Derivatives UDP Realtime Incremental Updates

Incremental update messages are sent on dual A/B multicast channels. Each message has a long (8-byte) monotonically increasing sequence number that is never reset. The stream of messages on the A/B channels are identical; however, the grouping of messages into packets may vary between A and B channels. The packet header sequence number is the sequence number of the first message in the packet, or the next expected sequence number if the packet contains no messages (a heartbeat packet). Thus, the expected sequence number of the next packet is always the current packet sequence number plus the current packet message count.

Heartbeat packets are sent in the absence of new updates every 5 seconds. This is represented by a packet header with PktMessageCount=0.

All incremental messages are sent in a transaction. A transaction contains all incremental messages that are published as a result of a single inbound message or event in the trading system. Single-message transactions have both the start-of-transaction and end-of-transaction flags set.

All incremental messages require a message header and instrument header component.

Instrument Header

All incremental messages contain the following component as the first field after the message header. Side is null (-128) unless otherwise noted for particular messages.

Instrument Header	Type	Length	Offset	Description
Flags	uint8	1	0	Message header bitset: `0x01` - start of transaction `0x02` - end of transaction `0x04` - clear book (reserved for future use)
Side	int8	1	1	`1` - Buy `-1` - Sell `0` - opening fill `-128` - null value (used in messages in which side is not applicable)
InstrumentId	int32	4	2	Instrument identifier
InstrSeqNum	uint32	4	6	Per-instrument sequence number. Reset each trading day.
TradingSessionDate	int16	2	10	Days since Unix epoch
Padding2	int16	2	12	2 bytes of padding (reserved for future use)
TransactTime	int64	8	14	Event timestamp - nanoseconds since Unix epoch

Outright Instrument Definition

Outright Instrument Definition (10)	Type	Length	Offset	Description
Symbol	char24	24	32	Instrument name or symbol
ProductCode	char8	8	56	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	64	Instrument name
PriceIncrement	int64	8	96	Minimum constant tick for instrument, encoded with 9 decimal places
CfiCode	char8	8	104	ISO standard instrument categorization code
Currency	char8	8	112	Currency used for price
FirstTradingSessionDate	uint16	2	120	Days since Unix epoch
LastTradingSessionDate	uint16	2	122	Days since Unix epoch
OldContractSize	int32	4	124	Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document).
PriorSettlementPrice	int64	8	128	Price encoded with 9 decimal places
SettlementPrice	int64	8	136	Price encoded with 9 decimal places
LimitDownPrice	int64	8	144	Minimum price at which an instrument can currently trade
LimitUpPrice	int64	8	152	Maximum price at which an instrument can currently trade
ProductId	int32	4	160	Product identifier
ProductGroup	uint8	1	164	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	165	Trading session status `0` - Pre-open `1` - Open `2` - Halt `3` - Pause `4` - Close `5` - Pre-open (No Cancel) `6` - Expired `7` - Forbidden
InstrumentDefinitionFlags	uint16	2	166	Bitset `0x01` - isPriorSettlementTheoretical `0x02` - isAnnounced `0x04` - isCall (applicable for options) `0x08` - isStrikeDelisted `0x10` - fundingRateApplicable
ContractSize	int64	8	168	Contract size encoded with 8 decimal places (added in version 1.5 of this UDP Market Data API specification document)
FundingIntervalMinutes	int32	4	176	Time in minutes between funding periods
FairValueLimit	int32	4	180	Level up and down from fair value determining fair value limits

Spread Instrument Definition

Spread Instrument Definition (11)	Type	Length	Offset	Description
Symbol	char24	24	32	Instrument name or symbol
ProductCode	char8	8	56	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	64	Instrument name
PriceIncrement	int64	8	96	Minimum constant tick for instrument, encoded with 9 decimal places
CfiCode	char8	8	104	ISO standard instrument categorization code
Currency	char8	8	112	Currency used for price
FirstTradingSessionDate	uint16	2	120	Days since Unix epoch
LastTradingSessionDate	uint16	2	122	Days since Unix epoch
OldContractSize	int32	4	124	Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document)
PriorSettlementPrice	int64	8	128	Price encoded with 9 decimal places
SettlementPrice	int64	8	136	Price encoded with 9 decimal places
LimitDownPrice	int64	8	144	Minimum price at which an instrument can currently trade
LimitUpPrice	int64	8	152	Maximum price at which an instrument can currently trade
ProductId	int32	4	160	Product identifier
ProductGroup	uint8	1	164	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	165	Trading session status `0` - Pre-open `1` - Open `2` - Halt `3` - Pause `4` - Close `5` - Pre-open (No Cancel) `6` - Expired `7` - Forbidden
Leg1InstrumentId	int32	4	166	Instrument identifier for near leg
Leg2InstrumentId	int32	4	170	Instrument identifier for far leg
SpreadBuyConvention	int8	1	174	`1` - Use far leg as bid `-1` - Use near leg as bid
InstrumentDefinitionFlags	uint16	2	175	Bitset `0x01` - isPriorSettlementTheoretical `0x02` - isAnnounced `0x04` - isCall (applicable for options) `0x08` - isStrikeDelisted

