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Record Type S Messages

Specifications for Digital Data Feed: Record Type S Messages
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Message Definitions
Symbology
Record Type S Messages
September 1, 2017 - Download as .txt file
Record Type S Messages are used exclusively for futures and futures options exchange traded spreads. Spreads will follow the basic same characteristics as regular futures and utilize the same messages with minor adjustments.
Spreads can be a combination of Futures or Futures Options contracts. Futures Symbols will be the same as regular futures contracts. Futures Options will use the Extended Futures Options Symbology.
CCCMY|SSSSSC or CCCMY|SSSSSP
Example: JAOV7|10050P
Up to 12 bytes, where CCCMY is the futures symbol.
CCC - commodity code, M - month, Y - year
| - delimiter
SSSSS is the strike price, left justified, zero padded to the right.
C = Call, P = Put
For all Sub-Record types spreads will always start
<soh>s<symbol1>,<sub-record><stx><base><exchange ID><delay time><spread type> <nolegs><symbol2>,<symbol3>,<symbol4>,
  • soh:1 = start of header
  • symbol1:v = 1st spread symbol; v indicates variable length field;
  • stx:1 = start of text
  • base:1 = base code for quote
  • exchange ID:1 = exchange identifier
  • delay time:2 = exchange requirement for delayed data
  • spread type: 2 = spread type.
  • nolegs: 1 = no of legs of spread
  • symbol2:v = 2nd spread symbol
  • symbol3:v = 3rd spread symbol (if applicable - see nolegs)
  • symbol4:v = 4th spread symbol (if applicable - see nolegs)
After the total number of symbols, determined by nolegs, there will be a comma before the price information begins, this is different from the regular processing of Sub-Records 0,5,7,8,A which do not currently have a comma before the price information, but the same for Sub-Records 1,2,3,4,6 which do have a comma before the price information.
Below are the specifications for the rest of the messages which are the same defined above for Record Type 2 messages.
Sub-Record: 0,5
<price>,<element><modifier><day/session><etx>
Sub-Record: 7
<price>,<size>,<day/session><etx>
Sub-Record: 8
<bid>,<size>,<ask>,<size>,<day/session><etx>
Sub-Record: A
<bid>,<size>,<ask>,<size>,<price>,<size>,<cumulative vol>,<day/session><etx>
Sub-Record: 1,2,3,4,6
<open>,<high>,<low>,<last>,<bid>,<ask>,<open2>,<prev>,<close>,<close2>,<settle>,<prev volume>,<prev open int>,<cur volume>,<day/session><etx>