Settlement price is updated throughout the trading week for an instrument and disseminated by means of the Market Data Incremental Refresh (tag 35-MsgType=X) message on the incremental feed.
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Tag | FIX Name | Format | Valid Values | Description | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 = New | Market data update action. | ||||||||||||||||||
269 | MDEntryType | Char | 6 = Settlement Price | Identifies price as a settlement price. | ||||||||||||||||||
| 48 | SecurityID | Int | Unique instrument ID. | |||||||||||||||||||
| 83 | ReptSeq | Int | MD Entry sequence number per instrument update. Reset weekly. | |||||||||||||||||||
| 270 | MDEntryPx | Price | Price of the MD Entry. | |||||||||||||||||||
731 | SettlPriceType | String | Examples
| Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL | ||||||||||||||||||
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
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Settlement at Trading Tick Example
Some CME Group products have a mini-sized product listed along with the full-sized product (e.g., e-mini, e-micro, and miNY products).
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In many cases, mini-sized products are marked to market and margined using their corresponding full-sized contract settlement.
The trading tick of the mini-product is not always equal to the settlement/trading tick of the full-sized product. For example, given:
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- Gold (GC) futures ticks at .10
- E-mini
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- Gold (QO) futures ticks at .25
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- Gold (GC) futures settles to an actual preliminary settlement price
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- at 2746.
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- 20
Settlement price sent for the standard or full-sized contract.
Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000010 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000010 = Preliminary Actual Settlement at Clearing Tick |
270 | MDEntryPx | Price | 12252746.3020 | Price of the MD Entry. Unrounded price value on clearing settlement tick. |
269 | MDEntryType | Int | 6 | Type of Market Data entry. 6 = Settlement Price |
5796 | TradingReferenceDate | LocalMktDate17093 | 20031 ( 19 Oct 201604 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
The eE-mini S&P 500 (ES) Gold (QO) futures instrument will have two settlement prices disseminated.
Settlement price on instrument’s clearing settlement tick.
Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000010 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000010=Preliminary Actual Settlement at Clearing Tick |
270 | MDEntryPx | Price | 12252746.3020 | Price of the MD Entry. Unrounded price value on clearing settlement tick. |
269 | MDEntryType | Char | 6 | Type of Market Data entry. 6=Settlement Price |
5796 | TradingReferenceDate | LocalMktDate17093 | 20031 ( 19 Oct 201604 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
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Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000110 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000110 = Preliminary Actual Settlement at Trading Tick |
270 | MDEntryPx | Price | 12132746.25 | Price of the MD Entry. Rounded to the nearest price on trading tick price. |
269 | MDEntryType | Char | 6 | Type of Market Data entry. 6 = Settlement Price |
5796 | TradingReferenceDate | LocalMktDate17093 | 20031 ( 19 Oct 201604 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.17093 = 10/19/2016 |