MDP 3.0 - Trade Summary

This section provides an overview and examples of how trade and trade-driven market data is sent using the Trade Summary message.

1 Trade Summary Data Overview
2 Trade Summary Tag Usage
3 Trade Summary Composition
- 3.1 Trade Summary Example - Actual Orders Only (No Implieds)
- 3.2 Trade Summary Example - Actual and Implied Orders

Trade Summary Data Overview

The Market Data Incremental Refresh (35=X) message includes a Trade Summary message which indicates the quantity and inclusion of the anonymous, CME Globex-assigned order identifier.

Trade Summary Data Sequence

The Trade Summary data is the first type of message sent on the market data feed for a trade.

A Trade Summary message represents a distinct match comprised of all orders that traded together as the result of a single aggressing order, elected stop order, mass quote, or a market state event.

Under certain circumstances, there exists the possibility of multiple rounds of order matches in a given event, and as a result, separate Trade Summary messages sent for each round as described below.

A single Trade Summary message can be split across multiple packets if the total number of related entries cannot be fit in a single UDP packet.

The following are true regardless of whether the Trade Summary message is included in a single packet or split across multiple packets:

all tag 268-NoMDEntries Trade groups are sent before tag 37705-NoOrderIdEntries groups.
the total number of orders from tag 346-NumberOfOrders will be equal to number 37705-NoOrderIdEntries reported for the match across all split Trade Summary packets.
the sequence of OrderIDs in tag 37705-NoOrderIdEntries always corresponds to the sequence of tag 346 NumberOfOrders reported in tag 268-NoMDEntries Trade groups. This functionality is only supported on F&O and BrokerTec markets

Packet 1

35=X

60=1419420413213820229

268=4

48=50393 83=5095379 269=2 270=2080250000000,-7 271=30 279=0 346=13 5797=2 37711=55544445678

48=50393 83=5095380 269=2 270=2080000000000,-7 271=77 279=0 346=28 5797=2 37711=55544445678

48=50393 83=5095381 269=2 270=2079750000000,-7 271=61 279=0 346=28 5797=2 37711=55544445678

48=50393 83=5095382 269=2 270=2079500000000,-7 271=82 279=0 346=37 5797=2 37711=55544445678

(Total of Tag 346=106)

5799=00000000,0 EOE indicating Trade Summary’s (or EOE) will continue in the next packet

37705=77 In Packet 1, Tag 346=106 & Tag 37705=77, which indicates a difference of 29 groups. The data for the 29 additional order ids and quantities are included in the next packet.

