Skip to main content

Definition of Spread Instruments

Overview

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 define 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:

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

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

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

Each spread leg can optionally include a price after the symbol using the @ sign: <Symbol>[@<Price>]>

Examples

A full spread example:

SPREAD,=./SBV25C20:IFUS-0.52*/SBV25:IFUS@18.6-./SBV25P16:IFUS

=/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)

SPREAD,=./SBV25C20:IFUS-0.52*/SBV25:IFUS@18.6-./SBV25P16:IFUS

Canonical ordering

Spread legs are always sorted canonically to ensure consistency across feeds:

  1. By coefficient in descending order: =3*A + 2*B + 1*C - 1*D - 2*E - 3*F

  2. For equal positive coefficients: lexicographic (A → Z): =A + B + C + D + E + F - Z

  3. For equal negative coefficients: reverse lexicographic (Z → A):  =Z - F - E - D - C - B - A

CME

In case the spread is from CME, native symbology reflects canonical ordering. Canonical symbol appears in the CME_SPREAD field in IPF. Spread structure follows Repeating Group 5 (see CME MDP 3.0 Security Definition).

Note

CME symbols show trade direction by order (e.g., MBTJ5-MBTK5) without +/-. In dxFeed, symbols use explicit + and - to indicate side.

Example

#SPREAD::=TYPE,SYMBOL,EXCHANGE_DATA,CME_SPREAD SPREAD,=/MBTK25:XCME-/MBTJ25:XCME,BF;MBTJ5-MBTK5;1,-1*42007178+1*42035829 ##COMPLETE

Buy MBTK25, sell MBTJ25. MBTK25 goes first due to higher coefficient (+1).

ICE

In case the spread is from ICE, native symbology retains exchange order in simple spreads (e.g., =A-B).

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

  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].

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

In this section: