Cboe Titanium Cboe Global Cloud allows customers to receive real-time data from Cboe Global Markets through an Apache Kafka service hosted in Amazon Web Services (AWS). Cboe offers multiple data feeds in the Cboe Global Cloud service and enables Cboe data availability and dissemination in multiple locations across the world. Cboe offers various secure connectivity and access options through the Cboe Global Cloud service. This document describes the technical specifications associated with all Cboe data products available within Cboe Global Cloud. Each data feed is described in a separate chapter with example messages provided to assist in development efforts.

Detailed instructions for using each of the following connectivity options can be found in the Cboe Titanium Cboe Global Cloud Setup Guide.

Configuration information on each of the following methods will be provided during the onboarding process once an access method is selected.

This option is a suitable access method if customer systems and/or processes are running within AWS Cloud (i.e., a current AWS customer).

This option is a suitable access method for customer systems and/or processes running on-premises in a local data center, or in another infrastructure provider’s environment.

This option is a suitable access method for customer systems and/or processes running on-premises in a local data center, or in another infrastructure provider’s environment, where a virtual private connection is preferred over internet delivery.

Bandwidth recommendations for each feed are outlined below. These recommendations are reflective of a consumer process reading messages from a topic as quickly as the producer publishes them.

Cboe Global Cloud users may connect to any of the Cboe Global Cloud regional clusters to receive the available Cboe data feeds.

Cboe data feeds via Cboe Global Cloud cannot be used to enter orders. For order entry relating to non-cloud exchange connectivity, refer to the specifications below:

• Cboe US Equities Cboe Titanium U.S. Equities FIX Specification and Cboe Titanium U.S. Equities BOE Specification.
• Cboe EU Equities FIX and BOE
• Cboe AU Equities FIX and BOE
• Cboe Canadian Equities FIX and BOE

Cboe does not recommend any specific Apache Kafka distribution or managed service, but general documentation can be found within https://kafka.apache.org/documentation/. Additionally, information related to connecting to AWSMSK can be found within https://docs.aws.amazon.com/msk/latest/developerguide/produce-consume.html.

Authentication to the Kafka cluster will utilize mutual TLS. During the onboarding process, an authentication certificate will be provided.

Broker information for each subscription to be provided during the onboarding process.

The number of brokers for each feed provided is outlined below:

The Cboe One Feed delivers consolidated quote, trade, and Aggregated Depth At Price (ADAP) information for all Cboe US Equities (Cboe One US) and MATCHNow, NEO-L, NEO-N, and NEO-D (Cboe One Canada) books via connection to Cboe’s Amazon MSK cluster using the Cboe One Feed protocol. The feed consists of Clear Quote, Symbol Summary, Best Quote Update, Market Status, ADAP, RPI, Trade, Trade Break, Trading Status, Opening/Closing Price, and End of Day Summary messages.

The feed is sourced from the Cboe Amazon MSK Kafka cluster. The Cboe US Equities topics have 36 partitions, while the Cboe One Canada topics have 4 partitions. Cboe reserves the right to add partitions to these topics for performance reasons if it becomes necessary.

It is important to note that the Cboe One Feed is an aggregated feed. Updates for a symbol are sent as capacity for the feed allows. The image for a symbol will be current at the time of delivery, but multiple updates may be combined into a single update. The interval between updates is dependent on the market conditions and the capacity configuration of the particular Cboe One feed.

The Cboe One Feed is available with different combinations of ADAP levels and update rates to meet the needs of our members.

The messages that make up the Cboe One protocol are formatted with JSON, and each message contains the Sequence field (see Sequence Field), which handles sequencing and delivery integrity.

The Cboe One data feed is comprised of a series of dynamic length sequenced messages. Each message begins with the messageType (m) field. Cboe reserves the right to add message types and grow the length of any message without notice. Cboe One users should develop their decoders to deal with unknown message types and messages that grow beyond the expected length. Messages will only be grown to add additional data to the end of a message.

The following field types are used within Cboe One feed. All types are rendered in printable ASCII.

• Alphanumeric fields are strings of characters that are not meant for conversion into another data type.
• Integer fields are convertible into unsigned or long unsigned integers.
• Price fields are convertible into floats or doubles.
• Volume fields are convertible into floats or doubles.
• Bit Field fields are fixed width fields with each bit representing a Boolean flag (the 0 bit is the lowest significant bit; the 7 bit is the highest significant bit).

The Sequence field is used for all Cboe One messages delivered via Amazon MSK. Examples can be found in the messages below. Note that when the Cboe One feed is spread across multiple partitions, messages may not always be received in sequence order.

The Clear Quote message instructs feed recipients to clear all quotes and Summary and/or ADAP information for the specified symbol on the specified market(s). This message does not affect the executed volume of the symbol.

The Fractional Symbol Summary message delivers the Cboe consolidated best bid/offer and total executed volume across all 8 (eight Cboe One US and Cboe One Canada) equities books.

The Best Quote Update message is used to update one side of the Cboe consolidated quote information for a symbol. Since the message only updates one side of the quote the previous value for the other side of the quote remains in effect.

This message does not affect the executed volume of the symbol.

The Cboe Market Status message is disseminated to reflect a change in the status of a market. All markets should be assumed to be Normal unless otherwise indicated by a Cboe Market Status message.

