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Olivier (guest)
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| 11/07/2008 6:16 AM |
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Hi,
The CTS technical documentation describes the 'Start of day summary' message (doc v39, p32) as having a minimal size of 90 bytes and a maximum size of 390 bytes. From the brakedown diagram of the message, my understanding is that it is formatted the following way :
+--------------------------------+
| general data (28 bytes) | \
+--------------------------------+ |
| consolidated data (30 bytes) | |__ Basic data
+--------------------------------+ | (60 bytes)
| nb of iterations (2 bytes) | /
+--------------------------------+
| participant data 1 (30 bytes) | \
+--------------------------------+ |
| participant data 2 (30 bytes) | |
+--------------------------------+ |__ Variable size data
. . | (N * 30 bytes)
. . |
+--------------------------------+ |
| participant data N (30 bytes) | /
+--------------------------------+
Since the 'Start of day summary' message has a maximum size of 390 bytes and that the basic data of the message has a size of 60 bytes, the variable size can only be of 330 bytes, which means there can be a maximum of 11 'participant data' appended blocks. Also, my understanding is that the number of 'participant data' appended blocks is given by the value of the 'nb of iterations' field (Numeric, right justified).
My problem is, I've actually received a message where the 'nb of iterations' field contains the value 12. I have checked the data, and the problem doesn't come from datagram parsing. Is this an error in the documentation, or is my understanding of the 'Start of day summary' message layout wrong ?
Thanks,
O.
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Verona
Posts:59
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| 11/17/2008 1:56 PM |
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| As of October 24th, BATS Trading became a new CTA Participant and as such the Participant portion of the Start of Day Summary Message would be iterated for BATS Trading as well. The CTS Multicast Specification will be revised to reflect the new message count, that is, this message can support up to a maximum of 26 Participants should additional Participants be added in the future. |
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