Option Instrument Definition

Option Instrument Definition (12)	Type	Length	Offset	Description
Symbol	char24	24	32	Instrument name or symbol
ProductCode	char8	8	56	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	64	Instrument name
SmallTick	int64	8	96	Small tick size, encoded with 9 decimal places
CfiCode	char8	8	104	ISO standard instrument categorization code
LargeTick	int64	8	112	Large tick size, encoded with 9 decimal places
LargeTickThreshold	int64	8	120	Large tick size applies if price is >= this threshold price, encoded with 9 decimal places
StrikePrice	int64	8	128	Strike price, encoded with 9 decimal places
FirstTradingSessionDate	uint16	2	136	Days since Unix epoch
LastTradingSessionDate	uint16	2	138	Days since Unix epoch
PriorSettlementPrice	int64	8	140	Price encoded with 9 decimal places
SettlementPrice	int64	8	148	Price encoded with 9 decimal places
ProductId	int32	4	156	Product identifier
UnderlyingInstrumentId	int32	4	160	Instrument id of the underlying outright contract
ProductGroup	uint8	1	164	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	165	Trading session status `0` - Pre-open `1` - Open `2` - Halt `3` - Pause `4` - Close `5` - Pre-open (No Cancel) `6` - Expired `7` - Forbidden
InstrumentDefinitionFlags	uint16	2	166	Bitset `0x01` - isPriorSettlementTheoretical `0x02` - isAnnounced `0x04` - isCall (applicable for options) `0x08` - isStrikeDelisted

Trading Status Update

Trading Status Update (17)	Type	Length	Offset	Description
LimitDownPrice	int64	8	32	Minimum price at which an instrument can currently trade
LimitUpPrice	int64	8	40	Maximum price at which an instrument can currently trade
TradingStatus	uint8	1	48	Trading session status: `0` - Pre-open `1` - Open `2` - Halt `3` - Pause `4` - Close `5` - Pre-open (No Cancel) `6` - Expired `7` - Forbidden
HaltReason	uint8	1	49	(Optional) Halt reason: `1` - SCHEDULED `2` - Price Fluctuation Event `3` - System Disruption `4` - FAST_MARKET_EVENT Null value = `255`

Order Put

Sent when a resting order is added or updated.

The Side of order is defined in the instrument header (1 or -1).

Order Put (20)	Type	Length	Offset	Description
OrderId	int64	8	32	Unique order ID. Unique across entire channel and across time, but not necessarily across different channels. Never reused for an unrelated order.
Price	int64	8	40	Price encoded with 9 decimal places
Quantity	int32	4	48	Quantity encoded with 0 decimal places

Order Delete

Side of deleted order is defined in instrument header (1 or -1).

Order Delete (21)	Type	Length	Offset	Description
OrderId	int64	8	32	Unique identifier for order

Implied Order Update

Side is defined in instrument header (1 or -1).

Implied Order Update (22)	Type	Length	Offset	Description
BestPrice	int64	8	32	First level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
NextPrice	int64	8	40	Second level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
BestQty	int32	4	48	First level implied quantity encoded with 0 decimal places
NextQty	int32	4	52	Second level implied quantity encoded with 0 decimal places

Trade Summary

Summarizes all fills of an aggressor order. Sent before individual trade messages, as well as order put/delete and market stat messages.

Aggressor Side is defined in instrument header.

Trade Summary (33)	Type	Length	Offset	Description
AggressorOrderId	int64	8	32	Order identifier of aggressing order
AggressorReceiveTime	int64	8	40	Nanoseconds since Unix epoch when we received aggressor new/replace order message on gateway
VwapPrice	int64	8	48	Volume weighted average price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
DeepestPrice	int64	8	56	Price of deepest/last resting order that an aggressing order matched
Quantity	int32	4	64	Quantity encoded with 0 decimal places

Trade

Trade message does not implicitly delete or update matched resting order; a separate OrderPut or OrderDelete is sent (in the same transaction).

Aggressor Side is defined in instrument header.

