Message structure

CDE multicast UDP market data messages are encoded with Simple Binary Encoding (SBE) format with little-endian byte ordering. A UDP packet can contain zero or more messages, up to a maximum length of 1400 bytes.

Packet Header

All packets across all channels start with a packet header followed by zero or messages, up to a maximum length of 1400 bytes. The packet header has the following structure:

Packet Header	Type	Length	Offset	Description
SendingTime	int64	8	0	Nanoseconds since epoch
SeqNum	int64	8	8	Sequence number. Differs based on context: Incremental: Sequence generated from trading system, never reset Snapshot: Sequence associated with last incremental update Retransmit reject: Sequence sent by client, acts as a correlation ID
ChannelId	uint16	2	16	Channel ID for a ProductCode/Instrument set.
PktFlags	uint8	1	18	Bitset: 0x01: incremental update 0x02: snapshot 0x04: retransmit
PktMessageCount	uint8	1	19	Count of messages within packet
SnapshotInstrumentId	int32	4	20	Instrument ID of messages in snapshot packet (not used for incrementals)

Message Header

Each message in a packet starts with a message header. Existing fields are never removed or modified, but new fields and messages may be added.

Message versioning follows standard SBE versioning practices. New versions are backwards compatible with older clients.

Message Header	Type	Length	Offset	Description
FrameLength	uint16	2	0	Total message size in bytes including this header. Also includes repeating groups and var length data. Indicates empty space at end of message data for byte alignment.
BlockLength	uint16	2	2	Total length of message body in bytes excluding this header and any repeating groups or variable length field.
TemplateId	uint16	2	4	Message template identifier, specified for each message type in spec within parenthesis (##).
SchemaId	uint16	2	6	ID of message schema containing the template. Constant: SchemaId=1201
Version	uint16	2	8	Version of message schema