, Futures Instrument Definition and Futures Variance Symbol Mapping messages in Kafka TOP are all sequenced.

Spread instruments may be occasionally created intra-day. In these cases, the Futures Instrument Definition message will be sent as a sequenced message on the feed before any other messages that reference an instrument created intra-day are sent.

In addition to the symbol mapping messages available on the Multicast TOP feed, a downloadable file with current mappings is available on the CFE website.