SBE Messages

This section describes the implementation and protocol for Order messages transmitted from the Binary Market Data Gateway. These messages are encoded using the Simple Binary Encoding (SBE) format, with fields encoded in big-endian byte order.

Common SBE Header

Every message begins with the SBE Header, which describes the message payload.

Offset	Length	Name	Description	Type
0	2	Block Length	The number of fixed sized bytes in the message body.	Unsigned 16-bit integer
2	1	Template ID	Identifier of the message type.	Unsigned 8-bit integer
3	1	Schema ID	Identifier of the message schema.	Unsigned 8-bit integer
4	2	Version	Identifier of the message version.	Unsigned 16-bit integer

Versioning

Versioning of the Order Message schema is encoded within the Common SBE Header. The first 8 bits of the version field represents the major version of the schema, and the subsequent 8 bits represents the minor version of the schema. A version of 0300 in hex therefore represents the semantic version 2.0.

Messages

InstrumentDirectory

This message will be emitted as part of a Snapshot to inform the client of available instruments.

Header Values

Name	Value
Block Length	46
Template ID	1
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	5	Base Currency	Base Currency Symbol	5-byte character sequence
35	5	Quote Currency	Quote Currency Symbol	5-byte character sequence
40	2	Unit Multiplier	The Unit Multiplier of the Instrument	Signed 16-bit integer
42	1	Is Test Symbol	If the Instrument is a Test Instrument	Boolean Type
43	8	MPV	The price increment of the instrument	FixedPointDecimal
51	1	Instrument Type	Type of Instrument	1 byte character

Instrument Type Values

ASCII Value	Name
'1'	Spot
'2'	Perpetual Futures

Instrument Trading Status

This message will be emitted as part of a Snapshot to inform the client of the status of available instruments.

Header Values

Name	Value
Block Length	26
Template ID	2
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	31	Instrument Trading Status	The Trading Status of the Instrument	1-byte character sequence
31	1	Instrument Trading Status Reason	The Reason for this Status	1-byte character sequence

Instrument Trading Status Values

ASCII Value	Name
'H'	Halted
'Q'	Quoting
'L'	Limit Only Trading
'T'	Trading

Instrument Trading Status Reason Values

ASCII Value	Name
'X'	None
'A'	Administrative

Trading Session Status

This message will be emitted as part of a Snapshot to inform the client of the status of the trading session

Header

Name	Value
Block Length	9
Template ID	3
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	1	Session status	Status representing if the Exchange is open or closed	1-byte character sequence

Trading Session Status Values

ASCII Value	Name
'1'	Trading
'2'	Closed

Snapshot Complete

This message will be emitted as part of a Snapshot to indicate the end of the snapshot.

Header

Name	Value
Block Length	16
Template ID	4
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	8	Sequence Number	The current broadcast Sequence number	Signed 64-bit integer

Order Added

This message will be emitted when an order has been added to the book or as part of a snapshot.

Header

Name	Value
Block Length	58
Template ID	10
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	8	Order ID	Unique identifier of the Order	Signed 64-bit integer
38	8	Correlation ID	Correlating ID between this message and the Order feed. This value will always be equal to the Order ID	Signed 64-bit integer
46	1	Side	The side of the order being added	1 byte character
47	8	Quantity	The total quantity being added	Order Quantity
55	8	Price	The price of the new order	FixedPointDecimal
63	1	Retail Indicator	The retail disposition of the order	1 byte character

Order Deleted

This message will be emitted when an order has been removed from the book. This message will not be emitted when an order is fully filled.

Header

Name	Value
Block Length	32
Template ID	11
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	8	Order ID	Unique identifier of the Order	Signed 64-bit integer

Order Reduced

This message will be emitted when an order has been reduced in quantity.

Header

Name	Value
Block Length	40
Template ID	12
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	8	Order ID	Unique identifier of the Order	Signed 64-bit integer
38	8	Quantity	The new quantity	Order quantity

Order Executed

This message will be emitted when an order on the book has been executed against. When the quantity executed reduces the remaining quantity to zero, consumers of this message should consider the order to be removed from the book. Otherwise, any outstanding quantity remains on the book with the same priority as the original order.

Header

Name	Value
Block Length	64
Template ID	13
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	8	Order ID	Unique identifier of the Order	Signed 64-bit integer
38	16	Trade ID	Unique identifier of the Trade	2 Signed 64-bit integers
54	8	Quantity	The total quantity executed	Order quantity
62	8	Price	The executed price of the order	Fixed Point Decimal

Incremental Trading Metric

Header

Name	Value
Block Length	33
Template ID	14
Schema ID	6
Version	514

Payload

Offset	Length	Name	Description	Type
0	6	Header	Common SBE Header
6	8	Timestamp	The timestamp when the event occurred, in nanoseconds	Signed 64-bit integer
14	16	Token ID	Unique identifier of the Order instrument	16-byte character sequence
30	1	MdEntryType	Type of trading metric	1-byte character
31	8	MDEntryValue	Value of trading metric	FixedPointDecimal

MdEntryType Values

ASCII Value	Name
'3'	IndexValue
'm'	PreliminaryMarkPrice
'n'	FinalMarkPrice
'p'	PreliminaryFundingRate
'f'	FinalFundingRate
'C'	OpenInterest

Common Field Types

Timestamp

Length	Type	Name	Description
8	Signed 64-bit integer	Timestamp	Time represented as the number of nanoseconds since the UNIX epoch.

Token ID

Length	Type	Name	Description
16	16-byte character sequence	Token ID	Unique identifier of an Instrument.

Order ID

Length	Type	Name	Description
8	Signed 64-bit integer	Order ID	Unique identifier of an Order.

Trade ID

Trades are identified using a 128-bit globally unique value. They are expressed as two signed 64-bit integers.

Offset	Length	Type	Name	Description
0	8	Signed 64-bit integer	Upper Bits	The most significant bits of the ID.
8	8	Signed 64-bit integer	Lower Bits	The lease significant bits of the ID.

Side

ASCII Value	Name
'B'	Buy
'S'	Sell

Order Quantity

This field represents the quantity that is present on an order or has been executed against an order as part of a trade. It is encoded as a signed 64-bit integer. To obtain the true quantity value, consumers of this data need to multiply the quantity by 10^(unit multiplier). The unit multiplier is available on the instrument directory. For example, an order quantity of 123456789 with a corresponding instrument unit multiplier of -8 would represent the decimal number 1.23456789. This was calculated by 123456789 * 10^(-8).

Length	Type	Name	Description
8	Signed 64-bit integer	Order Quantity

FixedPointDecimal (Used in Price and MPV)

This field represents a fixed point decimal, encoded as a signed 64-bit integer with a constant exponent of -8. For example, a value 123456789 would represent the decimal number 1.23456789.

Length	Type	Name	Description
8	Signed 64-bit integer	Price

Retail Indicator

ASCII Value	Name
'1'	Normal
'2'	Designated Retail
'3'	Retail Liquidity Provider