Trade (30)	Type	Length	Offset	Description
MatchId	int64	8	32	Transaction id representing match, shared by all trades within match
BuyOrderId	int64	8	40	Unique identifier for trade buy order. In case of implied order, encoded as `0x8000000000000000`
SellOrderId	int64	8	48	Unique identifier for trade sell order. In case of implied order, encoded as `0x8000000000000000`
Price	int64	8	56	Price encoded with 9 decimal places
Quantity	int32	4	64	Quantity encoded with 0 decimal places

Trade Amend

Trade Amend (31)	Type	Length	Offset	Description
MatchId	int64	8	32	Transaction id representing match, shared by all trades within match
BuyOrderId	int64	8	40	Unique identifier for trade buy order. In case of implied order, encoded as `0x8000000000000000`
SellOrderId	int64	8	48	Unique identifier for trade sell order. In case of implied order, encoded as `0x8000000000000000`
OldPrice	int64	8	56	Price encoded with 9 decimal places
NewPrice	int64	8	64	Price encoded with 9 decimal places

Trade Bust

Trade Bust (32)	Type	Length	Offset	Description
MatchId	int64	8	32	Transaction id representing match, shared by all trades within match
BuyOrderId	int64	8	40	Unique identifier for trade buy order. In case of implied order, encoded as `0x8000000000000000`
SellOrderId	int64	8	48	Unique identifier for trade sell order. In case of implied order, encoded as `0x8000000000000000`

Spread Trade Amend

Spread Trade Amend (34)	Type	Length	Offset	Description
MatchId	int64	8	32	Transaction id representing match, shared by all trades within match
BuyOrderId	int64	8	40	Unique identifier for trade buy order. In case of implied order, encoded as `0x8000000000000000`
SellOrderId	int64	8	48	Unique identifier for trade sell order. In case of implied order, encoded as `0x8000000000000000`
OldPrice	int64	8	56	Price encoded with 9 decimal places
NewPrice	int64	8	64	Price encoded with 9 decimal places
OldLeg1Price	int64	8	72	Spread leg price encoded with 9 decimal places
NewLeg1Price	int64	8	80	Spread leg price encoded with 9 decimal places
OldLeg2Price	int64	8	88	Spread leg price encoded with 9 decimal places
NewLeg2Price	int64	8	96	Spread leg price encoded with 9 decimal places

Market Stat

Market Stat (40)	Type	Length	Offset	Description
Price	int64	8	32	Price encoded with 9 decimal places
StatType	char	1	40	`4` - Day Opening Price `5` - Closing Price `6` - Settlement Price `7` - Trading Session High Price `8` - Trading Session Low Price `F` - Reference Price `I` - Initial Opening Price

Trade Session Volume

Trade Session Volume (41)	Type	Length	Offset	Description
VwapPrice	int64	8	32	Volume weighted average price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
TradeVolume	int32	4	40	Total day traded volume for instrument as of the last trade in message

Open Interest

Open Interest (42)	Type	Length	Offset	Description
Quantity	int32	4	32	Quantity encoded with 0 decimal places

Funding Rate

Funding Rate (43)	Type	Length	Offset	Description
FundingRate	int64	8	40	Funding rate encoded with 9 decimal places
FuturesMarkPrice	int64	8	48	Futures mark price encoded with 9 decimal places
SpotMarkPrice	int64	8	56	Spot mark price encoded with 9 decimal places
FairValue	int64	8	64	Fair value encoded with 9 decimal places
FinalFundingRateTimestamp	int64	8	72	Timestamp when funding rate becomes final - nanoseconds since Unix epoch. Null value encoded as `0x8000000000000000`
CorrelationId	int64	8	80	Correlation ID
Flags	uint8	1	88	Flags bitset: `0x01` - IsFinal (indicates if this is the final funding rate)

REST API Overview

REST Endpoints

FIX

SBE

UDP

Instrument Header

Outright Instrument Definition

Spread Instrument Definition

Option Instrument Definition

Trading Status Update

Order Put

Order Delete

Implied Order Update

Trade Summary

Trade

Trade Amend

Trade Bust

Spread Trade Amend

Market Stat

Trade Session Volume

Open Interest

Funding Rate

​Instrument Header

​Outright Instrument Definition

​Spread Instrument Definition

​Option Instrument Definition

​Trading Status Update

​Order Put

​Order Delete

​Implied Order Update

​Trade Summary

​Trade

​Trade Amend

​Trade Bust

​Spread Trade Amend

​Market Stat

​Trade Session Volume

​Open Interest

​Funding Rate

Instrument Header

Outright Instrument Definition

Spread Instrument Definition

Option Instrument Definition

Trading Status Update

Order Put

Order Delete

Implied Order Update

Trade Summary

Trade

Trade Amend

Trade Bust

Spread Trade Amend

Market Stat

Trade Session Volume

Open Interest

Funding Rate