End of Day Summary Message Fields
The End of Day Summary message is sent out right after trading ends for a symbol. No more Market Update messages will follow an End of Day Summary message for a particular symbol. A value of zero in the Total Volume field means that no volume traded on that symbol for the day. The Total Volume field reflects all contracts traded during the day. Block and ECRP trades are included in the Total Volume field, but they are also reported separately to provide more detail.
The Boolean flag fields provide additional information on how to interpret the High Price and Low Price fields, especially in instruments that had no volume for the day and/or where 0 is a valid price (e.g., Trade At Settlement products). There are flags that indicate whether or not the High Price and Low Price fields are valid (High Price Valid and Low Price Valid). If they are not valid, then there was no High (and/or Low) Price for the day. There are also flags that indicate whether the High Price was set by the highest bid and the Low Price was set by the lowest offer rather than a trade (High is Bid and Low is Offer).
All End of Day Summary message values will span the full trading day, including all extended hours trading and all trading segments.
| Field Name | JSON | Value/Type | Description |
|---|---|---|---|
| Message Type | m | Alphanumeric | FE |
| Time Offset | to | Integer | Nanosecond offset from last unit timestamp. |
| Symbol | sy | Alphanumeric | Six character, base 62 symbol. |
| Trade Date | td | Alphanumeric | Trade Date for the message in format "YYYYMMDD". |
| Open Interest | oi | Integer | Prior Trade Date Open Interest for this symbol. |
| High Price | hP | Price | The higher of highest bid price and highest trade price for the day. Block and ECRP trades (Trade Condition = B or E) do not update High Price. |
| Low Price | lP | Price | The lower of lowest offer price and lowest trade price for the day. Block and ECRP trades (Trade Condition = B or E) do not update Low Price. |
| Open Price | oP | Price | The first trade on the day (in any session) will set the Open Price for the day (valid only if Total Volume > 0). Block and ECRP trades (Trade Condition = B or E) do not update Open Price. |
| Close Price | cP | Price | The last trade on the day (in any session) will set the Close Price for the day (valid only if Total Volume > 0). Block and ECRP trades (Trade Condition = B or E) do not update Close Price. |
| Total Volume | v | Integer | Total number of contracts traded for the day, including Block and ECRP trades. |
| Block Volume | bv | Integer | Total number of block contracts traded for the day. |
| ECRP Volume | ev | Integer | Total number of contracts traded for the day. |
| High Price Valid | hv | Boolean | Set if High Price is a valid value. |
| High Is Bid | hb | Boolean | Set if High Price was set by the highest bid (rather than a trade). |
| Low Price Valid | lv | Boolean | Set if Low Price is a valid value. |
| Low Is Offer | lo | Boolean | Set if Low Price was set by the lowest offer (rather than a trade). |
| Open/Close Valid | ho | Boolean | Set if both. Open Price and Close Price fields contain valid values |