Top Trade Message

The Top Trade message provides information about executions of orders on the book. Top Trade messages are necessary to calculate execution-based data. Top Trade messages do not alter the book. One or more Single Side Update Expanded or Two Side Update Expanded messages will follow a Top Trade message to reflect the updated book (for example, an aggressive order may take out one or more price levels and establish a new level on the opposite side).

Any 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, execution id, and trade condition of a trade as well as the cumulative volume for the trading session. A Top Trade message will be sent for each 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. The Trade Condition value of X (Trade Break) is sent whenever an execution is broken. Trade breaks will contain the Symbol, Quantity, Price, and Execution Id of the original trade. The Total Volume field will be reduced by the number of shares reported in the Quantity field.