Spin Servers
A Spin Server is available for each unit. The server allows customers to connect via TCP and receive a spin of all complex instrument definitions and currently open orders with limited trading conditions on that unit. By using the spin, a customer can get the current complex book quickly in the middle of the trading session without worry of gap request limits. The Spin Server for each unit listens on its own address and/or TCP port.
Upon successful login and periodically thereafter, a Spin Image Available message is sent which contains a sequence number indicating the most recent message applied to the complex book. Using a Spin Request message, a customer may request a spin for the orders up to a sequence number noted within one of the last ten Spin Image Available messages distributed. If the Spin Request submitted does not present a sequence number that matches one of the last ten Spin Image Available messages distributed, the spin will return orders up to the next closest sequence number reported through a Spin Image Available message that is greater than the sequence number requested.
In the case a customer sends a sequence number in a Spin Request that is higher than the sequence number reported by the most recent Spin Image Available message, the next spin image to be generated will be returned when it is available. If the requested sequence number is still higher at that time, an O (Out of Range) error will be generated.
A spin consists only of Complex Instrument Definition Expanded, Exchange Designated Complex Instrument Definition, Add Order (long and/or short), Trading Status and Time messages. Trading Status messages will be sent in spins for all complex instruments that are not S=Suspended, which results in at least two messages for every complex instrument that has not been Suspended since system startup. A Time message will be sent as the last message in a spin if the last Time message sent on a spin is older than the last received time from the internal market data producers.
Spins will not contain any message for an order which is no longer on the book. While receiving the spin, the customer must buffer multicast messages received. If the Spin Image Available message sequence number is the customer’s reference point, multicast messages with larger sequence numbers should be buffered. If a non- Spin Image Available sequence number is the customer’s reference point from which they send in their Spin Request, they should buffer from that point on, but note that the spin they will receive will contain sequence numbers beyond that point which may be disregarded. When a Spin Finished message is received, the buffered messages must be applied to spun copy of the book to bring it current.
Customers can also use the Spin Server to request a spin of all Symbol Mapping, Complex Instrument Definition Expanded and Exchange Designated Complex Instrument Definition messages by sending an Instrument Definition Request. The Spin Server can only process one spin at a time. Customers will need to wait for a Spin Finished or Instrument Definition Finished message before submitting another request.
Spin Messages shows an example flow of messages between a customer and Cboe’s Multicast PITCH feed and Spin Server.