Description
The CHX Book Feed Interface Specification
Version 1.10, Revised 06/15/2015
SNAP is pending regulatory approval by the Securities and Exchange Commission and is not currently available for use.
This document is purely informational and are not CHX Rules. CHX is under no obligation to maintain this document or to
provide notice of any changes through this document. This document is subject to additional disclaimers, as noted below.
For the most up to date information, please refer to CHX Rules, Rule 19b-4 filings and Legal Notices.
. The CHX Book Feed Interface Specification
Revision History
Date/Version
10/11/2007
v 1.00
Initials
JAC
Revision
Initial document
Clarified that a single TCP/IP connection will handle the Retransmission message
requests, responses, and retransmitted Book Feed messages. Also added note that idle
connections would be disconnected after 10 minutes.
10/23/2007
v 1.01
10/25/2007
v 1.02
11/29/2007
v 1.03
06/18/2008
v 1.04
08/04/2009
v 1.05
01/28/2010
v 1.06
JAC
JAC
Retransmission message changes:
 Retransmission Session Control and Recovery messages use the
Retransmission Message Header.
 SOURCE_ID moved from Retransmission Message Header to Recovery
messages.
 Retransmission Request Start Sequence Number has same length as End
Sequence Number.
 Dropped Subscriber Transmission Request Number from Retransmission
Request Response message.
 Dropped Retransmission Heartbeat messages.
Retransmission message changes:
 Removed obsolete references to Retransmission Heartbeat Message and
Subscriber Transmission Request Number.
 Fixed Retransmission message offsets
 Removed idle Book Feed Recovery connection disconnect.
RJG
Added bandwidth information
JAC
Stock Event message changes. Eliminated Stock Open and Stock Close. Added Stock
Resume.
JAC
Updated Retransmission Request Response comments.
JAC
Updated Cross Trade Message Types: Early Session and Extended Session added;
Opening Cross eliminated.
Updated trading day hours and trading sessions.
Fixed Trade Reference ID offset in Delete Trade message.
04/12/2011
v 1.07
JAC
Note 1: The price included in the Add Order, Execute Order, Modify Order, and Delete
Order message is the order’s display price.
Note 2: Subscribers can use the Book Feed to identify the displayable orders at each
price point in the CHX Matching System.
The ability to identify the priority of each order is no longer supported. 09/17/2012 v 1.08 10/23/2012 v 1.09 06/15/2015 v 1.10 Print Date: 7/8/15 1:11 PM JAC JAC Increased bandwidth requirement from 1.5 Mb/sec to 5.0 Mb/sec. Updated comments on the Trade Reference ID of the Delete Trade message. Added Trade Reference ID to the Data Types section. Updated for SNAP Auctions JAC Added StockEvents: SNAP Auction begins & SNAP Auction ends. Removed StockEvents: Stock Halted & Stock Resumed CHX Proprietary and Confidential Page 1 (17 . The CHX Book Feed Interface Specification Disclaimer The Chicago Stock Exchange, Inc. (CHX) Book Feed Specification is an informational document, which has been produced for the purpose of assisting subscribers with developing or operating systems that interact with CHX systems. This specification is proprietary and CHX reserves the right to withdraw, modify, or replace this specification at any time and without notice. No obligation is made by CHX regarding the level, scope or timing of CHX’s implementations, functionality or features discussed in this specification. This specification does not constitute a contract, or an offer to enter into a contract, between the Exchange and any other person or entity, including the Exchange’s participants.
This specification is “as is”, “with all faults” and CHX makes no warranties and disclaims all warranties, express, implied or statutory related to this specification and to the operation of CHX systems. CHX is not liable for any consequential, incidental, or indirect damages relating to the specification or its use. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 . The CHX Book Feed Interface Specification Table of Contents 1. Introduction ................................................................................................................................................................... 1 2. Bandwidth ..................................................................................................................................................................... 1 3. Session ......................................................................................................................................................................... 1 4. Data Types ...................................................................................................................................................................
1 4.1 Alpha ............................................................................................................................................................................ 1 4.1.1 Order Reference ID ........................................................................................................................................... 1 4.1.2 Symbol ...............................................................................................................................................................
1 4.2 4.2.1 4.3 4.3.1 Numeric........................................................................................................................................................................ 1 Trade Reference ID ........................................................................................................................................... 2 Prices ...........................................................................................................................................................................
2 Denominator Code Table .................................................................................................................................. 2 4.4 Timestamps ................................................................................................................................................................. 2 5. Message Formats.........................................................................................................................................................
3 5.1 Multicast Message Header .......................................................................................................................................... 3 5.2 Session Messages ....................................................................................................................................................... 4 5.2.1 Heartbeat Message ...........................................................................................................................................
4 5.2.2 Transmission Sequence Number Reset Message ............................................................................................ 4 5.3 Event Messages .......................................................................................................................................................... 4 5.3.1 System Event Message .....................................................................................................................................
4 5.3.2 Stock Event Message ........................................................................................................................................ 5 5.4 Order Messages .......................................................................................................................................................... 5 5.4.1 Add Order Message ..........................................................................................................................................
5 5.4.2 Execute Order Message .................................................................................................................................... 6 5.4.3 Modify Order Message ...................................................................................................................................... 7 5.4.4 Delete Order Message ......................................................................................................................................
7 5.5 Trade Messages .......................................................................................................................................................... 8 5.5.1 Match Trade Message ....................................................................................................................................... 8 5.5.2 Cross Trade Message .......................................................................................................................................
9 5.5.3 Delete Trade Message ...................................................................................................................................... 9 5.6 Retransmission Message Header ............................................................................................................................. 10 5.7 Retransmission Session Control Messages ..............................................................................................................
10 5.7.1 Login Request Message .................................................................................................................................. 10 5.7.2 Login Accepted Message ................................................................................................................................ 11 5.7.3 Login Reject Message .....................................................................................................................................
