Derivatives UDP Periodic Snapshots

Per-instrument, snapshots are sent continuously on the dual A/B snapshot channels. The frequency of repeated snapshots is intentionally not specified, but the maximum delay between snapshots (for different instruments) is 5 seconds. A single (instrument) snapshot consists of 2 or more messages, starting with instrument-type-specific start message, which includes the instrument definition, followed by an order snapshot message for each active order of the instrument, followed by an EndOfSnapshot message. The snapshot messages may be split across multiple packets if the full snapshot does not fit in a single packet. All packets of the snapshot share the same packet sequence number, which corresponds to the most recent incremental feed sequence number included in the snapshot. All snapshot messages have SnapshotSeqNum as their first field. This sequence number always starts at 0 for the first message of a snapshot and does not wrap around. A single instrument does not have more than 65534 active orders. The end of cycle message represents the end of a cycle where all active instruments in our system have sent their respective snapshots. The message has a count of the number of instruments sent since the previous cycle so that end users can verify they have all required snapshots and check against packet loss.

Snapshot messages include a message header, but not an instrument header.

Start of Outright Instrument Snapshot

Start Of Outright Instrument Snapshot (110)	Type	Length	Offset	Description
SnapshotSeqNum	uint16	2	10	Sequence number of message within snapshot
LastInstrSeqNum	uint32	4	12	Snapshot incorporates all incremental messages with `instrSeqNum` up and including this value
Symbol	char24	24	16	Instrument name or symbol
ProductCode	char8	8	40	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	48	Instrument name
PriceIncrement	int64	8	80	Minimum constant tick for instrument, encoded with 9 decimal places
CfiCode	char8	8	88	ISO standard instrument categorization code
Currency	char8	8	96	Currency used for price
ProductId	int32	4	104	Product identifier
OldContractSize	int32	4	108	Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document)
OrderCount	int32	4	112	Number of orders in snapshot
FirstTradingSessionDate	uint16	2	116	Days since Unix epoch
LastTradingSessionDate	uint16	2	118	Days since Unix epoch
TradingSessionDate	int16	2	120	Days since Unix epoch
ProductGroup	uint8	1	122	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	123	Trading session status `0` - Pre-open `1` - Open `2` - Halt `3` - Pause `4` - Close `5` - Pre-open (No Cancel) `6` - Expired
ContractSize	int64	8	124	Contract size encoded with 8 decimal places (added in version 1.5 of this UDP Market Data API specification document)
LogicalExpiry	LogicalExpiry	8	132	Contract expiration `1-2`: year `3-4`: month `5-6`: weekOfMonth `7-8`: dayOfMonth
FundingIntervalMinutes	int32	4	140	Time in minutes between funding periods
FairValueLimit	int32	4	144	Level up and down from fair value determining fair value limits
HaltReason	uint8	1	148	(Optional) Halt reason: `1` - Scheduled `2` - Price Fluctuation Event `3` - System Disruption `4` - FAST_MARKET_EVENT Null value = `255`

Start of Spread Instrument Snapshot

Start Of Spread Instrument Snapshot (111)	Type	Length	Offset	Description
SnapshotSeqNum	uint16	2	10	Sequence number of message within snapshot
LastInstrSeqNum	uint32	4	12	Snapshot incorporates all incremental messages with instrSeqNum up and including this value
Symbol	char24	24	16	Instrument name or symbol
ProductCode	char8	8	40	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	48	Instrument name
PriceIncrement	int64	8	80	Minimum constant tick for instrument, encoded with 9 decimal places
CfiCode	char8	8	88	ISO standard instrument categorization code
Currency	char8	8	96	Currency used for price
ProductId	int32	4	104	Product identifier
OldContractSize	int32	4	108	Contract size encoded with 0 decimal places (deprecated from version 1.5 of this UDP Market Data API specification document)
OrderCount	int32	4	112	Number of orders in snapshot
FirstTradingSessionDate	uint16	2	116	Days since Unix epoch
LastTradingSessionDate	uint16	2	118	Days since Unix epoch
TradingSessionDate	int16	2	120	Days since Unix epoch
ProductGroup	uint8	1	122	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	123	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	124	Instrument identifier for near leg
Leg2InstrumentId	int32	4	128	Instrument identifier for far leg
SpreadBuyConvention	int8	1	132	`1` - Use far leg as bid `-1` - Use near leg as bid
LogicalExpiry	LogicalExpiry	8	133	Contract expiration `1-2`: year `3-4`: month `5-6`: weekOfMonth `7-8`: dayOfMonth
HaltReason	uint8	1	141	(Optional) Halt reason: `1` - Scheduled `2` - Price Fluctuation Event `3` - System Disruption `4` - Fast Market Event Null value = `255`

Start of Option Instrument Snapshot

Start Of Option Instrument Snapshot (112)	Type	Length	Offset	Description
SnapshotSeqNum	uint16	2	10	Sequence number of message within snapshot
LastInstrSeqNum	uint32	4	12	Snapshot incorporates all incremental messages with instrSeqNum up and including this value
Symbol	char24	24	16	Instrument name or symbol
ProductCode	char8	8	40	Code of underlying product/asset. Example: TEC (Nano SuperTech Fut)
Description	char32	32	48	Instrument name
SmallTick	int64	8	80	Small tick size, encoded with 9 decimal places
CfiCode	char8	8	88	ISO standard instrument categorization code
LargeTick	int64	8	96	Large tick size, encoded with 9 decimal places
LargeTickThreshold	int64	8	104	Large tick size applies if price is >= this threshold price, encoded with 9 decimal places
StrikePrice	int64	8	112	Strike price, encoded with 9 decimal places
ProductId	int32	4	120	Product identifier
UnderlyingInstrumentId	int32	4	124	Instrument id of the underlying outright contract
OrderCount	int32	4	128	Number of orders in snapshot
FirstTradingSessionDate	uint16	2	132	Days since Unix epoch
LastTradingSessionDate	uint16	2	134	Days since Unix epoch
TradingSessionDate	int16	2	136	Days since Unix epoch
ProductGroup	uint8	1	138	`0` - Currency `1` - Equity `2` - Energy `3` - Metals `4` - Interest Rate `5` - Agriculture `6` - Crypto
TradingStatus	uint8	1	139	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	140	Bitset: `0x01` - isPriorSettlementTheoretical `0x02` - isAnnounced `0x04` - isCall (applicable for options) `0x08` - isStrikeDelisted
OptionExpiryType	int8	1	142	Option expiry type: `0` - Weekly `1` - Monthly
LogicalExpiry	LogicalExpiry	8	143	Contract expiration `1-2`: year `3-4`: month `5-6`: weekOfMonth `7-8`: dayOfMonth
HaltReason	uint8	1	151	(Optional) Halt reason: `1` - Scheduled `2` - Price Fluctuation Event `3` - System Disruption `4` - Fast Market Event Null value = `255`

Order Snapshot

Order Snapshot (120)	Type	Length	Offset	Description
SnapshotSeqNum	uint16	2	10	Sequence number of message within snapshot
SignedQuantity	int32	4	12	Signed quantity with 0 decimal places. Positive value = buy; negative value = sell
TransactTime	int64	8	16	Event timestamp - nanoseconds since Unix epoch
OrderId	int64	8	24	Unique identifier for order
Price	int64	8	32	Price encoded with 9 decimal places

End of Snapshot

End Of Snapshot (122)	Type	Length	Offset	Description
SnapshotSeqNum	uint16	2	10	Sequence number of message within snapshot
TradeVolume	int32	4	12	Total day traded volume for instrument as of the last trade in message
IndicativeOpenPrice	int64	8	16	Price encoded with 9 decimal places
DayOpenPrice	int64	8	24	Price encoded with 9 decimal places
ClosePrice	int64	8	32	Price encoded with 9 decimal places
LowPrice	int64	8	40	Price encoded with 9 decimal places
HighPrice	int64	8	48	Price encoded with 9 decimal places
VwapPrice	int64	8	56	Volume weighted average price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
SettlementPrice	int64	8	64	Price encoded with 9 decimal places
LastTradePrice	int64	8	72	Price encoded with 9 decimal places
LastTradeTime	int64	8	80	Nanoseconds since Unix epoch
BestBidImpliedPrice	int64	8	88	First level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
BestAskImpliedPrice	int64	8	96	First level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
NextBidImpliedPrice	int64	8	104	Second level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
NextAskImpliedPrice	int64	8	112	Second level implied price encoded with 9 decimal places. Null price encoded as `0x8000000000000000`
LimitDownPrice	int64	8	120	Minimum price that an instrument may currently trade at
LimitUpPrice	int64	8	128	Maximum price that an instrument may currently trade at
LastTradeQty	int32	4	136	Quantity encoded with 0 decimal places
OpenInterest	int32	4	140	The total open interest for the market at the close of the prior trading session
BestBidImpliedQty	int32	4	144	First level implied quantity encoded with 0 decimal places
BestAskImpliedQty	int32	4	148	First level implied quantity encoded with 0 decimal places
NextBidImpliedQty	int32	4	152	Second level implied quantity encoded with 0 decimal places
NextAskImpliedQty	int32	4	156	Second level implied quantity encoded with 0 decimal places
PriorSettlementPrice	int64	8	160	Price encoded with 9 decimal places
InstrumentDefinitionFlags	uint16	2	168	”Bitset: `0x01`- isPriorSettlementTheoretical `0x02` - isAnnounced `0x04` - isCall (applicable for options) `0x08` - isStrikeDelisted `0x10` - fundingRateApplicable”
FinalFundingRate	int64	8	170	Final funding rate encoded with 9 decimal places. Null value encoded as `0x8000000000000000`
FinalFuturesMarkPrice	int64	8	178	Final futures mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`
FinalFundingRateTimestamp	int64	8	186	Timestamp when funding rate becomes final - nanoseconds since Unix epoch. Null value encoded as `0x8000000000000000`
FuturesMarkPrice	int64	8	194	Futures mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`
PredictedFundingRate	int64	8	202	Predicted funding rate encoded with 9 decimal places. Null value encoded as `0x8000000000000000`
SpotMarkPrice	int64	8	210	Spot mark price encoded with 9 decimal places. Null value encoded as `0x8000000000000000`
FairValue	int64	8	218	Fair value encoded with 9 decimal places. Null value encoded as `0x8000000000000000`

End of Cycle

End Of Cycle (124)	Type	Length	Offset	Description
ActiveInstrumentCount	int32	4	10	Total number of instruments sent in snapshot cycle

REST API Overview

REST Endpoints

FIX

SBE

UDP

Start of Outright Instrument Snapshot

Start of Spread Instrument Snapshot

Start of Option Instrument Snapshot

Order Snapshot

End of Snapshot

End of Cycle

​Start of Outright Instrument Snapshot

​Start of Spread Instrument Snapshot

​Start of Option Instrument Snapshot

​Order Snapshot

​End of Snapshot

​End of Cycle

Start of Outright Instrument Snapshot

Start of Spread Instrument Snapshot

Start of Option Instrument Snapshot

Order Snapshot

End of Snapshot

End of Cycle