Spin Server Usage Example

The figure below shows the exchange of messages over time between a member and Cboe’s Multicast PITCH feed and spin server. Note that while the example alone may seem to imply Add Order messages only would be sent on a spin, this is not the case. Trading Status message may be sent at the beginning of the spin session and Auction Update messages may be found mixed between Add Order messages according to their timestamps.

At time 1, the member has no state of the book and desires to become current. The member caches the received Multicast PITCH messages (sequences 310172 and 310173) for later use. Since the member has no book, they cannot yet be applied.

At time 5, the member has successfully logged into the Spin Server and has cached another message, sequence 310174.

At time 7, the member receives a Spin Image Available message which indicates that the spin server is capable of giving them a spin of all open orders as of sequence 310169. The member does not have all messages cached after 310169 (they are missing 310170 and 310171), so this spin is not useful to the member.

At time 10, the member receives a Spin Image Available message which is useful since it would be a spin of all orders up to and including sequence 310175 and the member has all messages after 310175 cached.

At time 11, the member sends a Spin Request message for all messages up to and including 310175 and continues to cache Multicast PITCH messages received.

At time 14, the spin server acknowledges the spin request and indicates that three open orders will be sent.

At time 24, the spin server indicates that it has finished sending all open orders. The member must then apply the cached messages from sequence number 310176 through current.

Notes:

• Spin Servers are available for each unit. Members may need to employ multiple Spin Servers depending upon their architecture.

• As a rule of thumb, in its equities markets Cboe typically has ~400,000 open orders across all units, or an average of about 12,500 orders per unit. In options, Cboe typically has greater the 3.2 million open orders across all units, or an average of about 100,000 orders per unit. The actual number per unit varies depending upon activity in individual symbols. Expect this number to increase and plan accordingly.