11 5.7.4 Logoff Request Message ................................................................................................................................ 11 5.8 5.8.1 Recovery Messages .................................................................................................................................................. 11 Retransmission Request Message..................................................................................................................
11 Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 3 (17 . The CHX Book Feed Interface Specification 5.8.2 Retransmission Request Response Message ................................................................................................ 12 Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 . The CHX Book Feed Interface Specification 1. Introduction The CHX Book Feed is a real-time multicast distribution of the CHX Matching System order activity for subscribers who want a fast, comprehensive view of the displayable liquidity at the CHX. System Event, Stock Event, and some trade activity messages are also provided for subscribers interested in a more extensive view of Matching System activity. This document contains the technical specifications for the CHX Book Feed Interface. 2. Bandwidth Given existing messaging levels, bandwidth of 5.0 Mb/sec should be adequate and provide headroom for growth.
Book Feed subscribers should note that messaging rates and therefore adequate bandwidth are subject to change without notice from CHX. Book Feed subscribers are solely responsible for monitoring, determining and acquiring adequate bandwidth to meet subscriber needs. 3. Session The CHX Book Feed will be distributed via multiple multicast groups.
Primary and secondary feeds will be provided to improve message reliability. Subscribers will be allowed to request a retransmission of missed messages. The Message Recovery Request message will be sent to CHX via a TCP/IP connection. The retransmitted messages will be delivered to the subscriber through the same TCP/IP connection. The CHX Book Feed will start distributing data at the beginning of the CHX trading day and will stop distributing data at the end of the CHX trading day.
Typically, this will be 6:00 AM to 4:30 PM CT (Central Time). The CHX Book Feed messages will be generated during the Early, Regular, Extended, and Late Trading Sessions. Each CHX Book Feed message will have a Common Message Header. This header will contain a Source ID and Transmission Sequence Number which will uniquely identify each new message. Each trading day the Transmission Sequence Number will start at one (1) and will increment by one (1) for each new message. Session Control messages, like the Heartbeat message, do not increment the Transmission Sequence number. 4.
Data Types 4.1 Alpha Alpha fields are ASCII, left justified and NUL (ASCII 0) padded. The values will be limited to the standard printable ASCII characters found in the range 0 – 127. 4.1.1 Order Reference ID An Order Reference ID is assigned to each order. This ID will be unique for the day. Order senders using the DAS (Direct Access Server) interface will be able to link the Order ID on their Execution Reports with the Order Reference ID found on the Book Feed messages.
For example, an Execution Report Order ID might be MEL01:242:1:20071004 and the Order Reference ID on the Book Feed message would be MEL01:242:1. 4.1.2 Symbol Stock Symbol (and Suffix) are right padded with spaces. Symbol and Suffix are formatted as Symbol.Suffix 4.2 Numeric All numeric data will be in binary format. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 1 (17 . The CHX Book Feed Interface Specification Please note that different machine architectures may store data using different byte orders; i.e., Big Endian vs. Little Endian. The CHX Book Feed will provide binary data in Big Endian order which is the network standard. 4.2.1 Trade Reference ID A Trade Reference ID is assigned to each trade. This ID will be unique for the day. The Trade Reference ID is an array of bytes.
For display purposes, it can be converted to a hex string, e.g., "34531B7000001500E50F2A4B”. 4.3 Prices All prices will be in binary format. Prices are represented as whole integers. The decimal price can be determined by dividing the price by the Denominator Code. The Denominator Code is a one character alpha field.
The following table shows the allowable Denominator Code values. 4.3.1 Denominator Code Table Denominator Code Value Value as power of 10 0 N/A N/A 1 10 10^1 2 100 10^2 3 1,000 10^3 4 10,000 10^4 5 100,000 10^5 6 1,000,000 10^6 Examples: • Price is 1234 and the Denominator Code is 2. The decimal price = 1234 divided by 100 = 12.34. • Price is 123 and the Denominator Code is 1. The decimal price = 123 divided by 10 = 12.3 or 12.30. • Price is 12 and the Denominator Code is 0.
The denominator code is 0, no division is necessary. The decimal price = 12 or 12.00. 4.4 Timestamps Timestamps will be in binary format. Time will be represented as the number of milliseconds past midnight GMT (Greenwich Mean Time). CHX Book Feed Algorithm for Time: (((Hours x Seconds/hour) + (minutes x seconds/minute) + seconds) x 1000) + milliseconds Example: 12:34:56.789 GMT will be converted by the CHX Book Feed to (((12 x 3600) + (34 x 60) + 56) x 1000) + 789 = 45,296,789. Client Algorithm for Time: Combined Time/1000 = Seconds Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 .
The CHX Book Feed Interface Specification Example: 45296789/1000 = 45296.789. The number before the decimal (e.g. 45296) is the time in seconds. The number after the decimal (e.g.
.789) is the millisecond time. 5. Message Formats 5.1 Multicast Message Header All of the CHX Book Feed multicast messages contain a Multicast Message Header. The header contains the Message Length, Message Type, Message Version, Source ID, Transmission Sequence Number, Message Code, and Timestamp. The Message Version will allow subscribers to upgrade to future upgrades of the CHX Book Feed at their own convenience. The Timestamp is in GMT (Greenwich Mean Time). Name Offset Length Data Type Comments Message Length 0 2 Numeric Message length including the Multicast Message Header length. Message Type 2 1 Numeric 10 = Heartbeat Message – multicast 20 = Transmission Sequence Number Reset Message 30 = System Event Message 31 = Stock Event Message 40 = Add Order Message 41 = Execute Order Message 42 = Delete Order Message 43 = Modify Order Message 50 = Match Trade Message 51 = Cross Trade Message 52 = Delete Trade Message Message Version 3 1 Alpha Message Version Number.
