Complex Multicast TOP

The Complex Multicast TOP feed is used to receive real-time top of book quotations, last trade price and size, and cumulative volume data in addition to complex instrument definition information, related to complex orders, direct from the Exchange.

The quotations received via the Complex Multicast TOP feed provide an aggregated size and do not indicate the size or number of individual complex orders at the best bid or ask.

Complex instruments are published using the Complex Instrument Definition message each time a new complex instrument is created.

Options Auction Update and Auction Summary messages are used to disseminate indicative prices prior to the Opening Auction as well as to report the size of any executions occurring in the Opening Auction.

Market Update messages reflect real-time events that update the current state of the market using Single Side Update or Two Side Update messages. Single Side Update messages provide an updated price and size for a single side of a Complex Instrument ID while Two Side Update messages provide an updated price and size for both sides of a Complex Instrument ID.

Top Trade messages provide information about executions of Complex Orders necessary to calculate execution-based data but do not alter the complex order book. A Top Trade message is sent for every execution. One or more Single Side Update or Two Side Update messages will follow a TOP Trade message to reflect the updated complex order book.

Trading Status messages indicate the current status of a complex instrument. A Trading Status message is sent whenever a complex instrument’s status changes.

Additional details can be found within the Cboe Titanium U.S. Options Complex Multicast TOP Specification.