Trade Message Fields
The Trade message provides information about executions of complex order auctions on the Cboe complex book. A Trade message can also be sent when an auction executes against a non-displayed order, such as a contra response. Trade messages are necessary to calculate Cboe execution-based data. Trade messages do not alter the complex book and can be ignored if messages are being used solely to build a complex book.
No Add Order message is sent for complex auction orders, and thus, no order modification messages may be sent when complex auctions are executed. Instead, a Trade message is sent whenever a complex auction is executed in whole or in part. A complete view of all Cboe complex executions can be built by combining all Order Executed messages and Trade messages.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field |
| Message Type | 1 | 1 | 0x2A | Trade Message (long) |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp |
| Order Id | 6 | 8 | Binary | Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B=Buy Order regardless of resting side |
| Quantity | 15 | 4 | Binary | Instrument quantity traded |
| Complex Instrument Id | 19 | 6 | Printable ASCII | Complex Instrument Id right padded with spaces. |
| Price | 25 | 8 | Binary Signed Long Price | The execution price of the order. This is the price of the option legs only and does not include the futures leg price. |
| Execution Id | 33 | 8 | Binary | Cboe generated day-unique execution identifier of this trade. |
| Trade Condition | 41 | 1 | Alphanumeric |
|
| Total Length = 42 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field |
| Message Type | 1 | 1 | 0x2B | Trade Message (short) |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp |
| Order Id | 6 | 8 | Binary | Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always B=Buy Order regardless of resting side |
| Quantity | 15 | 2 | Binary | Instrument quantity traded |
| Complex Instrument Id | 17 | 6 | Printable ASCII | Complex Instrument Id right padded with spaces. |
| Price | 23 | 2 | Binary Signed Short Price | The execution price of the order. This is the price of the option legs only and does not include the futures leg price. |
| Execution Id | 25 | 8 | Binary | Cboe generated day-unique execution identifier of this trade. |
| Trade Condition | 33 | 1 | Alphanumeric |
|
| Total Length = 34 bytes | ||||
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field |
| Message Type | 1 | 1 | 0xFD | Trade Message (Futures Options) |
| Time Offset | 2 | 4 | Time Offset | Nanosecond offset from last unit timestamp |
| Order Id | 6 | 8 | Binary | Order Id of the executed order. |
| Side Indicator | 14 | 1 | Alphanumeric | Always
|
| Quantity | 15 | 4 | Binary | Instrument quantity traded |
| Complex Instrument Id | 19 | 6 | Printable ASCII | Complex Instrument Id right padded with spaces. |
| Total Price | 25 | 8 | Binary Signed Long Price | The total execution price of the order. This is the total execution price of the order including all the option legs and the futures leg. |
| Execution Id | 33 | 8 | Binary | Cboe generated day-unique execution identifier of this trade. |
| Trade Condition | 41 | 1 | Alphanumeric |
|
| Total Length = 42 bytes | ||||
Order Execution, Order Execution At Price/Size, Auction Trade, Trade (long), and Trade (short) messages carry the execution price of the order as calculated without the futures leg price. Any of these messages will be immediately followed by a Trade (futures options) message for the same execution id and will carry the execution price of the order as calculated including the futures leg price.