Currently only version 1 is supported. Source ID 4 1 Numeric Book Feed Source identifier Transmission Sequence Number 5 4 Numeric Transmission level sequence number. Message Code 9 1 Alpha ‘0’ = Original message. ‘1’ = Retransmitted message 10 4 Timestamp See Timestamps in the Data Types section. Timestamp Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 3 (17 . The CHX Book Feed Interface Specification 5.2 Session Messages 5.2.1 Heartbeat Message The Heartbeat message is sent to all subscribers on a 1 second interval. Name Offset Message Header Length 0 Data Type 14 Comments See Multicast Message Header. 5.2.2 Transmission Sequence Number Reset Message The Transmission Sequence Number Reset Message will be sent when a Transmission Sequence Number gap has occurred. This message may be sent as the result of a system problem which requires resetting the current Transmission Sequence Number or when the Transmission Sequence Number has reached its maximum value and needs to be rolled over to its minimum value. Name Offset Message Header Next Transmission Sequence Number Length 0 14 14 4 Data Type Comments See Multicast Message Header. Numeric Next Transmission Sequence Number expected. 5.3 Event Messages 5.3.1 System Event Message The System Event message is sent to notify the CHX Book Feed subscribers of CHX System events. The Start of Day System Event will be the first CHX Book Feed message sent each day. The End of Day System Event will be the last CHX Book Feed message sent each day. The CHX System Problem System Event will notify the subscriber that CHX is experiencing technical difficulties. The CHX System Problem Cleared System Event will notify the subscriber that technical problems have been resolved and the CHX Systems are operating normally. Subscribers are encouraged to sign up for email notifications about the system status of the Chicago Stock Exchange. See Trading Information + Trading Updates + System Status at www.chx.com Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 4 (17 . The CHX Book Feed Interface Specification Name Offset Message Header Event Code Length 0 14 14 1 Data Type Comments See Multicast Message Header. Alpha ‘S’ = Start of Day ‘E’ = End of Day ‘P’ = CHX System Problem ‘C = CHX System Problem Cleared 5.3.2 Stock Event Message The Stock Event message is sent to notify the CHX Book Feed subscribers of stock specific events. A Stock Event message will be sent whenever a SNAP Auction has started and when the SNAP Auction has ended. Name Offset Message Header Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Event Code 22 1 Alpha ‘B’ = SNAP Auction begins ‘E’ = SNAP Auction ends 5.4 Order Messages 5.4.1 Add Order Message The Add Order message is sent whenever a new order has been accepted, inserted into the book and is displayable by the Matching System. The following orders will NOT be included in the order messages that are part of the CHX Book Feed: • • • • • • Rejected Orders Incoming orders which match entirely Incoming orders which partially match and the remainder of the order is cancelled Undisplayed orders Undisplayed portion of reserve orders Cross orders Matched orders which involve a resting undisplayed order and cross orders will be reflected in the CHX Book Feed as trade messages (see below). All displayable odd lot, round lot and mixed lot orders will be included in the CHX Book Feed. The CHX displayed quote at the SIAC or NASDAQ SIP may or may not contain the entire quantity of the odd lot and mixed lot orders. The Matching System aggregates all displayable orders at the top of book price point, then rounds the total down to the nearest round lot quantity before sending the CHX quote to SIAC or the NASDAQ SIP (CQS, UQDF). For example, if the Matching System has an odd lot order for 25 shares, a round lot for 200, and a mixed lot order for 125 at the top of the book, the Matching System will only quote 300 shares of the 350 shares.
If subscribers want to reconcile the CHX Book Feed with the CHX displayed quote, they will need to replicate the order display logic described above. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 5 (17 . The CHX Book Feed Interface Specification Each Order Sender’s Trading Account will be configured to specify whether by default they want their orders to be attributed or anonymous in the CHX Book Feed. The Trading Account attribution setting can be overridden on each individual order. Please refer to the CHX FIX Specification or CHX DAS Specification for more information on setting anonymity on an order by order basis. Name Message Header Offset Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Total number of shares added to the book. Price 46 4 Price The display price for the order. Price Denominator Code 50 1 Alpha See Denominator Code Table. Side 51 1 Alpha ‘B’ = Buy Order ‘S’ = Sell Order Attributed 52 4 Alpha If the order is attributed the Attributed field will contain the original Trading Account ID; otherwise if the order is anonymous the field will contain ‘ANON’. 5.4.2 Execute Order Message The Execute Order message is sent whenever a displayed order in the Matching System is executed. The Book Feed subscriber may receive multiple execute order messages for any order in the Matching System. Name Message Header Offset Length Data Type Comments 0 14 Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Total number of shares executed. Price 46 4 Price The display price of the order. Price Denominator Code 50 1 Alpha See Denominator Code Table Print Date: 7/8/15 1:11 PM See Multicast Message Header. CHX Proprietary and Confidential Page 6 (17 .
The CHX Book Feed Interface Specification Name Side Offset Length 51 1 Data Type Alpha Comments ‘B’ = Buy Order ‘S’ = Sell Order Trade Reference ID 52 12 Numeric If the resting order was matched, this field will contain the Trade Reference ID assigned to the trade. Trade Price 64 4 Numeric Price of Execution. Trade Price Denominator Code 68 1 Alpha See Denominator Code Table 5.4.3 Modify Order Message The Modify Order message is sent whenever an order in the Matching System is modified without changing its priority in the Matching System. This typically occurs if the order was cancel changed to reduce volume. The Modify Order message contains a New Order Reference ID and an Original Order Reference ID. Any future activities on this order will be referenced by the New Order Reference ID. Name Message Header Offset Length Data Type Comments 0 14 Stock 14 8 Alpha See Symbol in Data Types section Original Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Shares remaining on the original order before change Price 46 4 Price The display price of the order. 50 1 Alpha See Denominator Code Table 51 1 Alpha ‘B’ = Buy Order Price Denominator Code Side See Multicast Message Header. ‘S’ = Sell Order New Order Reference ID 52 20 New Shares 72 4 Alpha See Order Reference ID in Data Types section Numeric New shares for order 5.4.4 Delete Order Message The Delete Order message is sent whenever a Matching System displayed order is removed from the book. Typically this is the result of an order being completely canceled. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 7 (17 .