32=30 37=0

32=2 37=642830998875

32=2 37=642830998882

32=3 37=642830998881

32=4 37=0

32=1 37=642830999131

32=1 37=642830999133

32=1 37=642830999132

32=1 37=642830999134

32=11 37=0

32=1 37=642830998557

32=1 37=0

32=2 37=0

32=77 37=0

32=1 37=642830998180

32=6 37=0

32=2 37=642830998191

32=10 37=0

32=2 37=642830998208

32=10 37=0

32=3 37=642830998207

32=3 37=642830998206

32=1 37=0

32=1 37=642830998219

32=2 37=0

32=6 37=642830998230

32=1 37=642830998416

32=1 37=642830998417

32=1 37=642830998404

32=1 37=642830998556

32=8 37=642830998572

32=2 37=0

32=1 37=642830993141

32=2 37=642830998583

32=1 37=642830998585

32=6 37=0

32=1 37=642830998026

32=1 37=0

32=2 37=0

32=1 37=0

32=1 37=642830999139

32=61 37=0

32=3 37=642830997665

32=2 37=642830998022

32=1 37=642830997705

32=3 37=642830997663

32=8 37=0

32=1 37=0

32=2 37=642830998064

32=2 37=0

32=1 37=642830998097

32=1 37=642830998098

32=1 37=642830998099

32=1 37=0

32=2 37=642830998101

32=1 37=0

32=8 37=642830998127

32=1 37=642830998133

32=6 37=0

32=1 37=0

32=2 37=0

32=1 37=642830997655

32=2 37=0

32=4 37=0

32=1 37=0

32=1 37=642830999141

32=2 37=642830999153

32=82 37=0

32=2 37=642830997898

32=2 37=0

32=2 37=642830997929

32=10 37=0

32=3 37=642830997938

32=1 37=642830997939

32=2 37=642830998003

Packet 2

35=X

60=1419420413213820229

268=0

5799=00000001,1 Tag 5799=00000001 indicating end of Trade Summary

10002=42

10004=4532156

10005=1419420413215535972

37705=29 In Packet 2, Tag 37705=29. The remaining 29 groups are included in this packet. They are a continuation of the order id and quantity data from the matches identified in the previous Trade Summary message.

32=1 37=0

32=1 37=642830998009

32=1 37=642830998010

32=1 37=642830998021

32=2 37=0

32=8 37=642830998023

32=2 37=642830998028

32=1 37=0

32=1 37=642830998035

32=4 37=0

32=1 37=642830990593

32=6 37=0

32=8 37=0

32=2 37=0

32=4 37=0

32=1 37=642830998586

32=2 37=642830969875

32=1 37=0

32=1 37=642830998796

32=1 37=642830998797

32=1 37=642830998799

32=1 37=0

32=1 37=642830999143

32=2 37=642830999155

End of Event Indicator

Each Incremental Refresh message will contain tag 5799-MatchEventIndicator to indicate whether or not the message is the last one for the data type it represents in the given event. For example, tag 5799=00000001 indicates this message is the last Trade Summary message for the event (i.e., End of Trades, no further trades to follow). Refer to the tag 5799-MatchEventIndicator description in the MDP - Market Data Incremental Refresh message layout for complete details regarding this tag.

Trade Summary Market Data Entry Conditions

The Trade Summary market data entry (tag 269-MDEntryType=2) is only disseminated when at least one actual (non-implied) order participates in the trade.
For trades involving implied orders:
- If one side of a trade is an actual order and the other side is an implied order, the order detail (tag 37705-NoOrderIDEntries) portion of the Trade Summary message will only include trade information (OrderID and Last Qty) from the actual order.
The Trade Summary market data entry (tag 269-MDEntryType=2) message for legs of spread trades is NOT disseminated, but an Electronic Volume update (tag 269-MDEntryType=e) message is sent.

Trade Summary Tag Usage

Tag	FIX Name	Futures and Options	BrokerTec	EBS	Description

Tag	FIX Name	Futures and Options	BrokerTec	EBS	Description
60	TransactTime	X	X	X	Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	X	X	X	Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event.
Repeating Group 1
268	NoMDEntries	X	X	X	Number of Trade Summary entries
270	MDEntryPx	X	X	X	Trade price
271	MDEntrySize	X	X	Set to 0	Market Data entry size. For EBS, the value always set to zero.
48	SecurityID	X	X	X	Security ID as defined by CME
83	RptSeq	X	X	X	Sequence number per instrument update
346	NumberOfOrders	X	X	Set to 0	The total number of real orders per instrument that participated in a match step within a match event. For EBS, the value always set to zero.
5797	AggressorSide	X	X	X	Indicates which side is the aggressor or if there is no aggressor 1- bid aggressor 2 - ask aggressor
279	MDUpdateAction	X	X	X	Market Data update action 0 - new trade 1- modified trade 2 - deleted trade
269	MDEntryType	2	2	2	Market Data entry type
37711	MDTradeEntryID	X	X	X	Market Data Trade entry ID
Repeating Group 2
37705	NoOrderIDEntries	X	X	Set to 0	Number of OrderID entries. This repeating group is not used for EBS Market and the value is always set to zero.
32	LastQty	X	X		The quantity transacted
37	OrderID	X	X	-	Unique order identifier as assigned by the exchange

Trade Summary Composition

The Trade Summary message is constructed as shown in the following diagrams.

Trade Summary Data Overview

Trade Summary Data Sequence

End of Event Indicator

Trade Summary Market Data Entry Conditions

Trade Summary Tag Usage

Trade Summary Composition

Trade Summary Example - Actual Orders Only (No Implieds)

Trade Summary Example - Actual and Implied Orders