Complex Options Futures Instrument Definition Message Fields
A Complex Options Futures Instrument Definition message represents a complex instrument that is available to place orders. It is sent as a sequenced message the first time a Complex Options Futures Instrument Definition message is sent for a symbol. These messages will also be sent continuously through the day as an unsequenced message (sequence = 0) at variable rates as bandwidth allows. The Time offset field should be ignored on an unsequenced Complex Options Futures Instrument Definition message.
The Complex Options Futures Instrument Definition message will contain two or more repeating groups of leg definitions. There is a limit of 16 leg definitions, one of which is a futures leg.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xFC | Complex Options Futures Instrument Definition 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 | 1 | Alphanumeric |
|
| Reserved | 21 | 3 | Reserved | Reserved |
| Leg Count | 24 | 1 | Binary | The number of legs in the complex instrument. The maximum number of legs is 16. |
| Futures Price Leg Count | 25 | 1 | Binary | The number of futures leg prices. This must match the number of futures legs. |
| The following fields repeat Leg Count times for multi-leg strategies. Leg Index is zero-based. | ||||
| Leg Symbol | 26 + Leg Index * 11 | 6 | Printable ASCII | Option or Futures Symbol of leg, right padded with spaces. |
| Leg Ratio | 32 + Leg Index * 11 | 4 | Signed Binary | Leg ratio (positive for buy-side, negative for sell-side). This is the number of contracts. |
| Leg Security Type | 36 + Leg Index * 11 | 1 | Alphanumeric |
|
| The following fields repeat Futures Leg Price Count times. Futures Price Leg Index is zero-based. | ||||
| Leg Index | 26 + (Leg Count * 11) + (Futures Price Leg Index * 9) | 1 | Binary | The Leg Index the future price corresponds to. Leg Index is zero-based. |
| Futures Leg Price | 27 + (Leg Count * 11) + (Futures Price Leg Index * 9) | 8 | Binary Unsigned Price | Futures leg price |
| Total Length = 26 + (Leg Count * 11) + (Futures Price Leg Count * 9) bytes | ||||