The CHX Book Feed Interface Specification An order can be deleted as the result of a cancel request, a cancel/change request, an order expiration, a regulatory trading halt (if the order has been identified as a cancel on halt order), or a CHX system halt. Name Offset Message Header Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Number of shares canceled Price 46 4 Price The display price of the deleted order. Price Denominator Code 50 1 Alpha See Denominator Code Table. Side 51 1 Alpha ‘B’ = Buy Order ‘S’ = Sell Order 5.5 Trade Messages Trade messages are sent as the result of matched order activity which involves a resting undisplayed order or as the result of cross activity. Trade messages are not required to maintain a copy of the Matching System book; i.e., subscribers can maintain a copy of the Matching System book by processing only the CHX Book Feed order messages. Trade messages allow subscribers to reconcile some differences between time-and-sales information and the CHX Book Feed messages as the trade messages include some executions of undisplayed orders which are not included in the CHX Book Feed. Note: Although trades that occur during a SNAP Auction will be reported to SIAC/SIP, they will not be reported on the CHX Book Feed. 5.5.1 Match Trade Message The Match Trade message is sent whenever a resting undisplayed order is matched in the Matching System. Multiple Match Trade messages may be received for orders which are executed in parts. Order matches can involve odd lot orders, the odd lot portion of mixed lot orders, undisplayed orders, or the undisplayed portion of a reserve order. The Match Trade message will only be sent for the resting order of the match trade. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 8 (17 . The CHX Book Feed Interface Specification Name Message Header Offset Length 0 14 Stock 14 8 Trade Reference ID 22 Shares Data Type Comments See Multicast Message Header. Alpha See Symbol in Data Types section 12 Numeric See Trade Reference ID in Data Types section. 34 4 Numeric Number of shares. Price 38 4 Price Price of the trade. Price Denominator Code 42 1 Alpha See Denominator Code Table. 5.5.2 Cross Trade Message The Cross Trade message is sent whenever a cross order is executed in the Matching System. Name Message Header Offset Length 0 14 Stock 14 8 Trade Reference ID 22 Shares Data Type Comments See Multicast Message Header. Alpha See Symbol in Data Types section 12 Numeric See Trade Reference ID in Data Types section. 34 4 Numeric Number of shares. Price 38 4 Price Price of the trade. Price Denominator Code 42 1 Alpha See Denominator Code Table. Type 43 1 Alpha ‘E’ = Early Session Cross ‘I’ = Regular Session Cross ‘T’ = Extended Session Cross ‘C’ = Late Session Cross 5.5.3 Delete Trade Message The Delete Trade message is sent whenever a Matching System trade is ‘busted’ at the CHX. The Trade Reference identifies the original trade in case cumulative calculations maintained by the subscriber such as Daily High and Low, Daily Volume, or Historical Time-and-Sales need to be adjusted. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 9 (17 . The CHX Book Feed Interface Specification Name Offset Message Header Length 0 14 Stock 14 8 Trade Reference ID 22 12 Data Type Comments See Multicast Message Header. Alpha Numeric See Trade Reference ID in Data Types section. 5.6 Retransmission Message Header All of the CHX Book Feed Retransmission messages contain a Retransmission Message Header. The header contains the Message Length, Message Type, Message Version, and Timestamp. The Message Version will allow subscribers to upgrade to future upgrades of the CHX Book Feed at their own convenience. Currently, there is only one version of the CHX Book Feed. The Timestamp is in GMT (Greenwich Mean Time). Name Offset Length Data Type Comments Message Length 0 2 Numeric Message length including the Multicast Message Header length. Message Type 2 1 Numeric 1 = Login Request Message 2 = Login Accepted Message 3 = Login Rejected Message 4 = Logoff Request Message 60 = Retransmission Request Message 61 = Retransmission Request Response Message Message Version 3 1 Alpha Message Version Number. Currently only version 1 is supported. Timestamp 4 4 Timestamp See Timestamps in the Data Types section. 5.7 Retransmission Session Control Messages Session Control messages are used to maintain the CHX Book Feed retransmission connection.
Session Control messages do not update the Transmission Sequence Number and will not be retransmitted. 5.7.1 Login Request Message The Login Request message is sent by the CHX Book Feed subscriber to start the retransmission TCP/IP session. If a Login Request message is not received within 30 seconds of the initial connection, a Login Reject message will be sent. If the Login Request does not contain the correct Message Version in the Multicast Message Header, a Login Reject message will be sent. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 10 (17 . The CHX Book Feed Interface Specification Name Offset Length Message Header 0 8 Logon ID 8 4 Data Type Comments See Retransmission Message Header. Alpha Subscriber identifier. 5.7.2 Login Accepted Message The Login Accepted message is sent to the subscriber to acknowledge a successful login. The Login Accepted message contains only the message header. 5.7.3 Login Reject Message The Login Reject message is sent to the subscriber in response to an invalid Login Request message or a login timeout. The Reject Reason Code field will explain why the Login Request was rejected. The Login Reject will cause the CHX Book Feed connection to be closed. Name Offset Length Message Header 0 8 Reject Reason Code 8 1 Data Type Comments See Retransmission Message Header Alpha ‘V’ = Invalid Version Number ‘T’ = Connection Timeout 5.7.4 Logoff Request Message The Logoff Request message is sent by the subscriber to end a session and disconnect from the CHX Book Feed. The Logoff Request message contains only the message header. 5.8 Recovery Messages 5.8.1 Retransmission Request Message The Retransmission Request message is sent by the subscriber whenever messages need to be recovered. Name Offset Length Data Type Comments Message Header 0 8 Source ID 8 1 Numeric Book Feed Source identifier Start Sequence Number 9 4 Numeric First message requested in the retransmission sequence. End Sequence Number 13 4 Numeric Last message requested in the retransmission sequence Print Date: 7/8/15 1:11 PM See Retransmission Message Header. CHX Proprietary and Confidential Page 11 (17 . The CHX Book Feed Interface Specification 5.8.2 Retransmission Request Response Message The Retransmission Request Response message is sent to the subscriber to acknowledge and update the subscriber of the status of retransmission request. Name Offset Length Data Type Comments Message Header 0 8 See Retransmission Message Header Source ID 8 1 Numeric Book Feed Source identifier Request Response 9 1 Numeric 0 = Request Accepted 1 = Request Rejected – Permission Denied 2 = Request Rejected – Invalid range 3 = Request Rejected – Exceeded maximum range 4 = Request Rejected – Exceeded maximum requests Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 12 (17 .
