Spin Servers
A Spin Server is available for each unit. The server allows users to connect via TCP and receive a spin of the aggregated book and symbols and market centers with limited trading conditions on that unit. By using the spin, a user can quickly get the current state of the book in the middle of the trading session without worry of gap request limits. The Spin Server for each unit is assigned its own address and/or TCP port.
Upon successful login and periodically thereafter, a Spin Image Available message is sent which contains a sequence number indicating the most recent message applied to the book. Using a Spin Request message, a user may request a spin for the orders up to a sequence number noted within one of the last ten Spin Image Available messages distributed. If the Spin Request submitted does not present a sequence number that matches one of the last ten Spin Image Available messages distributed, the spin will return orders up to the next closest sequence number reported through a Spin Image Available message that is greater than the sequence number requested.
If a user sends a sequence number in a Spin Request message that is higher than the sequence number reported by the most recent Spin Image Available message, the next spin image to be generated will be returned when it is available. If the requested sequence number is still higher at that time, an O (Out of Range) error will be generated.
A spin will consist of Cboe Market Status, Trading Status, Short Symbol Summary, Long Symbol Summary and Trade messages. Trade messages will contain only the last trade for each symbol that was received by the spin server at the time of the spin image. While receiving the spin, the user must buffer multicast messages received. If the Spin Image Available message sequence number is the user’s reference point, multicast messages with larger sequence numbers should be buffered. If a non- Spin Image Available message sequence number is the user’s reference point which they send in their Spin Request message, they should buffer from that point on, but note that within the spin they may receive sequence numbers beyond that point which they may disregard. When a Spin Finished message is received, the buffered messages must be applied to a spun copy of the book to bring it current.
Customers can also use the Spin Server to request a spin of all Symbol Mapping messages by sending an Instrument Definition Request message or request a spin of all Trade and Trade Break messages available at the time of the request by sending a Trade Replay Request message. The Spin Server can only process one spin at a time. Customers will need to wait for a Spin Finished, Instrument Definition Finished, or Trade Replay Finished message before submitting another request.
Spin Server Usage Example shows an example flow of messages between a user and Cboe One Options multicast feed and Spin Server.