The Incomplete market status is used to indicate the feed has not delivered updates for all a market center’s symbols and that the feed is transitioning to Normal. If a market center transitions from Normal to Excluded the feed will deliver updates of symbol quote/ADAP information to properly reflect the state of the combined book. At the start of a market center’s transition from Excluded to Normal a Cboe Market Status message will be sent with Incomplete for the market center’s status. Symbol quote/ADAP information will then be sent for all applicable symbols. Once the market center’s symbol information has been disseminated a Cboe Market Status message will be delivered with a Normal market status.

Each ADAP message delivers one or more updates for a Symbol’s ADAP book. Each ADAP message contains one or more ADAP Blocks. A receiving process should interpret each ADAP Block as a replacement for any previously delivered ADAP Blocks at that price level.

A quantity of 0 indicates that the price level is either no longer available or the price level is not within the number ADAP levels maintained by the feed. In either case a receiving process should delete a price level with a 0 quantity from its cache.

The Retail Price Improvement (RPI) message is a retail liquidity indicator that includes symbol and side, but not price and size. An RPI message will be disseminated when there is a retail price improving order present for a symbol on any Cboe Exchange order book OR to indicate a RPI order is no longer available. RPI orders offer price improvement in increments of $.001 to Retail Member Organizations.

Fractional Trade messages are sent when an order is executed in whole or in part on a Cboe exchange. The last-sale eligible status (Flags field Bit 1) is derived based on four criteria:

1. The Session Indicator (see Cboe Market Status Message Fields) must be in the regular session.
2. The Last Quantity must be at least one round lot.
3. The Market Status (see Cboe Market Status Message Fields) for the executing exchange must be Normal.
4. The Transaction Time of the event must be within 10 seconds of the current time.

   Table 1. Fractional Trade Message Fields

   Field Name	JSON	Value/Type	Description
   messageType	m	Alphanumeric	T2
   timestamp	ts	Integer	The time the trade occurred on the specified Market Center. Encoded as the number of nanoseconds since midnight.
   symbol	sy	Alphanumeric	Relevant symbol.
   marketCenter	mc	Alphanumeric	Market Center on which the last trade was executed: Y = BYX (US only) Z = BZX (US only) A = EDGA (US only) X = EDGX (US only) M = MATCHNow (Canada only) L = NEO-L (Canada only) N = NEO-N (Canada only) D = NEO-D (Canada only) r = NEO-Cross (Canada only) t = NEO-SST (Canada only)
   executionId	e	Alphanumeric	Market center specific execution identifier of this Execution. Execution ID is also referenced in the Trade Break message.
   lastPrice	lp	Price	Last trade price.
   lastSize	ls	Integer	Last trade quantity.
   cumulativeVolume	cv	Integer	Cumulative number of shares traded today across all 8 Cboe books.
   nationalVolume	sv	Volume	In the US, cumulative number of shares traded today as reported to the CTA and UTP SIPs. In Canada, the sum of two values: the current Cboe Cumulative Executed Volume and the 15-minute delayed executed volume of other Canadian exchanges as reported by TMX IP.
   flags	f	Bit Field	Bit 0:SIP Volume Status 0 = SIP volume data is complete. 1 = SIP volume data may not be complete due to an unrecoverable gap on the incoming feed. Bit 1:Last Sale Eligible 0 = Trade is not last-sale eligible 1 = Trade is last-sale eligible Bit 2-7:Reserved

The Fractional Trade Break message is sent whenever an execution on a Cboe exchange is broken. Fractional trade breaks are rare and only affect applications that rely upon Cboe execution based data.

The Trading Status message is used to indicate the current trading status of a security on a Cboe exchange. A Trading Status message will be sent whenever a security’s trading status changes.

A Trading Status message will be sent:

• for Regulatory Halts in any security as well as the Trading resumption for the same security.
• for Cboe Listed securities that are in a Quoting period for auctions.
• to indicate a Reg SHO price test is in effect.

  Table 1. Trading Status Message Fields

  Field Name	JSON	Value/Type	Description
  messageType	m	Alphanumeric	TS
  timestamp	ts	Integer	Timestamp of the matching engine trading status message emitted by the specified Market Center. Encoded as the number of nanoseconds since midnight.
  symbol	sy	Alphanumeric	Relevant symbol.
  marketCenter	mc	Alphanumeric	Y=BYX (US only) Z=BZX (US only) A=EDGA (US only) X=EDGX (US only) M=MATCHNow (Canada only) L=NEO-L (Canada only) N=NEO-N (Canada only) D=NEO-D (Canada only) r=NEO-Cross (Canada only) t=NEO-SST (Canada only)
  tradingStatus	h	Alphanumeric	A = Accepting Orders for Queuing F = Halted (full) (NEO only) H = Halted M = Delayed Closing (NEO only) O = Pre-close (NEO only) P = Post-close (NEO only) Q = Quote-Only S = Exchange Specific Suspension T = Trading X = Extended Trading (NEO only)
  regShoAction	rs	Alphanumeric	0=No price test in effect 1=Reg SHO price test restriction in effect

The Opening/Closing Price message is used to indicate the Opening or Closing price of a security on any of the Cboe exchanges and the primary listing market. An Opening/Closing Price message will be sent whenever the opening or closing price of a security is established. The opening or closing price is established once across all Cboe exchanges (not per-exchange). Additionally, an Opening/Closing Price message will be sent after it is received from the CTA or UTP SIP (in US markets) or from the TMX IP feeds (in Canadian markets) once the delay period has expired, currently 15 minutes.

