Complex Instrument Definition Expanded
A Complex Instrument Definition Expanded message represents a complex instrument that is available to place orders. This message is unsequenced (sequence = 0) and is sent just prior to every Auction Notification message. Complex Instrument Definition Expanded messages will also be sent in a continuous loop through the day at variable rates as bandwidth allows. The Time offset field should be ignored on Complex Instrument Definition Expanded messages .
The Complex Instrument Definition Expanded message will contain two or more repeating groups of leg definitions. There is a limit of 16 leg definitions.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0x9A | Complex Instrument Definition Expanded Message |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp. |
| Complex Instrument Id | 6 | 6 | Printable ASCII | Complex Instrument Id right padded with spaces. |
| Complex Instrument Underlying | 12 | 8 | Printable ASCII | Complex Instrument Underlying right padded with spaces. |
| Complex Instrument Type | 20 | 4 | Alphanumeric |
|
| Leg Count | 24 | 1 | Binary | The number of legs in the complex instrument. The maximum number of legs is 16. |
| The following fields repeat Leg Count times for multi-leg strategies. Leg Index is zero-based. | ||||
| Leg Symbol | 25 + Leg Index * 13 | 8 | Printable ASCII | Option or Equity Symbol of leg, right padded with spaces. |
| Leg Ratio | 33 + Leg Index * 13 | 4 | Signed Binary | Leg ratio (positive for buy-side, negative for sell-side). For options this is the number of contracts, for equities this is the number of shares. |
| Leg Security Type | 37 + Leg Index * 13 | 1 | Alphanumeric |
|
| Total Length=25 + (Leg Count * 13) bytes | ||||