Securities Industry Automation Corporation 1 Pierrepont Plaza, Brooklyn, NY 11201
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1 Securities Industry Automation Corporation Pierrepont Plaza, Brooklyn, NY 0 March 8, 0 To: Subject: OPRA Multicast Recipients New OPRA Binary Output Formats Modification SIAC has completed the design of the next generation of OPRA formats. At Start-of-Day November 5, 0, OPRA will be moving from the current OPRA FAST output format to a new binary output format, in order to reduce network bandwidth requirements and OPRA latency. All OPRA multicast addresses will remain the same: 8-Equity/Index Production (8 A-Stream, 8 B-Stream), 8 Retransmissions, and 8 Playback-Test (total 9). Implementation Implementation of the new binary formats will be a cold-cut; therefore multicast recipients must handle both the old and new formats in the event a fallback becomes necessary. The schedule will be as follows: New Binary output formats test data availability: early-april New Binary output formats final verification: Saturday, November 3, 0 New Binary output formats activation: Monday, November 5, 0 Specifications Along with this notice is a summary document of the new binary formats, version.. The complete OPRA output specification including the new binary formats will be published in early April. Technical Questions If you have any technical questions, please send an to CQS-CTS-OPRA@siac.com, or contact the Service Desk at Testing Replay files with sample new binary output formats will be available every weekday evening. Test data will become available beginning early-april. To coordinate testing, and to provide verbal or written confirmation of testing which is required by all Data Recipients, please register in one of the following ways:. your name, organization name, phone number, and date of test request(s) to: CQS-CTS-OPRA@siac.com, or. Contact the Service Desk at Indirect Data Recipients must contact their service provider to coordinate testing.
2 Sincerely, Michael Collazo Director NMS Product Planning & Management
3 OPRA OPTIONS REPORTING AUTHORITY New Binary Data Recipient Outputt Formats Summary Version. March 8, 0
4 Version Date Description Document Version Changes.0 // First Released Version. 3/8/ Page 5: Revised the Equity and Index Last Sale (category a ) message format moved Trade Identifier and additional Reserved field to the end of the message format Page 7: Short Equity and Index Quote (category q ) message: Improved the first bullet note about Price and Size field lengths OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page
5 Summary This document introduces new formats for Data Recipient output data (OPRA FAST to Binary). Changes from current specifications Changed the block format by providing a packet length and checksum instead of SOH & ETX. Eliminated individual message sequence numbers and message timestamps. Introduced block sequence numbers for each block (packet), and a common block sent timestamp for all messages in the block. Moved Retransmission Indicator (formerly Retransmission Requestor) and Session Indicator (now reserved) from each message into a common block header. Message categories (except Admin [Category C] & Control [Category H]) are a fixed length. This eliminates the need for a message length. All numeric values are represented as signed or unsigned binary integers instead of strings of ASCII digits. The maximum values for the numeric fields (prices, sizes, volumes, etc.) have increased to the limits for integers. Prices, Index Values and other byte signed integer fields can now have a range of (-),7,83,68 to (+),7,83,67. Sizes, Volumes and other byte unsigned integer fields can have a range of 0 to,9,967,95. For short quotes the price and size limitations of the byte unsigned integers is 0 to 65,535. These fields will be limited initially as follows: ) 8 digits for prices/values; and ) 5 digits for sizes/values; with the exception of the underlying price ( digits). All denominator code fields will now share the same values. Reduced the number of bytes required to represent the current option expiration date from 5 to 3. Added a trade identifier to Equity and Index Last Sale (category a ) message. Added a Index Value Denominator Code to Underlying Value (Index) (category Y ) message. Removed Net Change Indicator from Equity and Index End of Day Summary (category f ) message. Renamed Equity and Index Quote with Size (category k ) message to Long Equity and Index Quote (Long Quote). Added the Short Equity and Index Quote (Short Quote) (category q ) message category. Data formats for block header and messages All numeric values will be,,, or 8 byte binary integers, and will be sent in network order (bigendian). All ASCII characters are either digits ( 0-9 ), upper or lower case letters ( A - Z, a - z ) or space ( ). OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page
6 Transmission Block format & BODY & BODY ~~~ N & BODY PAD BYTE (IF REQUIRED) Block Header ( bytes) VERSION NUMBER SIZE DATA FEED INDICATOR RETRANSMISSION INDICATOR RESERVED BYTE SEQUENCE NUMBER S IN SENT TIMESTAMP SECONDS FRACTIONAL SECOND CHECKSUM. Version Number: Initial version number: Hex 0x03 for output byte unsigned integer. Block Size: Size in bytes of entire block, including Version Number, Block Size, and Pad Byte fields byte unsigned integer 3. Data Feed Indicator: O for OPRA byte ASCII character. Retransmission Indicator: On output, either space or V indicating a retransmission byte ASCII character 5. Reserved: for future use, zero filled byte unsigned integer 6. Block Sequence Number: Sequential number for this block, rolls over after 3,999,999,999 byte unsigned integer 7. Messages in Block: Up to 55 messages per block byte unsigned integer 8. Block Sent Timestamp a. Seconds: UNIX Timestamp (Seconds since //970 00:00:00) in EST/EDT byte unsigned integer b. Fractional Second: Represented in nanoseconds, accuracy to microsecond byte unsigned integer 9. Block Checksum: Lower word (6 bits) of sum of all bytes in block, including Version Number, Block Size, and Pad Byte fields; excluding Block Checksum field byte unsigned integer 0. Pad Byte: Used to ensure block is an even number of bytes byte unsigned integer, value Hex 0x00 OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page 3