• For Cboe listed securities, the opening and closing prices will be sent when they are received from the listing market and again when received from the SIP and the delay period has expired.
• For non-Cboe listed securities, the opening price of a security is defined as the first eligible trade received that occurred on or after 9:30:00 from any Cboe exchange. If no eligible trade is received by 9:35:00, no opening price will be reported from a Cboe exchange. A message will also be sent after the official open from the listing exchange is received and the SIP delay period has expired with Market Center set to C or U.
• For non-Cboe listed securities, the closing price of a security is the last eligible trade received when any Cboe exchange timestamp exceeds the end of the regular session (normally 16:00:00). If no eligible trade has occurred prior to the close, no closing price will be reported from a Cboe exchange. A message will also be sent after the official close from the listing exchange is received and the SIP delay period has expired with Market Center set to C or U.

Cboe One Canada:

• For NEO listed securities, the opening and closing prices will be sent when they are received from the listing market.
• For non-NEO listed securities, the opening price of a security is defined as the first round lot trade received from the security’s listing exchange that occurred on or after the listing exchange’s opening time (normally 9:30:00). If no eligible trade is received by 5 minutes after the opening time, no opening price will be reported. The opening price will be delayed by 15 minutes.
• For non-NEO listed securities, the closing price of a security is the last round lot trade received from the security’s listing exchange when any timestamp exceeds the end of the listing exchange’s regular session (normally 16:00:00). If no eligible trade has occurred prior to the close, no closing price will be reported from a Cboe market. The closing price will be delayed by 15 minutes.

The Market Center will identify the Cboe exchange that set the Opening or Closing Price for this security.

The Fractional End of Day Summary message is used to give a consolidated, high-level overview of a security for the day, based on an end of day summary message received from either the US CTA or UTP Securities Information Processor (SIP) feeds. The Canadian summary will be calculated using data from exchanges in the TMX IP feed. The message will be sent after it is received from the source and the delay period has expired, currently 15 minutes for US. Canada’s summary will be sent at 17:15:00 for all symbols. The system may send more than one End of Day Summary message in the US after the end of a trading session due to multiple CTA/UTP end of day summary spins.

Cboe members may use the Cboe Global Cloud Equities TOP (TOP) feed to receive real-time top of book quotations and execution information from the following Equities Exchanges:

• BZX and EDGX US Equities Exchange platforms
• BXE, CXE, and DXE EU Equities Exchange platforms

The quotations received via TOP provide an aggregated size and do not indicate the size or number of individual orders at the best bid or ask. The TOP protocol also provides last trade price and size and cumulative volume data.

TOP cannot be used to enter orders. For order entry, refer to the appropriate specification below.

• Cboe US Equities FIX and BOE
• Cboe EU Equities FIX and BOE

Symbols will be separated into units by a published alphabetical distribution. Symbol distribution will not change intra-day. Cboe does, however, reserve the right to change the symbol distribution with prior notice to members. Care should be taken to ensure that symbol distribution changes can be supported easily.

The Kafka topic for the TOP feed is partitioned by unit, which means that messages from the same unit will be received in the order they were produced.

The TOP feed is comprised of a series of Kafka JSON messages. Each message has a messageType (m) property that indicates which fields are on the message. Fields are properties that conform to the standard JSON pattern field name: field value. Field values must be one of the data types in Data Types.

The TOP feed provides the same messages as the Cboe US Equities TOP feed but in a JSON format. Within the JSON format the following format is used for each data type.

• Numeric fields are a string of ASCII digits that can be converted to an integer.
• Alpha and Alphanumeric represent one or more printable ASCII characters.
• Price is a string of ASCII digits that can be converted to a floating point number. For example, the floating point number 12.34 is represented as 12.34.

Bid Update messages replace the previous Top of Book bid for a symbol. One Bid Update message may reflect one or more updates to the inside bid that were processed at the same time.

Ask Update messages replace the previous Top of Book ask for a symbol. One Ask Update message may reflect one or more updates to the inside ask that were processed at the same time.

Two-Sided Update messages replace the previous Top of Book bid and ask for a symbol. One Two-Sided Update message may reflect one or more updates to the inside bid/ask that were processed at the same time.

When an execution occurs, a Trade message is sent which includes the cumulative volume and last price and size. Multiple executions which occur concurrently will be compressed into a single update for bandwidth savings. TOP does not send a trade message for every individual fill.

In the event of a trade break or correction, it is possible that the cumulative volume will decrease from the previous update.

Please note that for EU markets (BXE, CXE, DXE) the lastTradePrice, lastTradeSize, and volume fields relate only to lit-book executions on the applicable venue. Cboe provides a separate Last Sale feed containing the full trade type granularity.

The Trading Status message is used to indicate the current trading status of a security. A Trading Status message will be sent whenever a security’s trading status changes.

A haltStatus of S will be implied at system startup. T will be sent as securities are available for trading. A will be distributed when orders can be accepted for queuing in preparation for the market open.

