This section provides diagram examples for the following market data event scenarios from a FIX message perspective.
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Table of Contents maxLevel 5
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When the EJM5 order is acknowledged by CME Globex, this event is reported by an Incremental Book update message, followed by an Implied book update message. In this example, there is no additional event information to be sent, therefore an empty End of Event message is generated. Included in the FIX message are tag 60-TransactTime, tag 5799-MatchEventIndicator=10000000, and tag 268-NoMDEntries=0.
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Remaining working Orders and Statistics are resent before the trading session resumes. For each instrument that has been active during current session the following data will be recovered:
- Electronic volume (for instruments that have traded or participated in the match as a leg).
- Customer order book, if any orders remain on the book.
- Highest trade, Lowest trade, Indicative Opening (if available).
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Once the data for all active instruments on the channel is recovered, it will be followed by:
- Group States - for all Security Groups listed on the channel.
- Implied matching state messages for channels with Implied products (implied matching ON/OFF).
- Instruments states that are different from the group will be resent.
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Event: Bid side aggressor order trades with multiple ask orders at the best three price levels.
Gliffy name outright trade multiple price levels func pagePin 25
Calendar Spread Trade
Event: Incoming Calendar Spread aggressor order immediately trades with resting Calendar Spread opposing-side order.
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