7 Message Formats Common Elements ) All messages begin with a byte Message Header. All bytes are ASCII characters. Message Indicator only has values for quote messages (categories k & q). For all other categories, it is reserved (space filled). PARTICIPANT ID CATEGORY TYPE INDICATOR ) Message Header: all messages, except for categories C & H, have a fixed length, which is determined by reading the Message Header. The combination of Message Category and Message Indicator indicate the length of the message. For categories a, d, f and Y, only the Message Category is used; the Message Indicator is reserved. For quotes, categories k and q, the base message length is determined from the Category; the Message Indicator contains the BBO Indicator field, and is used to determine the appendage type (None, Single, or Double). See the Long Equity and Index Quote (category k ) section for details on the BBO Indicator. 3) Expiration Block: Expiration Month, Expiration Day, and Expiration Year (categories a,d,f,k,q) will be represented by a 3 byte Expiration Block as follows: MONTH DAY YEAR a) Expiration Month: A letter, A-X representing calls or puts, and month, byte ASCII character b) Expiration Day: 3, byte unsigned integer c) Expiration Year: 0 99, starting with year 000, byte unsigned integer ) All prices and index values are represented as either byte unsigned integers in Short Quotes (category q), or byte signed integers in all other message categories, except where noted. 5) All other numeric fields (sizes, volumes, fields in the block header) will be represented as,, or byte unsigned integers, except where noted. 6) Denominator (DENOM) codes are ASCII characters A through I. See table on page 8. 7) For message categories a,d,f,k & Y, the Security Symbol is followed by a reserved byte (RSVD) for future use. 8) All Reserved fields are filled with zeroes (hex 0x00), except where noted. OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page
8 Administrative and Control messages (categories C and H) DATA LENGTH DATA (FREE FORM ASCII TEXT OR BINARY DATA - MAX 50 BYTES) Variable Message Data Length is a byte unsigned integer, which represents the length of the Message Data field. Message Length can be 0 if there is no Message Data. C and H messages will be sent singly, one to a block. C and H Message Length: Variable (6 bytes + Message Data length) Underlying Value (Index) (category Y) For Message Type (space), only Index Value is used; Offer Index Value is reserved. Y Message Length: 9 bytes. Equity and Index Last Sale (category a) SECURITY SYMBOL RSVD STRIKE STRIKE 5 3 VOLUME PREMIUM PREMIUM TRADE IDENTIFIER RESERVED a Message length: 35 bytes Open Interest (category d) SECURITY SYMBOL RSVD STRIKE STRIKE OPEN INTEREST VOLUME 5 3 d Message length: bytes OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page 5
9 Equity and Index End of Day Summary (category f) SECURITY SYMBOL RSVD STRIKE STRIKE VOLUME OPEN INTEREST VOLUME 5 3 PREMIUM OPEN HIGH LOW LAST NET CHANGE UNDERLYING DENOMINATOR CODE UNDERLYING BID OFFER 8 Net Change is a byte Signed Integer Underlying Price is an 8 byte Signed Integer f Message length: 6 bytes Long Equity and Index Quote (category k) SECURITY SYMBOL RSVD STRIKE STRIKE 5 3 PREMIUM BID BID SIZE OFFER OFFER SIZE The presence of an appendage is determined by the BBO Indicator (contained in the Message Indicator field of the Message Header). Values of C, G, K indicate a single Best Offer appendage. Values of M, N & P indicate a single Best Bid appendage. A value of O indicates a double appendage, containing both the Best Bid and Best Offer. k Message length: 35 bytes with no appendage; 5 bytes with a Single, 55 bytes with a Double OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page 6
10 Single Appendage PARTICIPANT ID DENOMINATOR CODE SIZE The fields in the single appendage represent either the Best Bid or Best Offer values, depending on the BBO indicator. Single Appendage Length: 0 bytes Double Appendage BEST BID PARTICIPANT ID BEST BID BEST BID BEST BID SIZE BEST OFFER PARTICIPANT ID BEST OFFER BEST OFFER BEST OFFER SIZE Double Appendage Length: 0 bytes Short Equity and Index Quote (category q) SECURITY SYMBOL STRIKE BID BID SIZE OFFER OFFER SIZE 3 Strike Price, Bid Price, Bid Size, Offer Price and Offer Size are byte unsigned integers. Any message with a Security Symbol greater than characters must use a Long Quote (category k ) Strike Price Denominator Code is implied to be A ( digit to the right of the decimal point). * Premium Price Denominator Code is implied to be B ( digits to the right of the decimal point). * * Any message whose values cannot fit in byte unsigned integers with the given Denominator Code restrictions must use a Long Quote. Appendages are the same as for the Short Quotes and Long Quotes. q Message length: bytes with no appendage; 3 bytes with a Single, bytes with a Double OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page 7
11 Denominator Codes Denominator Numerator Code Value (number of decimal places) A 0 B 00 C,000 3 D 0,000 E 00,000 5 F,000,000 6 G 0,000,000 7 H 00,000,000 8 I No Fraction 0 OPRA Binary Data Recipient Output Formats Summary Version. 03/8/0 Page 8
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