The Trading Status message is used to indicate the current trading status of a security. A Trading Status message will be sent whenever a security’s trading status changes.

The following are examples of each message type that can be sent on TOP.

Cboe customers may use the Cboe Global Cloud AU Equities TOP (TOP) feed to receive real-time top of book quotations and execution information from the CXA Equities Exchange platform.

The quotations received via TOP provide an aggregated size and do not indicate the size or number of individual orders at the best bid or ask. The TOP protocol also provides last trade price and size and cumulative volume data.

TOP cannot be used to enter orders. For order entry, refer to the appropriate CXA Equities FIX or BOE specification.

Symbols will be separated into units by a published alphabetical distribution. Symbol distribution will not change intra-day. Cboe does, however, reserve the right to change the symbol distribution with prior notice to members. Care should be taken to ensure that symbol distribution changes can be supported easily.

The Kafka topic for the TOP feed is partitioned by unit, which means that messages from the same unit will be received in the order they were produced.

The TOP feed is comprised of a series of Kafka JSON messages. Each message has a messageType (m) property that indicates which fields are on the message. Fields are properties that conform to the standard JSON pattern field name: field value. Field values must be one of the data types in Data Types.

The TOP feed provides the same messages as the Cboe US Equities TOP feed but in a JSON format. Within the JSON format the following format is used for each data type.

• Numeric fields are a string of ASCII digits that can be converted to an integer.
• Alpha and Alphanumeric represent one or more printable ASCII characters.
• Price is a string of ASCII digits that can be converted to a floating point number. For example, the floating point number 12.34 is represented as "12.34".
• Bit Field fields are fixed width fields with each bit representing a Boolean flag (the 0 bit is the lowest significant bit; the 7 bit is the highest significant bit).

The Sequence field is used for all TOP messages delivered via Amazon MSK. Examples can be found in the messages below. Messages are sequenced on a per-unit basis.

The Unit Clear message instructs feed recipients to clear all market snapshots for the TOP book in the partition. It will be distributed in rare recovery events such as a data center fail-over.

The Trading Status message is used to indicate the current trading status of a security. A Trading Status message will be sent whenever trading status changes for a security. The following summarizes the Trading Status values in the CXA system:

• H = Halt state. Not accepting orders or off-exchange trade reports, though existing orders may be canceled. Implied at system startup for all symbols.
• A = Pre-market. Not accepting orders, but off-exchange trades may be reported.
• T=Trading. Continuous trading session open. Accepting orders and off-exchange trade reports.
• M=MOC Trading. Continuous trading session closed. Accepting only MOC orders and off-exchange trade reports.
• P = Post-market. MOC only trading session closed. Not accepting orders, but off-exchange trades may be reported.
• C = Closed. Not accepting orders or off-exchange trade reports.
• S = Trading suspended. Sent in the event that trading is suspended for operational reasons. Not accepting orders or off-exchange trade reports, though existing orders may be canceled.
• O = Pre-Open. Symbols eligible for the CXA Opening Auction, or are subject to an intra-day Auction, are placed into Pre-Open prior to the auction. Order entry, amends, cancels are permitted. Orders are not matched and overlapping order books may form.
• E = Pre-Close. Symbols eligible for the CXA Closing Auction are placed into Pre-Close prior to the auction. Order entry, amends, cancels are permitted. Orders are not matched and overlapping order books may form.

Halt and Trading suspended are functionally the same, though a halt is considered short term while suspended occurs for a longer term that can persist over several days.

The Trading Status field will be used to represent the status of the trading session.

Bid Update messages replace the previous Top of Book bid for a symbol. One Bid Update message may reflect one or more updates to the inside bid that were processed at the same time.

Ask Update messages replace the previous Top of Book ask for a symbol. One Ask Update message may reflect one or more updates to the inside ask that were processed at the same time.

Two-Sided Update messages replace the previous Top of Book bid and ask for a symbol. One Two-Sided Update message may reflect one or more updates to the inside bid/ask that were processed at the same time.

When an execution occurs electronically on the CXA book or off-exchange and reported to CXA, then a Trade message is sent which includes the cumulative volume and last price and size. Trade messages do not alter the book. For on-exchange electronic executions one or more Bid/Ask Update or Two-Sided Update messages may follow a 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 CXA executions can be built from all Trade messages for on-exchange electronic executions.

A Trade message is also sent whenever an execution or trade report is broken with the Trade Condition field value indicating trade break. Trade breaks are rare and only affect applications that rely upon CXA execution-based data. Trade breaks will contain the Symbol, Quantity, Price, and Execution ID of the original trade. The Volume field will be reduced by the number of shares reported in the Trade Size field.

The Calculated Value message is sent when CXA calculates market values for a specified symbol or when a calculated market value is reported to CXA. The specified symbol may not trade on CXA, but instead could represent index or iNAV values reported to CXA from third parties as indicated by the Value Category field. The index values will be reported on each of the unitized CXA TOP feeds and are not specific to an individual unit.

The End of Session message is sent for each partition when the matching unit for that partition shuts down. No additional sequenced messages will be delivered on this partition.