The ability to identify the priority of each order is no longer supported. 09/17/2012 v 1.08 10/23/2012 v 1.09 06/15/2015 v 1.10 Print Date: 7/8/15 1:11 PM JAC JAC Increased bandwidth requirement from 1.5 Mb/sec to 5.0 Mb/sec. Updated comments on the Trade Reference ID of the Delete Trade message. Added Trade Reference ID to the Data Types section. Updated for SNAP Auctions JAC Added StockEvents: SNAP Auction begins & SNAP Auction ends. Removed StockEvents: Stock Halted & Stock Resumed CHX Proprietary and Confidential Page 1 (17 . The CHX Book Feed Interface Specification Disclaimer The Chicago Stock Exchange, Inc. (CHX) Book Feed Specification is an informational document, which has been produced for the purpose of assisting subscribers with developing or operating systems that interact with CHX systems. This specification is proprietary and CHX reserves the right to withdraw, modify, or replace this specification at any time and without notice. No obligation is made by CHX regarding the level, scope or timing of CHX’s implementations, functionality or features discussed in this specification. This specification does not constitute a contract, or an offer to enter into a contract, between the Exchange and any other person or entity, including the Exchange’s participants.
This specification is “as is”, “with all faults” and CHX makes no warranties and disclaims all warranties, express, implied or statutory related to this specification and to the operation of CHX systems. CHX is not liable for any consequential, incidental, or indirect damages relating to the specification or its use. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 . The CHX Book Feed Interface Specification Table of Contents 1. Introduction ................................................................................................................................................................... 1 2. Bandwidth ..................................................................................................................................................................... 1 3. Session ......................................................................................................................................................................... 1 4. Data Types ...................................................................................................................................................................
1 4.1 Alpha ............................................................................................................................................................................ 1 4.1.1 Order Reference ID ........................................................................................................................................... 1 4.1.2 Symbol ...............................................................................................................................................................
1 4.2 4.2.1 4.3 4.3.1 Numeric........................................................................................................................................................................ 1 Trade Reference ID ........................................................................................................................................... 2 Prices ...........................................................................................................................................................................
2 Denominator Code Table .................................................................................................................................. 2 4.4 Timestamps ................................................................................................................................................................. 2 5. Message Formats.........................................................................................................................................................
3 5.1 Multicast Message Header .......................................................................................................................................... 3 5.2 Session Messages ....................................................................................................................................................... 4 5.2.1 Heartbeat Message ...........................................................................................................................................
4 5.2.2 Transmission Sequence Number Reset Message ............................................................................................ 4 5.3 Event Messages .......................................................................................................................................................... 4 5.3.1 System Event Message .....................................................................................................................................
4 5.3.2 Stock Event Message ........................................................................................................................................ 5 5.4 Order Messages .......................................................................................................................................................... 5 5.4.1 Add Order Message ..........................................................................................................................................
5 5.4.2 Execute Order Message .................................................................................................................................... 6 5.4.3 Modify Order Message ...................................................................................................................................... 7 5.4.4 Delete Order Message ......................................................................................................................................
7 5.5 Trade Messages .......................................................................................................................................................... 8 5.5.1 Match Trade Message ....................................................................................................................................... 8 5.5.2 Cross Trade Message .......................................................................................................................................
9 5.5.3 Delete Trade Message ...................................................................................................................................... 9 5.6 Retransmission Message Header ............................................................................................................................. 10 5.7 Retransmission Session Control Messages ..............................................................................................................
10 5.7.1 Login Request Message .................................................................................................................................. 10 5.7.2 Login Accepted Message ................................................................................................................................ 11 5.7.3 Login Reject Message .....................................................................................................................................
11 5.7.4 Logoff Request Message ................................................................................................................................ 11 5.8 5.8.1 Recovery Messages .................................................................................................................................................. 11 Retransmission Request Message..................................................................................................................
11 Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 3 (17 . The CHX Book Feed Interface Specification 5.8.2 Retransmission Request Response Message ................................................................................................ 12 Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 . The CHX Book Feed Interface Specification 1. Introduction The CHX Book Feed is a real-time multicast distribution of the CHX Matching System order activity for subscribers who want a fast, comprehensive view of the displayable liquidity at the CHX. System Event, Stock Event, and some trade activity messages are also provided for subscribers interested in a more extensive view of Matching System activity. This document contains the technical specifications for the CHX Book Feed Interface. 2. Bandwidth Given existing messaging levels, bandwidth of 5.0 Mb/sec should be adequate and provide headroom for growth.
Book Feed subscribers should note that messaging rates and therefore adequate bandwidth are subject to change without notice from CHX. Book Feed subscribers are solely responsible for monitoring, determining and acquiring adequate bandwidth to meet subscriber needs. 3. Session The CHX Book Feed will be distributed via multiple multicast groups.
