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Two Side Update Expanded (Short) Message Fields

Table 1. Two Side Update Expanded (Short)
Field NameOffsetLengthType/(Value)Description
Length01BinaryLength of this message including this field.
Message Type110xD6 Two Side Update Expanded (Short) Message
Time Offset24Time OffsetNanosecond offset from last unit timestamp.
Symbol66Printable ASCIISymbol right padded with spaces.
Bit Fields121Bit Field
  • Bits 0-2 - Reserved
  • Bit 3 - AON
  • 0=Price level is a firm quote
  • 1=Price Level is AON (All or None)
  • Bit 4 - Customer (C1 Only)
  • 0=Not customer specific.
  • 1=Price Level is specifically for firm customer quotes.
  • Bits 5-7 - Reserved
Bid Price132Binary Short PriceBid Price
Bid Quantity152Binary
  • Total number of contracts on the inside bid (customer and non-customer). A zero value indicates there is no bid.
  • If Customer bit is set, this will be zero.
Bid Customer Quantity172Binary
  • Number of customer contracts on the inside bid. A zero value denotes that there are no customer contracts at the inside price.
  • If Customer bit is set, this will be the number of customer contracts on the inside bid considering only customer firm quotes.
  • Will always be zero for C2.
Ask Price192Binary Short PriceAsk Price
Ask Quantity212Binary
  • Total number of contracts on the inside ask (customer and non-customer). A zero value indicates there is no ask.
  • If Customer bit is set, this will be zero.
Ask Customer Quantity232Binary
  • Number of customer contracts on the inside ask. A zero value denotes that there are no customer contracts at the inside price.
  • If Customer bit is set, this will be the number of customer contracts on the inside ask considering only customer firm quotes.
  • Will always be zero for C2.
Total Length=25 bytes
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