Futures Instrument Definition Message Fields
The Futures Instrument Definition message is sent when the system starts up at the beginning of a trading session or an instrument is created or modified during a trading day. A new sequenced message may be sent for a Symbol that does not visibly change any attribute.
If the instrument is a spread, then the message contains one or more repeating groups of leg definitions under the name l. There is a limit of 4 leg definitions.
The Report Symbol field will contain either the weekly (e.g., VX01) or the monthly (e.g., VX) symbol for any simple futures contract. The Report Symbol will always contain the standard futures root symbol (e.g., VX) for all spread instruments.
| Field Name | JSON | Value/Type | Description |
|---|---|---|---|
| Message Type | m | Alphanumeric | FD |
| Time Offset | to | Integer | Nanosecond offset from last unit timestamp or Unit Timestamp in this message if it is non-zero. |
| Symbol | sy | Alphanumeric | Six character, base 62 symbol. |
| Unit Timestamp | ut | Integer | Unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC). |
| Report Symbol | ps | Alphanumeric | Symbol for product or underlying security. |
| Expiration Date | ed | Alphanumeric | Expiration Date of Instrument in format "YYYYMMDD". |
| Contract Size | cS | Integer | Contract sizes less than 1 are represented with a 0 value; refer to the product specification for the contract size. |
| Listing State | Ls | Alphanumeric |
|
| Price Increment | pi | Price | Minimum Price Increment. |
| Contract Date | cd | Alphanumeric |
|
| The following fields repeat Leg Count times (maximum of 4) for spread instruments. | |||
| Leg Ratio | ra | Decimal | Leg ratio (positive for bid-side, negative for ask-side). |
| Leg Symbol | sy | Alphanumeric | Symbol of leg. |