Primary and secondary feeds will be provided to improve message reliability. Subscribers will be allowed to request a retransmission of missed messages. The Message Recovery Request message will be sent to CHX via a TCP/IP connection. The retransmitted messages will be delivered to the subscriber through the same TCP/IP connection. The CHX Book Feed will start distributing data at the beginning of the CHX trading day and will stop distributing data at the end of the CHX trading day.
Typically, this will be 6:00 AM to 4:30 PM CT (Central Time). The CHX Book Feed messages will be generated during the Early, Regular, Extended, and Late Trading Sessions. Each CHX Book Feed message will have a Common Message Header. This header will contain a Source ID and Transmission Sequence Number which will uniquely identify each new message. Each trading day the Transmission Sequence Number will start at one (1) and will increment by one (1) for each new message. Session Control messages, like the Heartbeat message, do not increment the Transmission Sequence number. 4.
Data Types 4.1 Alpha Alpha fields are ASCII, left justified and NUL (ASCII 0) padded. The values will be limited to the standard printable ASCII characters found in the range 0 – 127. 4.1.1 Order Reference ID An Order Reference ID is assigned to each order. This ID will be unique for the day. Order senders using the DAS (Direct Access Server) interface will be able to link the Order ID on their Execution Reports with the Order Reference ID found on the Book Feed messages.
For example, an Execution Report Order ID might be MEL01:242:1:20071004 and the Order Reference ID on the Book Feed message would be MEL01:242:1. 4.1.2 Symbol Stock Symbol (and Suffix) are right padded with spaces. Symbol and Suffix are formatted as Symbol.Suffix 4.2 Numeric All numeric data will be in binary format. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 1 (17 . The CHX Book Feed Interface Specification Please note that different machine architectures may store data using different byte orders; i.e., Big Endian vs. Little Endian. The CHX Book Feed will provide binary data in Big Endian order which is the network standard. 4.2.1 Trade Reference ID A Trade Reference ID is assigned to each trade. This ID will be unique for the day. The Trade Reference ID is an array of bytes.
For display purposes, it can be converted to a hex string, e.g., "34531B7000001500E50F2A4B”. 4.3 Prices All prices will be in binary format. Prices are represented as whole integers. The decimal price can be determined by dividing the price by the Denominator Code. The Denominator Code is a one character alpha field.
The following table shows the allowable Denominator Code values. 4.3.1 Denominator Code Table Denominator Code Value Value as power of 10 0 N/A N/A 1 10 10^1 2 100 10^2 3 1,000 10^3 4 10,000 10^4 5 100,000 10^5 6 1,000,000 10^6 Examples: • Price is 1234 and the Denominator Code is 2. The decimal price = 1234 divided by 100 = 12.34. • Price is 123 and the Denominator Code is 1. The decimal price = 123 divided by 10 = 12.3 or 12.30. • Price is 12 and the Denominator Code is 0.
The denominator code is 0, no division is necessary. The decimal price = 12 or 12.00. 4.4 Timestamps Timestamps will be in binary format. Time will be represented as the number of milliseconds past midnight GMT (Greenwich Mean Time). CHX Book Feed Algorithm for Time: (((Hours x Seconds/hour) + (minutes x seconds/minute) + seconds) x 1000) + milliseconds Example: 12:34:56.789 GMT will be converted by the CHX Book Feed to (((12 x 3600) + (34 x 60) + 56) x 1000) + 789 = 45,296,789. Client Algorithm for Time: Combined Time/1000 = Seconds Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 2 (17 .
The CHX Book Feed Interface Specification Example: 45296789/1000 = 45296.789. The number before the decimal (e.g. 45296) is the time in seconds. The number after the decimal (e.g.
.789) is the millisecond time. 5. Message Formats 5.1 Multicast Message Header All of the CHX Book Feed multicast messages contain a Multicast Message Header. The header contains the Message Length, Message Type, Message Version, Source ID, Transmission Sequence Number, Message Code, and Timestamp. The Message Version will allow subscribers to upgrade to future upgrades of the CHX Book Feed at their own convenience. The Timestamp is in GMT (Greenwich Mean Time). Name Offset Length Data Type Comments Message Length 0 2 Numeric Message length including the Multicast Message Header length. Message Type 2 1 Numeric 10 = Heartbeat Message – multicast 20 = Transmission Sequence Number Reset Message 30 = System Event Message 31 = Stock Event Message 40 = Add Order Message 41 = Execute Order Message 42 = Delete Order Message 43 = Modify Order Message 50 = Match Trade Message 51 = Cross Trade Message 52 = Delete Trade Message Message Version 3 1 Alpha Message Version Number.
