Definition of Spread Instruments
Introduction
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.
Description
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.
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:
#SPREAD::=TYPE,SYMBOL,DESCRIPTION,COUNTRY,OPOL,EXCHANGE_DATA,EXCHANGES,CURRENCY,CFI,ISIN,MULTIPLIER,PRODUCT,MMY,EXPIRATION,LAST_TRADE,PRICE_INCREMENTS,TRADING_HOURS,CME_SPREAD,CORRECT_DF,EUREX_UNDERLYING,LTD
Type | Description |
|---|---|
TYPE | Type of instrument |
SYMBOL | 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:
Examples =/SO3H20:IFLL-/SO3Z20:IFLL means:
=./EW3N19C3000:XCME+./EW3Q19P2840:XCME-./EW3Q19C3030:XCME-3./EW3N19P2865:XCME means:
|
DESCRIPTION | Description of the instrument provided by the exchange |
COUNTRY | Country of origin (incorporation) of corresponding company or parent entity |
OPOL | Official Place Of Listing, the organization that have listed this instrument |
EXCHANGE_DATA | Exchange-specific data required to properly identify instrument when communicating with exchange; uses exchange-specific format
|
EXCHANGES | List of exchanges where instrument is quoted or traded. For spreads, it is usually the same as OPOL |
CURRENCY | Currency of quotation, pricing and trading |
CFI | Classification of Financial Instruments code |
ISIN | International Securities Identifying Number |
MULTIPLIER | Market value multiplier |
PRODUCT | An instrument which represents the series of futures contracts with the same parameters (underlying, settlement style, expiration period). If several products are available for a spread, they are specified, separated by semicolons |
MMY | Maturity month-year |
EXPIRATION | Date of expiration |
LAST_TRADE | Date of last trading day |
PRICE_INCREMENTS | Minimum allowed price increments with corresponding price ranges |
TRADING_HOURS | Trading schedule |
CME_SPREAD | Formula of the instrument, represented in internal exchange identifiers (should be ignored) |
CORRECT_DF | Custom CME field, please ignore. Usually empty |
EUREX_UNDERLYING | Custom Eurex field |
LTD | Last trade date. Usually empty |