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Record Type 3 Messages

Specifications for Digital Data Feed: Record Type 3 Messages
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Message Definitions
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Record Type 3 Messages
September 1, 2017 - Download as .txt file
Market Depth: Record type <3>, Sub-Record <B>ook
<soh>3<symbol>,B<stx><base><exchange ID><#bid><#ask>,<price*size><etx>
exchange ID:1 = exchange header
#bid:1 = # of bid prices in book
#ask:1 = # of ask prices in book
price*size:v = price*size block for each book elements
Note: up to a max of 20 price*size blocks, comma separated in the book.
The "*" determines the position.
A-J is ask #10 thru ask #1; K-T is bid #1 thru bid #10
Note: Market Depth is available on the DDF+ realtime feed only. There are separate exchange subscriber fees for this product.
End-of-Day Summaries: Record type <3>, Sub-Records S, C, I, and T.
Sub-Record <S> end-of-day stock and forex prices and volume
Sub-Record <C> end-of-day commodity prices
Sub-Record <I> yesterday commodity ind vol & open int.
Sub-Record <T> yesterday commodity composite vol & open int.
End-of-day stock and forex prices and volume
<soh>3<symbol>,S<stx><base><exchange ID><reserved><reserved>,<date>,<open>,<high>,<low>,<last>,<volume><etx>
End-of-day commodity prices
<soh>3<symbol>,C<stx><base><exchange ID><reserved><reserved>,<date>,<open>,<high>,<low>,<last><etx>
Yesterday's commodity individual vol & open int.
<soh>3<symbol>,I<stx><base><exchange ID><reserved><reserved>,<date>,<volume>,<open int><etx>
Yesterday's commodity total vol & open int.
<soh>3<commodity code>,T<stx><base><exchange ID><reserved><reserved>,<date>,<volume>,<open int><etx>
  • soh:1 = start of header
  • symbol:v = exchange symbol; v indicates variable length field;
  • commodity code:v = commodity code
  • stx:1 = start of text
  • base:1 = base code for quote
  • exchange ID:1 = exchange identifier
  • reserved:1 = reserved for compatibility
  • date:10 = data date mm/dd/yyyy (month,day,year)
  • etx:1 = end of text
open, high, low, last, open int, and volume are variable length fields.