Introduction

This specification is the standard Cboe Titanium U.S. Equities Summary Depth Feed specification used for the Cboe BYX Exchange, BZX Exchange, EDGA Exchange, and EDGX Exchange platforms.

The Cboe Summary Depth Feed delivers quote, trade and Aggregated Depth At Price (ADAP) information for the respective Cboe book via TCP/IP and UDP using the binary Cboe Summary Depth protocol. The feed consists of Clear Quote, Market Status, ADAP, RPI, Trade, Trade Break, and Trading Status messages.

The TCP/IP delivered feed can be used as a standalone product or to augment the UDP feed for recovery and start up purposes. The TCP/IP feed is available from the Cboe Summary Depth Server and sends a replay of missed trades and refreshes the current state of the book followed by real-time updates to the book after a connection is established.

The UDP delivered feed is sourced from the Cboe Summary Depth Feed Server (FS). Users may also connect to the Cboe Summary Depth Gap Request Proxy for retransmission of missed packets on the UDP feed by the Cboe Summary Depth Gap Server (GS).

While the TCP/IP and UDP delivered feeds offer equivalent real-time updates with matching sequence numbers, the consumer should assume message framing will be different between the transmission protocols.

It is important to note that the Cboe Summary Depth feed is an aggregated feed. Updates for a symbol are sent as capacity for the feed allows. The image for a symbol will be current at the time of delivery, but multiple updates may be combined into a single update. The interval between updates is dependent on the market conditions and the capacity configuration of the particular Cboe Summary Depth feed.

The Cboe Summary Depth Feed is available with 12 ADAP levels and requires bandwidth of up to 400 Mb/sec.