The Auction Update message is sent during Pre-Open or Pre-Close trading states when a symbol has an order update which relates to an overlapping order book. The message includes the potential number of shares and the indicative auction price if the symbol were to open now.

The Auction Summary message is sent at the completion of the Auction and includes the Auction Price and Shares traded, per symbol.

Cboe members may use the Cboe Global Cloud AU Equities PITCH (PITCH) feed to receive real-time order-by-order and execution information from the CXA Equities Exchange platform.

PITCH cannot be used to enter orders. For order entry, refer to the appropriate CXA Equities FIX or BOE specification.

Symbols will be separated into units by a published distribution. Symbol distribution will not change intra-day. Cboe does, however, reserve the right to change the symbol distribution with prior notice to clients. Care should be taken to ensure that symbol distribution changes can be supported easily.

The Kafka topic for the PITCH feed is partitioned by unit, which means that messages from the same unit will be received in the order they were produced.

The PITCH feed is comprised of a series of Kafka JSON messages. Each message has a messageType (m) property that indicates which fields are on the message. Fields are properties that conform to the standard JSON pattern field name: field value. Field values must be one of the data types in Data Types.

The PITCH feed provides the same messages as the Cboe US Equities PITCH feed but in a JSON format. Within the JSON format the following format is used for each data type.

• Numeric fields are a string of ASCII digits that can be converted to an integer.
• Alpha and Alphanumeric represent one or more printable ASCII characters.
• Price is a string of ASCII digits that can be converted to a floating point number. For example, the floating point number 12.34 is represented as "12.34".
• Bit Field fields are fixed width fields with each bit representing a Boolean flag (the 0 bit is the lowest significant bit; the 7 bit is the highest significant bit).

The Sequence field is used for all PITCH messages delivered via Amazon MSK. Examples can be found in the messages below. Messages are sequenced on a per-unit basis.

The Unit Clear message instructs feed recipients to clear all market snapshots for the PITCH book in the partition. It will be distributed in rare recovery events such as a data center fail-over.

The Trading Status message is used to indicate the current trading status of a security. A Trading Status message will be sent whenever trading status changes for a security. The following summarises the Trading Status values in the CXA system:

• C = Closed. Not accepting orders or off-exchange trade reports. Implied at system start-up for all symbols.
• A = Pre-market. Not accepting orders, off-exchange trades may be reported.
• T = Trading. Continuous trading session open. Accepting orders and off-exchange trade reports.
• M = MOC Trading. Continuous trading session closed. Accepting only MOC orders and off-exchange trade reports.
• P = Post-market. MOC only trading session closed. Not accepting orders, off-exchange trades may be reported.
• H = Halted. Not accepting orders, only eligible off-exchange trades may be reported. Existing orders may be cancelled.
• S = Trading suspended. Sent in the event trading is suspended for operational reasons. Not accepting orders, only eligible off-exchange trades may be reported. Existing orders may be cancelled.
• O = Pre-Open. Symbols eligible for the CXA Opening Auction, or are subject to an intra-day Auction, are placed into Pre-Open prior to the auction. Order entry, amends, cancels are permitted. Orders are not matched and overlapping order books may form.
• E = Pre-Close. Symbols eligible for the CXA Closing Auction are placed into Pre-Close prior to the auction. Order entry, amends, cancels are permitted. Orders are not matched and overlapping order books may form.

Halted and Trading suspended are functionally the same, though a halt is considered short term while a suspension occurs for a longer term that can persist over several days.

The Trading Status field will be used to represent the status of the trading session.

The Add Order message represents a newly accepted visible or undisclosed order on the CXA book. It includes a day-specific Order Id assigned by CXA to the order.

The Order Executed message is sent when a visible order on the CXA book is executed in whole or in part. The execution price equals the order price found in the original Add Order message or the order price in the latest Modify Order message referencing the Order Id.

The Reduce Size message is sent when a visible order on the CXA book is partially reduced.

The Modify Order message is sent whenever an open order is visibly modified. The Order Id refers to the Order Id of the original Add Order message.

Note that Modify Order messages that appear to be no ops (i.e., they do not appear to modify any relevant fields) will still lose priority.

The Delete Order message is sent whenever a booked order is cancelled or leaves the order book. The Order Id refers to the Order Id of the original Add Order message.

Although not currently possible, in the future under certain circumstances an order that is deleted from the book may return to the book later. Therefore, a Delete Order message does not indicate that a given Order Id will not be sent again on a subsequent Add Order message. Participants should be prepared to handle this scenario.

The Trade message provides information about executions of non-displayed and undisclosed orders on the CXA book or executions that occur off-exchange and reported to CXA. Trade messages for on-exchange electronic executions are necessary to calculate CXA execution-based data. Trade messages do not alter the book and can be ignored if messages are being used solely to build a book.

No Add Order message is sent for hidden orders, and thus, no modify order messages may be sent when hidden orders are executed. Instead, a Trade message for on-exchange electronic executions is sent whenever a hidden order is executed in whole or in part. A Trade message for on-exchange electronic executions is also sent when there is an execution against any non-displayed portion of an iceberg order. As with visible orders, hidden and iceberg orders may be executed in parts. A complete view of all CXA executions can be built by combining allOrder Executed and Trade messages.

