Market data enums & encodings

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Enumerations

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OrderUpdateAction

Encoding: uint8

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InstrumentUpdateAction

Encoding: uint8

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ProductType

Encoding: uint8

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MarketSector

Encoding: uint8

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MaturityType

Encoding: uint8

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Side

Encoding: uint8

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AggressorSide

Encoding: uint8

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InstrumentTradingStatus

Encoding: uint8

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TradingSessionStatusCode

Applies to Spot and Futures only. US Perps does not expose a global trading session status; it provides the status per instrument (see InstrumentTradingStatus). Encoding: uint8

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OrdTypeMD

Encoding: char

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Primitive and composite encodings

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messageHeader

Composite of: blockLength:uint16, templateId:uint16, schemaId:uint16, version:uint16.

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groupSizeEncoding

Composite of: blockLength:uint16, numInGroup:uint16.

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InstrumentId

Primitive uint64, length 1, required. Opaque, globally unique instrument identifier assigned by Instrument Registry.

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OrderId

Composite of: low:uint64, high:uint64.

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TradeId

Composite of: low:uint64, high:uint64.

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TimestampNs

Primitive int64, length 1, required. Positive UTC timestamp in nanoseconds since the Unix epoch.

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Scale

Primitive uint8, length 1, required. Maximum value 36. Number of supported decimal places.

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Decimal

Composite of: mantissa:int64, exponent:int8. exponent ranges from -36 to 0.

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Price

Composite of: decimal:ref.

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Quantity

Composite of: decimal:ref.

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SymbolEncoding

Composite of: length:uint16, varData:char. length is the number of UTF-8 encoded bytes, up to 128. Used by symbol and underlyingSymbol.

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CurrencyEncoding

Composite of: length:uint8, varData:char. length is the number of UTF-8 encoded bytes, up to 12.

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DescriptionEncoding

Composite of: length:uint16, varData:char. length is the number of UTF-8 encoded bytes, up to 512.

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StatusReasonEncoding

Composite of: length:uint16, varData:char. length is the number of UTF-8 encoded bytes, up to 1024. An empty value means no reason was supplied.