Currently only version 1 is supported. Source ID 4 1 Numeric Book Feed Source identifier Transmission Sequence Number 5 4 Numeric Transmission level sequence number. Message Code 9 1 Alpha ‘0’ = Original message. ‘1’ = Retransmitted message 10 4 Timestamp See Timestamps in the Data Types section. Timestamp Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 3 (17 . The CHX Book Feed Interface Specification 5.2 Session Messages 5.2.1 Heartbeat Message The Heartbeat message is sent to all subscribers on a 1 second interval. Name Offset Message Header Length 0 Data Type 14 Comments See Multicast Message Header. 5.2.2 Transmission Sequence Number Reset Message The Transmission Sequence Number Reset Message will be sent when a Transmission Sequence Number gap has occurred. This message may be sent as the result of a system problem which requires resetting the current Transmission Sequence Number or when the Transmission Sequence Number has reached its maximum value and needs to be rolled over to its minimum value. Name Offset Message Header Next Transmission Sequence Number Length 0 14 14 4 Data Type Comments See Multicast Message Header. Numeric Next Transmission Sequence Number expected. 5.3 Event Messages 5.3.1 System Event Message The System Event message is sent to notify the CHX Book Feed subscribers of CHX System events. The Start of Day System Event will be the first CHX Book Feed message sent each day. The End of Day System Event will be the last CHX Book Feed message sent each day. The CHX System Problem System Event will notify the subscriber that CHX is experiencing technical difficulties. The CHX System Problem Cleared System Event will notify the subscriber that technical problems have been resolved and the CHX Systems are operating normally. Subscribers are encouraged to sign up for email notifications about the system status of the Chicago Stock Exchange. See Trading Information + Trading Updates + System Status at www.chx.com Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 4 (17 . The CHX Book Feed Interface Specification Name Offset Message Header Event Code Length 0 14 14 1 Data Type Comments See Multicast Message Header. Alpha ‘S’ = Start of Day ‘E’ = End of Day ‘P’ = CHX System Problem ‘C = CHX System Problem Cleared 5.3.2 Stock Event Message The Stock Event message is sent to notify the CHX Book Feed subscribers of stock specific events. A Stock Event message will be sent whenever a SNAP Auction has started and when the SNAP Auction has ended. Name Offset Message Header Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Event Code 22 1 Alpha ‘B’ = SNAP Auction begins ‘E’ = SNAP Auction ends 5.4 Order Messages 5.4.1 Add Order Message The Add Order message is sent whenever a new order has been accepted, inserted into the book and is displayable by the Matching System. The following orders will NOT be included in the order messages that are part of the CHX Book Feed: • • • • • • Rejected Orders Incoming orders which match entirely Incoming orders which partially match and the remainder of the order is cancelled Undisplayed orders Undisplayed portion of reserve orders Cross orders Matched orders which involve a resting undisplayed order and cross orders will be reflected in the CHX Book Feed as trade messages (see below). All displayable odd lot, round lot and mixed lot orders will be included in the CHX Book Feed. The CHX displayed quote at the SIAC or NASDAQ SIP may or may not contain the entire quantity of the odd lot and mixed lot orders. The Matching System aggregates all displayable orders at the top of book price point, then rounds the total down to the nearest round lot quantity before sending the CHX quote to SIAC or the NASDAQ SIP (CQS, UQDF). For example, if the Matching System has an odd lot order for 25 shares, a round lot for 200, and a mixed lot order for 125 at the top of the book, the Matching System will only quote 300 shares of the 350 shares.
If subscribers want to reconcile the CHX Book Feed with the CHX displayed quote, they will need to replicate the order display logic described above. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 5 (17 . The CHX Book Feed Interface Specification Each Order Sender’s Trading Account will be configured to specify whether by default they want their orders to be attributed or anonymous in the CHX Book Feed. The Trading Account attribution setting can be overridden on each individual order. Please refer to the CHX FIX Specification or CHX DAS Specification for more information on setting anonymity on an order by order basis. Name Message Header Offset Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Total number of shares added to the book. Price 46 4 Price The display price for the order. Price Denominator Code 50 1 Alpha See Denominator Code Table. Side 51 1 Alpha ‘B’ = Buy Order ‘S’ = Sell Order Attributed 52 4 Alpha If the order is attributed the Attributed field will contain the original Trading Account ID; otherwise if the order is anonymous the field will contain ‘ANON’. 5.4.2 Execute Order Message The Execute Order message is sent whenever a displayed order in the Matching System is executed. The Book Feed subscriber may receive multiple execute order messages for any order in the Matching System. Name Message Header Offset Length Data Type Comments 0 14 Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Total number of shares executed. Price 46 4 Price The display price of the order. Price Denominator Code 50 1 Alpha See Denominator Code Table Print Date: 7/8/15 1:11 PM See Multicast Message Header. CHX Proprietary and Confidential Page 6 (17 .
The CHX Book Feed Interface Specification Name Side Offset Length 51 1 Data Type Alpha Comments ‘B’ = Buy Order ‘S’ = Sell Order Trade Reference ID 52 12 Numeric If the resting order was matched, this field will contain the Trade Reference ID assigned to the trade. Trade Price 64 4 Numeric Price of Execution. Trade Price Denominator Code 68 1 Alpha See Denominator Code Table 5.4.3 Modify Order Message The Modify Order message is sent whenever an order in the Matching System is modified without changing its priority in the Matching System. This typically occurs if the order was cancel changed to reduce volume. The Modify Order message contains a New Order Reference ID and an Original Order Reference ID. Any future activities on this order will be referenced by the New Order Reference ID. Name Message Header Offset Length Data Type Comments 0 14 Stock 14 8 Alpha See Symbol in Data Types section Original Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Shares remaining on the original order before change Price 46 4 Price The display price of the order. 50 1 Alpha See Denominator Code Table 51 1 Alpha ‘B’ = Buy Order Price Denominator Code Side See Multicast Message Header. ‘S’ = Sell Order New Order Reference ID 52 20 New Shares 72 4 Alpha See Order Reference ID in Data Types section Numeric New shares for order 5.4.4 Delete Order Message The Delete Order message is sent whenever a Matching System displayed order is removed from the book. Typically this is the result of an order being completely canceled. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 7 (17 .