The Trade Break message is sent whenever an execution on CXA or off-exchange trade reported to CXA is cancelled. A trade correction is performed by sending a Trade Break message followed by a new Trade message with the corrected size and price. Applications that simply build a CXA book can ignore Trade Break messages.

The Calculated Value message is sent when CXA calculates market values for a specified symbol or when a calculated market value is reported to CXA. The specified symbol may not trade on CXA, but instead could represent index values or NAV reported to CXA from third parties as indicated by the Value Category field.

The End of Session message is sent for each partition when the matching unit for that partition shuts down. No additional sequenced messages will be delivered on this partition.

The Auction Update message is sent during Pre-Open or Pre-Close trading states when a symbol has an order update which relates to an overlapping order book. The message includes the potential number of shares and the indicative auction price if the symbol were to open now.

The Auction Summary message is sent at the completion of the Auction and includes the Auction Price and Shares traded, per symbol.

CFE participants may use the CFE TOP protocol to receive real-time top of book quotations direct from CFE.

The quotations received via TOP provide an aggregated size and do not indicate the size or number of individual orders at the best bid or ask. The TOP protocol also provides last trade price and size and cumulative volume data.

The TOP feed will start up on Sunday at approximately 10:00 a.m. CT and shutdown on Friday at approximately 4:05 p.m. CT. A daily restart occurs between 4:05 and 4:45 p.m. CT each day at which time sequences will be reset. The daily restart is typically observed between 4:05 and 4:10 p.m. CT but could occur later if needed for operational reasons. Feed startup and shutdown times may be adjusted without notice.

Under normal operations, it is expected that the order books will be cleared (including GTC and GTD orders), prior to the daily restart and reset of sequences. Persisted GTC and GTD orders will be added back onto the order books immediately after restart.

Products will be separated into units and messages pertaining to a specific unit will be sent to their own partition. Product distribution will not change intra-day. CFE does, however, reserve the right change the product distribution with 48 hours prior notice to participants. Care should be taken to ensure that product distribution changes can be supported easily.

Message sequence numbers are incremented by one for every sequenced message within a particular symbol unit. It is important to understand that one unit will be delivered per topic partition. As with symbol ranges, unit distribution across partitions will not change intra-day, but may change after notice has been given.

Messages in the TOP feed are timestamped relative to special Time messages sent once every second from each unit. Because ordering cannot be guaranteed between partitions, care must be taken to ensure that messages from a specific partition are compared ONLY to Time messages from that same partition.

CFE TOP feed Futures Instrument Definition and Futures Variance Symbol Mapping messages map simple futures contract and spread instruments to a six character, ASCII Symbol. For example, the weekly VX11 contract expiring March 14, 2017 might be represented by the Symbol 0abC12. This symbol mapping significantly reduces the size of the Multicast TOP feed for futures and allows participants to use the same symbol handling mechanisms for the Cboe operated equity, options, and futures exchanges.

Mapping occurs on a continuous basis on each unit’s partition. Unlike the Multicast TOP feed, Futures Instrument Definition and Futures Variance Symbol Mapping messages in Kafka TOP are all sequenced.

Spread instruments may be occasionally created intra-day. In these cases, the Futures Instrument Definition message will be sent as a sequenced message on the feed before any other messages that reference an instrument created intra-day are sent.

In addition to the symbol mapping messages available on the Multicast TOP feed, a downloadable file with current mappings is available via the CFE website at the CFE Contract Listings and Product Level System Parameters page.

The messages that make up the Futures TOP protocol are formatted with JSON, and each message contains the Sequence field (see Sequence Field), which handles sequencing and delivery integrity.

The Futures TOP data feed is comprised of a series of dynamic length sequenced messages. Each message begins with the messageType (m) field. Cboe reserves the right to add message types and grow the length of any message without notice. Participants should develop their decoders to deal with unknown message types and messages that grow beyond the expected length. Messages will only be grown to add additional data to the end of a message.

The following field types are used within Cboe One feed. All types are rendered in printable ASCII.

• Alphanumeric fields are strings of characters that are not meant for conversion into another data type.
• Integer fields are convertible into unsigned or long unsigned integers. They may be signed.
• Decimal fields are convertible into floats or doubles. They may be signed.
• Price fields are convertible into floats or doubles.
• Boolean fields contain either the values true or false.

Throughout this document, the term "Trade Date" is synonymous with the term "Business Date". The term Trade Date is used within this document to match identically named fields in the CFE FIX and BOE specs.

The Sequence field is used for all Futures TOP messages delivered via Amazon MSK. Examples can be found in TOP Messages. Messages are sequenced on a per-unit basis.

With the exception of Time messages, each TOP message reflects the update of the top of book or execution of an order in the system.

A Time message is immediately generated and sent when there is a TOP event for a given clock second. If there is no new sequenced TOP event for a given clock second, then no Time message is sent for that second. All subsequent time offset fields for the same unit will use the new Time value as the base until another Time message is received for the same unit. The Time field is the number of seconds relative to midnight Central Time, which is provided in the Time Reference message. The Time message also includes the Epoch Time field, which is the current time represented as the number of whole seconds since the Epoch (Midnight January 1, 1970).

Take care to only compare messages with a Time Offset (to) field to Time messages from the same partition. Otherwise, because ordering cannot be guaranteed between partitions, the incorrect timestamp could be used.

