TOP Trade Message Fields
The TOP Trade message provides information about executions of orders on the CFE book. TOP Trade messages are necessary to calculate CFE execution-based data. TOP Trade messages do not alter the book. One or more Single Side Update or Two Side Update messages will follow a TOP Trade message to reflect the updated book (for example, an aggressive order may take out one or more price levels and establish a new level on the opposite side).
Any order may be executed in parts. A complete view of all CFE executions can be built from all TOP Trade messages.
The TOP Trade message sends the trade price, trade quantity, execution id, and trade condition of a trade as well as the cumulative volume for the business day. A TOP Trade message will be sent for each execution, but not every TOP Trade message indicates a trade. The Trade Condition value of X (Trade Break) is sent whenever an execution on CFE is broken. Trade breaks are rare and only affect applications that rely upon CFE execution-based data. Trade breaks will contain the Symbol, Quantity, Price, and Execution Id of the original trade. The Total Volume field will be reduced by the number of shares reported in the Quantity field.
| Field Name | JSON | Value/Type | Description |
|---|---|---|---|
| Message Type | m | Alphanumeric | T |
| Time Offset | to | Integer | Nanosecond offset from last unit timestamp. |
| Symbol | sy | Alphanumeric | Six character, base 62 symbol. |
| Quantity | sz | Integer | Incremental number of contracts executed or corrected (see Trade Condition). |
| Price | p | Price | The execution price of the order. |
| Execution Id | e | Alphanumeric | CFE generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Total Volume | v | Integer | Total number of contracts traded on the current business day (may decrease if the Trade Condition field indicates a canceled trade). |
| Trade Condition | tc | Alphanumeric |
|