Trades
Trade Summary (30)
This message is sent when a taker order matches against one or more maker/resting orders, followed by one or more Trade messages.| Field | Name | Type | Length | Description |
|---|---|---|---|---|
| 1 | instrumentId | int64 | 8 | Numeric instrument ID |
| 2 | takerOrderId | int64 | 8 | Unique identifier for the taker order |
| 3 | totalFilledMantissa | QuantityMantissa | 8 | Total amount filled (by the taker order) |
| 4 | deepestPrice | Price9 | 8 | Deepest price in book matched by taker order |
| 5 | markPrice | Price9 | 8 | Mark price at the time of the block trade |
| 6 | indexPrice | Price9 | 8 | Index price at the time of the block trade |
| 7 | tradeCount | int32 | 4 | Number of Trade messages that will follow this message |
| 8 | takerFlags | uint32 | 4 | Attributes of taker order, defined below |
| Bit number (from last to first) | Name | Description |
|---|---|---|
| 1 | isSell | 0=Buy1=Sell |
| 2 | Reserved for future use | |
| 3 | Reserved for future use | |
| 4 | Reserved for future use | |
| 5 | Reserved for future use | |
| 6 | Reserved for future use | |
| 7 | Reserved for future use | |
| 8 | Reserved for future use |
Trade (31)
This message is sent for each matched order (including implied orders) and synthetic leg for trades on combo instruments.| Field | Name | Type | Length | Description |
|---|---|---|---|---|
| 1 | matchId | int64 | 8 | Unique identifier of the trade |
| 2 | instrumentId | int64 | 8 | Numeric instrument ID |
| 3 | makerOrderId | int64 | 8 | Unique identifier for the resting order. In case of implied order or synthetic leg of a combo trade, encoded as 0x8000000000000000 |
| 4 | amount | QuantityMantissa | 8 | Amount that was matched |
| 5 | price | Price9 | 8 | Price at which the match occurred |
| 6 | makerFlags | uint32 | 4 | See table above |
Block Trades
Block Trade (33)
This message is sent for each individual trade in a block trade. MultipleBlock Trade messages belonging to the same block trade event are grouped as a transaction via the startOfTransaction and endOfTransaction flags in the message header. A block trade event is per instrument: a multi-leg block trade generates one transaction per leg. For example, a Block RFQ with 3 legs where the taker trades against 2 makers produces 3 transactions, each containing 2 Block Trade messages. Block RFQ trades include a blockRfqId; standard block trades omit it.
| Field | Name | Type | Length | Description |
|---|---|---|---|---|
| 1 | matchId | int64 | 8 | Unique identifier of the block trade fill |
| 2 | instrumentId | int64 | 8 | Numeric instrument ID |
| 3 | blockTradeId | int64 | 8 | Per-fill block trade identifier assigned by the matching engine |
| 4 | blockRfqId | int64 | 8 | Block RFQ identifier; absent (null value) for standard block trades, present for Block RFQ trades |
| 5 | fillQtyMantissa | QuantityMantissa | 8 | Fill quantity |
| 6 | fillPrice | Price9 | 8 | Price at which the block trade occurred |
| 7 | markPrice | Price9 | 8 | Mark price at the time of the block trade |
| 8 | indexPrice | Price9 | 8 | Index price at the time of the block trade |
| 9 | impliedVolatility | double | 8 | Implied volatility; absent (null value) for non-option instruments |
| 10 | takerFlags | uint32 | 4 | Attributes of the taker side; see flags table in Trades section above |
| 11 | numberOfLegs | uint16 | 2 | Total number of legs in the block trade structure |