TOP Trade Message Fields
The TOP Trade message provides information about executions of complex orders. TOP Trade messages are necessary to calculate Cboe execution-based data. TOP Trade messages do not alter the complex book. One or more Single Side Update Expanded or Two Side Update Expanded messages will follow a TOP Trade message to reflect the updated complex book (for example, an aggressive order may take out one or more price levels and establish a new level on the opposite side).
Any complex order may be executed in parts. A complete view of all executions can be built from all TOP Trade messages.
The TOP Trade message sends the trade price, trade quantity, and trade condition of a trade as well as the cumulative volume for the business day. A TOP Trade message will be sent after every execution, but not every TOP Trade message indicates a trade. A Top Trade message can also be sent when an auction executes against a non-displayed order, such as a contra response.
| Field Name | Offset | Length | Type/(Value) | Description |
|---|---|---|---|---|
| Length | 0 | 1 | Binary | Length of this message including this field. |
| Message Type | 1 | 1 | 0xB8 | TOP Trade 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. |
| Quantity | 12 | 4 | Binary | Incremental quantity executed or cancelled (see Trade Condition). |
| Price | 16 | 8 | Binary Long Price | The execution price of the order. |
| Execution Id | 24 | 8 | Binary | Cboe generated day-unique execution identifier of this trade. Execution Id is also referenced in the Trade Break message. |
| Total Volume | 32 | 4 | Binary | Total quantity traded on the current business day (may decrease if the Trade Condition field indicates a cancelled trade). |
| Trade Condition | 36 | 1 | Alphanumeric | See Options Trade Condition Codes for details. |
| Total Length=37 bytes | ||||