Category Code H - High-Low-Last Messages
- Space Sync for Confluence
The High-Low-Last message may be sent (but is not required to be sent) following the deletion or insertion of any message numerically equal to the high or low price of the day or the last price. Although use of the High-Low-Last message is at the option of each exchange, an exchange which elects to utilize the High-Low-Last message should constantly send it after each deletion and without regard to whether the transaction to be deleted was the particular transaction which set the high or low price for the day and without regard to whether the deletion results in a change in the high-low range
The High-Low-Last message may also be sent at any time at the discretion of the exchange. For example, an exchange may send a High-Low-Last message for one (1) contract each minute, or whenever the ticker line has been idle for ten (10) seconds. However, exchanges should avoid sending High-Low-Last messages in bursts to avoid full-line loading. The High-Low-Last message may also be used to correct the high-low range where the particular message which should have updated the range cannot readily be identified for processing as an Insert or Delete message.
These messages are generated at the end of a trading session or when a quote adjustment is made that affected the session high/low.
When adjustment is made that affects the high/low this representative of only the open outcry session and the Session ID is blank. When these messages are sent at the end of the day, they are a summary of the Globex and open outcry session and the Session ID is also blank.
ITC cat H messages for RTH trading are generated at end of session OR when a quote adjustment is made that affect the session high/low.
The following conditions apply for Category Code H - High-Low-Last messages:
Where Category Code H (position 7) AND Session ID " " (position 24), CME Group will not send the message.
Where Category Code H (position 7) AND Session ID "G" (position 24), CME Group will not send the message.
Futures
The following sample message contains High-Low-Last for futures:
aN FH E02737721729460 b RB Z12TX124 0028495+T 4 0028494+T c
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘N ‘ | Exchange | Message Header |
6 | Product Classification Code | (1) | F | Product type
| Message Header |
7 | Category Code | (1) | H | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | E | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0273772 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1729460 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | “ “ | Session ID | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | ‘ ‘ | Space = No further definition included | Message Body |
27 - 29 | Future Commodity Code | (3) | ‘RB ‘ | ITC 2.1 product code | Message Body |
30 | Future Day Code | (1) | ‘ ‘ | Future Maturity Date | Message Body |
31 | Future Month Code | (1) | Z | Future maturity month | Message Body |
32 - 33 | Future Year Code | (2) | 12 | Future maturity year | Message Body |
34 | Last Trading Date Day Code | (1) | T | Future last trading date | Message Body |
35 | Last Trading Date Month Code | (1) | X | Future last trading month | Message Body |
36 - 37 | Last Trading Date Year Code | (2) | 12 | Future last trading year | Message Body |
38 - 39 | Price Fractional Indicator | (2) | ‘4 ‘ | See Price Conventions section. | Message Body |
40-46 | High Price | (7) | 0028495 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
47 | Price sign | (1) | + |
| Message Body |
48 | BAT Code | (1) | T | Bid/Ask/Trade last price indicator | Message Body |
49 | Price indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
50-51 | Price Fractional Indicator | (2) | ‘4 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
52-58 | Low Price | (7) | 0028494 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
59 | Price sign | (1) | + |
| Message Body |
60 | BAT Code | (1) | T | Bid/Ask/Trade last price indicator | Message Body |
61 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
62 -63 | Price Fractional Indicator | (2) | ‘ ‘ | See Price Conventions section | Message Body |
64-70 | Last Price | (7) | ‘ ‘ | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
71 | Price Sign | (1) | ‘ ‘ |
| Message Body |
72 | BAT Code | (1) | ‘ ‘ | Bid/Ask/Trade last price indicator | Message Body |
73 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
74 | ETX | (1) | 4 | Control character | Message Body |
Options
The following sample message contains High-Low-Last for options:
aN OH E02709891728240 b LO M11C0009500+ACL M11GK112 2 0001550+B 2 0001346+A c
Position | Name | Length | Sample Values | Description | Type |
|---|---|---|---|---|---|
1 | SOH control character | (1) | Binary representation of the number 1 | Control Character | Message Header |
2 - 3 | Exchange ID | (2) | ‘N ‘ | Exchange | Message Header |
4 - 5 | Vendor ID | (2) | ‘ ‘ | Vendor | Message Header |
6 | Product Classification Code | (1) | O | Product type
| Message Header |
7 | Category Code | (1) | H | Message type | Message Header |
8 | Type Code | (1) | ‘ ‘ | Message Sub-type | Message Header |
9 | Message Day Code | (1) | E | Day of month | Message Header |
10 - 16 | Message Sequence Number | (7) | 0270989 | Sequence number | Message Header |
17 - 23 | Message Time Stamp | (7) | 1728249 | Time will be represented as ‘HHMMSST’ for the time zone in which the exchange is located | Message Header |
24 | Session ID | (1) | ‘ ‘ | Session ID | Message Header |
25 | STX control character | (1) | Binary representation of the number 2 | Control Character | Message Header |
26 | Product Classification Type | (1) | Space = No Further Definition included | Represents a special type of options contract. | Message Body |
27 - 29 | Option Instrument Code | (3) | ‘LO ‘ | ITC 2.1 product code | Message Body |
30 | Option Day Code | (1) | ‘ ‘ | Option maturity day | Message Body |
31 | Option Month Code | (1) | M | Option maturity month | Message Body |
32 - 33 | Option Year Code | (2) | 11 | Option maturity year | Message Body |
34 | Put/Call Code | (1) | C | Identify put or call options | Message Body |
35 - 41 | Strike Price | (7) | 0009500 | The delineation of the whole number portion of the price | Message Body |
42 | Strike Price Sign | (1) | + | Represent positive or negative strike | Message Body |
43 | Expiration Indicator | (1) | A | Identifying the style of Expiration for the Option | Message Body |
44 - 46 | Underlying Future Commodity Code | (3) | ‘CL ‘ | Indicate the product complex | Message Body |
47 | Underlying Future Day Code | (1) | ‘ ‘ | Underlying Future maturity date | Message Body |
48 | Underlying Future Month Code | (1) | M | Underlying Future maturity month | Message Body |
49 - 50 | Underlying Future Year Code | (2) | 11 | Underlying Future maturity year | Message Body |
51 | Last Trading Date Day Code | (1) | G
| Option last trading date | Message Body |
52 | Last Trading Date Month Code | (1) | K | Option last trading month | Message Body |
53 - 54 | Last Trading Date Year Code | (2) | 11 | Option last trading year | Message Body |
55 -56 | Strike Price Fractional Indicator | (2) | ‘2 ‘ | All fractions are expressed as fractions or in decimals as is customary for the particular commodity. | Message Body |
57 | Strike Price Indicator | (1) | ‘ ‘ | Identify the manner in which the Strike Prices are coded. | Message Body |
58 - 59 | Price Fractional Indicator | (2) | ‘2 ‘ | See Price Conventions section. | Message Body |
60-66 | High Price | (7) | 0001550 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
67 | Price sign | (1) | + |
| Message Body |
68 | Bat Code | (1) | B | Bid/Ask/Trade last price indicator | Message Body |
69 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the Prices are coded. | Message Body |
70-71 | Price Fractional Indicator | (2) | ‘2 ‘ | See Price Conventions section. | Message Body |
72-78 | Low Price | (7) | 0001346 | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
79 | Price sign | (1) | + |
| Message Body |
80 | Bat Code | (1) | A | Bid/Ask/Trade last price indicator | Message Body |
81 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
82 -83 | Price Fractional Indicator | (2) | ‘ ‘ | See Price Conventions section | Message Body |
84-90 | Last Price | (7) | ‘ ‘ | The delineation of the whole number portion of the price, and the decimal/fractional portion of the price, will be defined by the Price Fractional Indicator Code | Message Body |
91 | Price Sign | (1) | ‘ ‘ |
| Message Body |
92 | BAT Code | (1) | ‘ ‘ | Bid/Ask/Trade last price indicator | Message Body |
93 | Price Indicator | (1) | ‘ ‘ | Identify the manner in which the prices are coded. | Message Body |
94 | ETX | (1) | Binary representation of the number 3 | Control character | Message Body |
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