The CHX Book Feed Interface Specification An order can be deleted as the result of a cancel request, a cancel/change request, an order expiration, a regulatory trading halt (if the order has been identified as a cancel on halt order), or a CHX system halt. Name Offset Message Header Length Data Type Comments 0 14 See Multicast Message Header. Stock 14 8 Alpha See Symbol in Data Types section Order Reference ID 22 20 Alpha See Order Reference ID in Data Types section Shares 42 4 Numeric Number of shares canceled Price 46 4 Price The display price of the deleted order. Price Denominator Code 50 1 Alpha See Denominator Code Table. Side 51 1 Alpha ‘B’ = Buy Order ‘S’ = Sell Order 5.5 Trade Messages Trade messages are sent as the result of matched order activity which involves a resting undisplayed order or as the result of cross activity. Trade messages are not required to maintain a copy of the Matching System book; i.e., subscribers can maintain a copy of the Matching System book by processing only the CHX Book Feed order messages. Trade messages allow subscribers to reconcile some differences between time-and-sales information and the CHX Book Feed messages as the trade messages include some executions of undisplayed orders which are not included in the CHX Book Feed. Note: Although trades that occur during a SNAP Auction will be reported to SIAC/SIP, they will not be reported on the CHX Book Feed. 5.5.1 Match Trade Message The Match Trade message is sent whenever a resting undisplayed order is matched in the Matching System. Multiple Match Trade messages may be received for orders which are executed in parts. Order matches can involve odd lot orders, the odd lot portion of mixed lot orders, undisplayed orders, or the undisplayed portion of a reserve order. The Match Trade message will only be sent for the resting order of the match trade. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 8 (17 . The CHX Book Feed Interface Specification Name Message Header Offset Length 0 14 Stock 14 8 Trade Reference ID 22 Shares Data Type Comments See Multicast Message Header. Alpha See Symbol in Data Types section 12 Numeric See Trade Reference ID in Data Types section. 34 4 Numeric Number of shares. Price 38 4 Price Price of the trade. Price Denominator Code 42 1 Alpha See Denominator Code Table. 5.5.2 Cross Trade Message The Cross Trade message is sent whenever a cross order is executed in the Matching System. Name Message Header Offset Length 0 14 Stock 14 8 Trade Reference ID 22 Shares Data Type Comments See Multicast Message Header. Alpha See Symbol in Data Types section 12 Numeric See Trade Reference ID in Data Types section. 34 4 Numeric Number of shares. Price 38 4 Price Price of the trade. Price Denominator Code 42 1 Alpha See Denominator Code Table. Type 43 1 Alpha ‘E’ = Early Session Cross ‘I’ = Regular Session Cross ‘T’ = Extended Session Cross ‘C’ = Late Session Cross 5.5.3 Delete Trade Message The Delete Trade message is sent whenever a Matching System trade is ‘busted’ at the CHX. The Trade Reference identifies the original trade in case cumulative calculations maintained by the subscriber such as Daily High and Low, Daily Volume, or Historical Time-and-Sales need to be adjusted. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 9 (17 . The CHX Book Feed Interface Specification Name Offset Message Header Length 0 14 Stock 14 8 Trade Reference ID 22 12 Data Type Comments See Multicast Message Header. Alpha Numeric See Trade Reference ID in Data Types section. 5.6 Retransmission Message Header All of the CHX Book Feed Retransmission messages contain a Retransmission Message Header. The header contains the Message Length, Message Type, Message Version, and Timestamp. The Message Version will allow subscribers to upgrade to future upgrades of the CHX Book Feed at their own convenience. Currently, there is only one version of the CHX Book Feed. The Timestamp is in GMT (Greenwich Mean Time). Name Offset Length Data Type Comments Message Length 0 2 Numeric Message length including the Multicast Message Header length. Message Type 2 1 Numeric 1 = Login Request Message 2 = Login Accepted Message 3 = Login Rejected Message 4 = Logoff Request Message 60 = Retransmission Request Message 61 = Retransmission Request Response Message Message Version 3 1 Alpha Message Version Number. Currently only version 1 is supported. Timestamp 4 4 Timestamp See Timestamps in the Data Types section. 5.7 Retransmission Session Control Messages Session Control messages are used to maintain the CHX Book Feed retransmission connection.
Session Control messages do not update the Transmission Sequence Number and will not be retransmitted. 5.7.1 Login Request Message The Login Request message is sent by the CHX Book Feed subscriber to start the retransmission TCP/IP session. If a Login Request message is not received within 30 seconds of the initial connection, a Login Reject message will be sent. If the Login Request does not contain the correct Message Version in the Multicast Message Header, a Login Reject message will be sent. Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 10 (17 . The CHX Book Feed Interface Specification Name Offset Length Message Header 0 8 Logon ID 8 4 Data Type Comments See Retransmission Message Header. Alpha Subscriber identifier. 5.7.2 Login Accepted Message The Login Accepted message is sent to the subscriber to acknowledge a successful login. The Login Accepted message contains only the message header. 5.7.3 Login Reject Message The Login Reject message is sent to the subscriber in response to an invalid Login Request message or a login timeout. The Reject Reason Code field will explain why the Login Request was rejected. The Login Reject will cause the CHX Book Feed connection to be closed. Name Offset Length Message Header 0 8 Reject Reason Code 8 1 Data Type Comments See Retransmission Message Header Alpha ‘V’ = Invalid Version Number ‘T’ = Connection Timeout 5.7.4 Logoff Request Message The Logoff Request message is sent by the subscriber to end a session and disconnect from the CHX Book Feed. The Logoff Request message contains only the message header. 5.8 Recovery Messages 5.8.1 Retransmission Request Message The Retransmission Request message is sent by the subscriber whenever messages need to be recovered. Name Offset Length Data Type Comments Message Header 0 8 Source ID 8 1 Numeric Book Feed Source identifier Start Sequence Number 9 4 Numeric First message requested in the retransmission sequence. End Sequence Number 13 4 Numeric Last message requested in the retransmission sequence Print Date: 7/8/15 1:11 PM See Retransmission Message Header. CHX Proprietary and Confidential Page 11 (17 . The CHX Book Feed Interface Specification 5.8.2 Retransmission Request Response Message The Retransmission Request Response message is sent to the subscriber to acknowledge and update the subscriber of the status of retransmission request. Name Offset Length Data Type Comments Message Header 0 8 See Retransmission Message Header Source ID 8 1 Numeric Book Feed Source identifier Request Response 9 1 Numeric 0 = Request Accepted 1 = Request Rejected – Permission Denied 2 = Request Rejected – Invalid range 3 = Request Rejected – Exceeded maximum range 4 = Request Rejected – Exceeded maximum requests Print Date: 7/8/15 1:11 PM CHX Proprietary and Confidential Page 12 (17 .