The Unit Clear message instructs feed recipients to clear all market snapshots for the CFE book in the unit specified in the Sequenced Unit Header message header. It would be distributed in rare recovery events such as a data center fail-over. It may also be sent on system startup (after daily restart) when there are no persisted GTCs or GTDs.

The Time Reference message is used to provide a midnight reference point for recipients of the feed. It is sent whenever the system starts up and when the system crosses a midnight boundary. All subsequent Time messages for the same unit will the use the last Midnight Reference until another Time Reference message is received for that unit. The Time Reference message includes the Trade Date, so most other sequenced messages will not include that information.

Time Reference messages will be included in a spin response.

The Futures Instrument Definition message is sent when the system starts up at the beginning of a trading session or an instrument is created or modified during a trading day. A new sequenced message may be sent for a Symbol that does not visibly change any attribute.

If the instrument is a spread, then the message contains one or more repeating groups of leg definitions under the name l. There is a limit of 4 leg definitions.

The Report Symbol field will contain either the weekly (e.g., VX01) or the monthly (e.g., VX) symbol for any simple futures contract. The Report Symbol will always contain the standard futures root symbol (e.g., VX) for all spread instruments.

The Futures Variance Symbol Mapping message is used to disseminate symbol reference data for S&P 500 Variance Futures (VA Futures) symbols. VA Futures symbol reference data are disseminated with both the Futures Instrument Definition and Futures Variance Symbol Mapping messages. The purpose of the Futures Variance Symbol message is to disseminate product-specific supplemental information for VA Futures symbols (i.e., Accrued Day Variance, Num Final Returns, and Num Elapsed Returns).

The Price Limits message is sent out at the start of the session for products that are subject to price limits per the contract specifications. The Price Limits message does not signal whether price limits are in effect for that symbol; it simply provides those values for when they are in effect. If multiple Price Limits messages are received for the same Symbol, the most recent values will override the previous values.

A Market Snapshot message provides a snapshot of the price and size for the bid and ask, last trade price, total number of contracts traded, and the current trading status of a single symbol.

The Unit Timestamp field is provided because the timestamp for a Market Snapshot message is the last time an event occurred on that Symbol. Since the Futures market can cross midnight Central Time, the Epoch (midnight, January 1, 1970 UTC) is used as a reference point.

Single Side Update messages provide an updated price and size for a single side of a Symbol. The side is denoted by the Side field. One Single Side Update message may reflect one or more updates to the inside book that were processed at the same time.

Two Side Update messages provide an updated price and size for both sides of a Symbol. One Two Side Update message may reflect one or more updates to the inside book that were processed at the same time.

The TOP Trade message provides information about executions of orders on the CFE book. TOP Trade messages are necessary to calculate CFE execution-based data. TOP Trade messages do not alter the book. One or more Single Side Update or Two Side Update 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 CFE 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 business day. A TOP Trade message will be sent for each execution, but not every TOP Trade message indicates a trade. The Trade Condition value of X (Trade Break) is sent whenever an execution on CFE is broken. Trade breaks are rare and only affect applications that rely upon CFE execution-based data. 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.

Sent after the close as part of the end of a Trading Day.

Settlement messages are used to provide information concerning indicative, approved, or corrected daily and final settlement prices for CFE products. An indicative daily settlement price (Issue = I) is calculated by the system and sent immediately after an instrument closes trading but before the settlement price is approved. An approved settlement price (Issue = S) is sent once the CFE Trade Desk approves a settlement price for an instrument. If there is an error in the approved settlement price, then it may be re-issued (Issue = R). For symbols that settle each day using VWAP, the system will begin disseminating an intermediate indicative price update (Issue = i) at 2:59:35 (following the first interval of the VWAP calculation) that will be sent every five seconds leading up to the receipt of the indicative daily settlement price (Issue = I).

The End of Day Summary message is sent out right after trading ends for a symbol. No more Market Update messages will follow an End of Day Summary message for a particular symbol. A value of zero in the Total Volume field means that no volume traded on that symbol for the day. The Total Volume field reflects all contracts traded during the day. Block and ECRP trades are included in the Total Volume field, but they are also reported separately to provide more detail.

The Boolean flag fields provide additional information on how to interpret the High Price and Low Price fields, especially in instruments that had no volume for the day and/or where 0 is a valid price (e.g., Trade At Settlement products). There are flags that indicate whether or not the High Price and Low Price fields are valid (High Price Valid and Low Price Valid). If they are not valid, then there was no High (and/or Low) Price for the day. There are also flags that indicate whether the High Price was set by the highest bid and the Low Price was set by the lowest offer rather than a trade (High is Bid and Low is Offer).

All End of Day Summary message values will span the full trading day, including all extended hours trading and all trading segments.

The Trading Status message is used to indicate the current trading status of a Futures contract. A Trading Status message will be sent whenever a security’s trading status changes. If a Trading Status message has not been received for a symbol, then the Trading Status for the symbol should be assumed to be S = Suspended. The following summarizes the Trading Status values in the CFE system:

• S = Suspended. A contract is in a suspended state when the associated product is closed and not accepting orders.
• Q = Accepting orders for queuing. Queuing state is used during the Pre-Open for all products. It is also used for spread instruments that may not be tradeable due to Threshold Width.
• T = Trading. Used for both Extended and Regular Hours trading.
• H = Halt state. This state is used for Supervisory Halts initiated by the Trade Desk. Orders are not being accepted in this state.

