Complex Instrument Definition Expanded Message Fields
A Complex Instrument Definition Expanded message represents a complex instrument that is available to place orders. It is sent as a sequenced message the first time a Complex Instrument Definition Expanded 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 Instrument Definition Expanded message.
The Complex Instrument Definition Expanded message will contain two or more repeating groups of leg definitions. There is a limit of 16 leg definitions, one of which may be an equity leg.
| 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 | ||||