Trade Messages

When an execution occurs, a message is sent which includes the cumulative volume and last price and size. Multiple executions which occur concurrently will be compressed into a single update for bandwidth savings. TOP does not send a trade message for every individual fill.

As with book updates, short, long, expanded, and extended form execution messages will be sent. The expanded version of the Trade message accommodates larger symbol sizes possible through the ISRA plan. The extended version of the Trade message accommodates prices that exceed the maximum allowed for a long form price data type.

In the event of a trade break or correction, it is possible that the cumulative volume will decrease from the previous update.