Spin Server Usage Example

The following diagram shows the exchange of messages over time between a customer and Cboe’s Multicast PITCH feed and spin server. Note that while the example may seem to imply only Complex Instrument Definition Expanded, Time and Add Order messages would be sent on a spin, this is not the case. Trading Status and Auction Update messages may also be sent.

At time 1, the customer has no state of the book and desires to become current. The customer caches the received Multicast PITCH messages (sequences 310172 and 310173) for later use. Since the customer has no book, they cannot yet be applied.

At time 5, the customer has successfully logged into the Spin Server and has cached another message, sequence 310174.

At time 7, the customer receives a Spin Image Available message which indicates that the spin server is capable of giving them a spin of all open orders as of sequence 310169. The customer does not have all messages cached after 310169 (they are missing 310170 and 310171), so this spin is not useful to the customer.

At time 10, the customer receives a Spin Image Available message which is useful since it would be a spin of all orders up to and including sequence 310175 and the customer has all messages after 310175 cached.

At time 11, the customer sends a Spin Request for all messages up to and including 310175 and continues to cache Multicast PITCH messages received.

At time 14, the spin server acknowledges the spin request and indicates that five messages will be sent (complex instrument definition and open orders).

At time 24, the spin server indicates that it has finished sending all messages. The customer must then apply the cached messages from sequence number 310176 through current.

Notes:

• Spin Servers are available for each unit. Customers may need to employ multiple Spin Servers depending upon their architecture.

• As a rule of thumb, in its Options markets, Cboe typically has ~300,000 complex instruments defined and ~3.2 million open orders across all units, or an average of about 9,375 complex instruments and 100,000 open orders per unit. The actual number per unit varies depending upon activity in individual symbols. Expect this number to increase and plan accordingly.