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This document describes an open format to represent and exchange basic profile information about spreads. The format provides a common framework to represent necessary information and defines the data model.


In dxFeed market data feeds, the spread is a composite virtual instrument consisting of two or more individual instruments. In financial markets, these instruments are not actual securities - they represent multi-leg orders. A multi-leg order is an order in which executions aim to be delivered simultaneously for each leg and in proportion to the leg ratio. Each spread may be of a different type: calendar, butterfly, condor, ratio spread, etc.

When a trade on a spread occurs, usually there are also trades on legs published.

For a detailed explanation of spreads in a CME feed please refer to the instruments documentation on the CME website. For a detailed explanation of ICE strategies please refer to the How the ICE Market Works document.

List of fields

Every instrument is represented by a single profile record as a set of field values that define corresponding attributes of the instrument. Depending on the feed, some fields are not applicable, skipped, or empty.

This is the list of all available fields for spreads from CME, ICE and Eurex data feeds:

Type Description


Type of instrument


For spreads, this field shows the formula that defines this instrument. It specifies the combination of the leg, the side, and ratio of each leg:

  1. subtraction ('-' sign) = sell this leg.

  2. addition ('+' sign) = buy this leg.

  3. multiplication ('*' sign) = ratio relative to other legs.


=/SO3H20:IFLL-/SO3Z20:IFLL means

  • /SO3H20:IFLL (side= buy, ratio =1)

  • /SO3Z20:IFLL (side= sell, ratio =1)

=./EW3N19C3000:XCME+./EW3Q19P2840:XCME-./EW3Q19C3030:XCME-3./EW3N19P2865:XCME means

  • ./EW3N19C3000:XCME (side= buy, ratio =1)

  • ./EW3Q19P2840:XCME (side= buy, ratio =1)

  • ./EW3Q19C3030:XCME (side= sell, ratio =1)

  • ./EW3N19P2865:XCME (side= sell, ratio =3)


Description of the instrument provided by the exchange


Country of origin (incorporation) of corresponding company or parent entity


Official Place Of Listing, the organization that have listed this instrument


Exchange-specific data required to properly identify instrument when communicating with exchange; uses exchange-specific format.

  1. For ICE feed: symbol of the instrument as it’s provided by the exchange. Please refer to ICE-Strategy Code Reference Manual and ICE Specification of Instrument Naming Convention. In scope of Spreads please refer to 1.8.3 of the second document (for simple spreads like calendars) and to the last paragraph ("New Strategy Contract Symbol") for all others.

  2. For CME: [asset class];[CME symbol];[display factor].


List of exchanges where instrument is quoted or traded. For spreads, it is usually the same as OPOL


Currency of quotation, pricing and trading


Classification of Financial Instruments code


International Securities Identifying Number


Market value multiplier


Product for futures and options on futures (underlying asset name). If several products are available for a spread, they are specified, separated by semicolons.


Maturity month-year


Date of expiration


Date of last trading day


Minimum allowed price increments with corresponding price ranges


Trading schedule


Formula of the instrument, represented in internal exchange identifiers (should be ignored)


Custom CME field, please ignore. Usually empty


Custom Eurex field


Last trade date. Usually empty