  Table 1. Trading Status Message Fields

  Field Name	JSON	Value/Type	Description
  Message Type	m	Alphanumeric	TS
  Time Offset	to	Integer	Nanosecond offset from last unit timestamp.
  Symbol	sy	Alphanumeric	Six character, base 62 symbol.
  Trading Status	h	Alphanumeric	S = Suspended Q = Queuing T = Trading H = Halted

The Open Interest message is sent to communicate a symbol’s open interest, usually for the prior trading date. This message will be sent when open interest information is made available to CFE and may be sent multiple times if there are changes to the open interest for a symbol. The open interest is also populated in the End of Day Summary message.

The End of Session message is sent for each unit when the unit shuts down. No more sequenced messages will be delivered for this unit, but heartbeats from the unit may be received.

Cboe members may use the Cboe Global Indices Feed (formerly CSMI) to receive real-time index data.

Index messages contain the values associated with a calculated index. For some indices, a bid and ask value may also be calculated which is like the index value but is calculated from bid and ask prices instead of last sale prices. Index values are benchmark values upon which tradable products may be based, but an index itself is not tradable.

The Kafka topic for Cboe Global Indices is partitioned by symbol - maintaining order within a given symbol to customers.

Index calculation groups, or channels, are distributed on separate topics: CCCY, Cboe Global Indices MAIN, FTSE, INAV, MSCI, Morningstar, Morningstar Custom, and CGIDF. Cboe reserves the right to make changes to these groups as needed.

The Cboe Global Indices feed is comprised of a series of Kafka JSON messages. Each message has a messageType (msgType) property that indicates the type of message. Fields are properties that conform to the standard JSON pattern field name: field value.

Within the JSON format the following format is used for each data type.

• Numeric fields are a string of ASCII digits that can be converted to an integer.
• Number fields represented in base 10 and can be converted to a floating point number
• Alpha and Alphanumeric represent one or more printable ASCII characters.

Index Value Update messages contain values associated with calculated index. Each message will contain one or more Index Value Blocks.

Contributor Value messages contain values associated with an index or symbol received from the Cboe Contributor API. Each message will contain one or more Index Value Blocks.

Index Summary messages contain values associated with start or end of day values. Effective date is included for reference. Bid and ask fields are not required. Each message will contain one or more Index Value Blocks.

Index Definition messages contain values associated with information describing an index such as an index’s current status (active, inactive, or deleted), channel name, current trading date, data source, and description.

The following are examples of each message type that can be sent on Cboe Global Indices.

{
"sendTime": 1443707509082,
"msgType": "D",
"seq": 7565,
"sym": "CLLZ",
"currRec": 11,
"totRecs": 500,
"desc": "Collar Zero Cost Index Calculation",
"date": "2023-02-24",
"status": 1,
"agentCode": "CO",
"channels": [
"CSMI"
]
}

The Last Sale feed supplements the Top of Book streams, providing a detailed, non-compressed stream of distinct trades. All applicable trade types are included (dark book executions, exchange trade reports, periodic auctions, etc.), with full MMT type information.

The MMT (Market Model Typology) Initiative is a collaborative effort established by a broad range of industry participants (trading/reporting venues, data vendors and buy/sell side participants). The initiative is committed to achieving a practical and common solution for standards on post-trade data across all asset classes subject to MiFID II. The initiative unites a variety of industry participants in the basic belief that we can and should act without any further delay to improve the consistency and comparability of data from different sources. MMT support has been upgraded to v4.1. The full list of supported values can be found in the Cboe Europe Multicast PITCH Specification. For further information and resources please refer to the FIX trading community webpage.

The Trade message is also used to convey when a trade of any type (on-book execution, Exchange Trade Report, etc.) is cancelled. The trade is repeated with the same executionId, but with the appropriate cancellation flag set within the MMT flags field. This applies equally to on-book executions busted by Trade Desk staff, and to ETRs which may be cancelled by Participants themselves.

Reporting Participants may amend ETRs, and the Cboe Trade Desk may amend any trade. In either case, the feed will first send a message cancelling the initial version of the trade (with the MMT cancel flag set), followed immediately by a second message re-stating the trade with the new details. Both the cancel and the amendment messages will have the executionId of the original message.

In this example, an ETR has been amended, changing size from 150 to 160.

{
    "m": "T",
    "t": 36000123,
    "sy": "VODl",
    "e": "00WY30000002",
    "tp": "320.20",
    "ts": 150,
    "tt": "
2022-05-30 09:41:07.717202",
    "f": "1O---C---PH---",
    "v": "CEUX",
    "s": 145
}
{
    "m": "T",
    "t": 36000123,
    "sy": "VODl",
    "e": "00WY30000002",
    "tp": "320.20",
    "ts": 160,
    "tt": "
2022-05-30 09:41:07.717202",
    "f": "1O---A---PH---",
    "v": "CEUX",
    "s": 146
}

For more information on Cboe Symbology, please refer to Cboe Symbology Reference.

Please direct questions or comments to the corresponding trade desk: