CGIF Cboe Global Indices

Dataset ID: CGI.CGIF

Cboe disseminates index values with status for its Cboe Global Indices through their Cboe Titanium Cboe Global Indices Feed (CGIF), which Databento receives over UDP multicast in our NY4 data center.

CGIF is an index feed rather than an order-driven market: Cboe does not publish order book depth for these datasets, so Databento does not offer an MBO schema for CGIF. CGI.CGIF only carries IndexValueWithStatus messages: those without a Close or Settlement value are normalized to the trades and MBP-1 schemas, and those that do carry a Close or Settlement value are normalized to the statistics schema instead. Index status is normalized to the status schema, and index definitions to instrument definitions.

Other CGIF datasets

The Cboe Titanium Cboe Global Indices Feed also carries values from several other index providers, each published as its own dataset.

• Cboe Global Indices Feed (MAIN.CGIF)
• MSCI (MSCI.CGIF)
• FTSE Russell (FTSE.CGIF)
• Intraday Net Asset Values (INAV.CGIF)
• Morningstar (MSTAR.CGIF)
• Crypto Currency Indices (CCCY.CGIF)

Timestamps

CGIF messages include a SendingTime in the packet header, shared by every message in that packet. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.

Note that SendingTime only carries millisecond resolution, and no additional precision is added when normalizing it to a nanosecond ts_event. More details about our timestamps are available in our timestamping guide.

MBP-1 and Trades

CGIF does not publish order book depth, so IndexValueWithStatus messages without a Close or Settlement entry are normalized to a single-level MBP-1 record: the Bid and Ask values become bid_px and ask_px at the top book level, the IndexValue entry becomes price, and action is fixed to Trade.

A matching trades record copies over ts_recv, ts_event, ts_in_delta, price, flags, and action from the MBP-1 record, with depth fixed to 0.

Flags

The F_LAST flag is always set.

The F_PUBLISHER_SPECIFIC flag indicates an indicative index value: it is set when IndexStatus is Indicative, and unset when Normal.

Statistics

IndexValueWithStatus messages that do carry a Close or Settlement entry are normalized to the statistics schema instead:

CGI.CGIF only carries IndexValueWithStatus messages - it doesn't receive IndexSummary messages, so it never produces the start-of-day and end-of-day statistics that MSTAR.CGIF does.

Definitions

• Symbol is normalized to raw_symbol verbatim
• Agent, a 2-character classification code, is normalized to group
• Channel, the CGIF channel that index data is received on, is normalized to secsubtype
• exchange is always set to the literal CGIF
• instrument_class is always INDEX
• match_algorithm is always UNDEFINED, since CGIF is an index feed with no matching engine

Status

The corresponding status schema record is derived from the definition's Status field: