This topic describes Market Data Security Status (tag 35-MsgType=f) management for for CME Globex. The Market Data Security Status message is used to indicate:
Security group market state change
Instrument state change
Implied matching OFF/ ON state
Trade date roll
Workup state change
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Security Status Market State Support
This section outlines CME Globex Market Data Security Status (35=f) FIX message tag usage for product groups, instruments and workup processing.
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These group level messages map to the SecurityStatus template in the SBE MDP core message schema.
Tag | Pre-Open | Pre-Open - No Cancel | Opening | Open | Trade Date Roll (While Open) | Pause | Close - Not Final | Close - Final | Post - Close | Unknown / Invalid | Implied Matching ON/OFF by Product Code |
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Description | Orders, Cx, CxR are allowed, except for MKT, FAK, FOK | End of Pre-Open state. Usually 30 seconds before market transitions to opening. Order entry is allowed. Modification and cancellation are not allowed. | Brief intermediate state. Pre-Open orders are resolved following Indicative Opening Price (IOP) determination. Trades are sent. | Start of continuous trading phase. Order matching begins. | Event that moves Trade Date for the group. Statistics are being reset. Not related to state change. | Interruption of continuous trading. Only order cancellation is allowed. Order matching is not allowed | End of day preparation for the next Pre-Open. Not final close for the date. This state allows a mid-session Pre-Open to be initiated. | Final Close for the date. Day orders are eliminated. | Allows GTC/GTD orders only placement, modification, and cancellation. No matching takes place and no action can be taken on non-GTC/GTD orders. | Used as default ERROR state when group state is unknown or cannot be determined by sending component. | Change in Implied matching status only for the instruments with a given product code in the group. |
Market Support |
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60-TransactTime | X | X | X | X | X | X | X | X | X | X | X |
75-TradeDate | X | X | X | X | X | X | X | X | X | X | X |
5799-MatchEventIndicator | X | X | X | X | X | X | X | X | X | X | X |
1151-SecurityGroup | X | X | X | X | X | X | X | X | X | X | X |
6937-Asset | - | - | - | - | - | - | - | - | - | - | X |
48-SecurityID | - | - | - | - | - | - | - | - | - | - | - |
326-SecurityTradingStatus | 21 (Pre-Open) | 21 (Pre-Open) | 15 (New Price Indication) | 17 (Ready to trade [start of session]) | 17 (Ready to trade) | 2 (Trading halt) | 18 (Not available for trading) | 4 (Close) | 26 (Post Close) | 20 (Unknown or Invalid) | 103 (No Change) |
327-HaltReason | 0 (Scheduled) 1 (Surveillance Intervention) 6 (Recovery in Process) | 0 (Scheduled) | 0 (Scheduled) | 0 (Scheduled) 1 (Surveillance Intervention) | 7(Trade Date Roll) | 0 (Scheduled) 1 (Surveillance Intervention) 6 (Recovery in Process) | 0 (Scheduled) or 1 (Surveillance Intervention) | 0 (Scheduled) 1 (Surveillance Intervention) | 0 (Scheduled) 1 (Surveillance Intervention) | 5 (Unknown) | 1 (Surveillance Intervention) 2 (Market Event) |
1174-SecurityTradingEvent | 0 (No Event) 4 (Reset Stats) | 1 (No Cancel) | 0 (No Event) | 0 (No Event) 4 (Reset Stats) | 4 (reset stats) | 0 (No Event) 4 (Reset Stats) | 0 (No Event) | 0 (No Event) 4 (Reset Stats) | 0 (No Event) | 0 (No Event) | 5 (Implied ON) 6 (Implied OFF) |
Instrument Security Status Tag Usage
These instrument level messages map to the SecurityStatus template in the SBE MDP core message schema.
Tag | Pre-Open (Reserved) | Open | Pause | Close (Forbidden) | Pre-Cross | Cross | Unknown / Invalid | Implied Matching ON/OFF |
|---|---|---|---|---|---|---|---|---|
Description | Due |
to Velocity Logic (VL), the market automatically enters a brief Reserved state for a predetermined time period. Instruments can also be reserved by Surveillance. | Instrument returns to group Open state after being Reserved, Forbidden or Paused. Instrument Open status is also sent due to Instrument activation. | Interruption of continuous trading. Only order cancellation is allowed. Order modification and matching are not allowed. | Order matching is not allowed. Incoming orders are rejected along with cancel requests. | Invoked by Customer Request for Cross (RFC) message. Holds RFC matching for a configurable time period. All other order entry and matching is allowed. | Configured Pre-Cross time expired. | Used as default ERROR state when instrument state is unknown or cannot be determined by sending component. | Change in Implied matching status for the instrument(s). Not related to state change. | |
Market Support |
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60-TransactTime | X | X | X | X | X | X | X | X |
75-TradeDate | X | X | X | X | X | X | X | X |
5799 | X | X | X | X | X | X | X | X |
1151-SecurityGroup | - | - | - | - | - | - | - | - |
6937-Asset | - | - | - | - | - | - | - | - |
48-SecurityID | X | X | X | X | X | X | X | X |
326-SecurityTradingStatus | 21 (Pre Open) | 17 (Open) | 2 (Trading Halt) | 18 (Not Available for Trading) | 24 (Pre-Cross) | 25 (Cross) | 20 (Unknown or Invalid) |
103 (No Change) | ||||||||
327-HaltReason | 1 (Surveillance Intervention) 2 (Market event) | 1 (Surveillance Intervention) 2 (Market event) 3 (activation) | 1 (Surveillance Intervention) | 1 (Surveillance Intervention) 4 (expiration) | 2 (Market) | 2 (Market) | 5 (Unknown) | 1 (Surveillance Intervention) 2 (Market event) |
1174-SecurityTradingEvent | 0 (No Event) | 0 (No Event) | 0 (No Event) | 0 (No Event) | 0 (No Event) | 0 (No Event) | 0 (No Event) | 5 (Implied ON) 6 (Implied OFF) |
Workup Message Tag Usage
This Market Data Security Status (tag 35-MsgType=f) message is used to indicate a workup status. It maps to the SecurityStatusWorkup template in the SBE MDP core message schema.
| Info |
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See BrokerTec on CME Globex Market Functionality for more information regarding workups. |
Tag | Open | Close (Forbidden) | Private Workup | Public Workup |
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Description | Instrument returns to group Open state after the public phase of a workup is complete due to one of the following reasons:
| Work up phases ended due to one of the following reasons:
| Denotes the private phase of a workup | Denotes the public phase of a workup |
Market Support |
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60 | X | X | X | X |
75 | X | X | X | X |
5799 | X | X | X | X |
48 | X | X | X | X |
326 | 17 (Open) | 18 (Not Available for Trading) | 201 (Private Workup) | 202 (Public Workup) |
327 | 0=Group schedule (default) | 2=Market event | 2=Market event | 2=Market event |
1174 | 7=End Of Workup | 0=No Event (default) | 0=No Event (default) | 0=No Event (default) |
Repeating Group | ||||
→37 | X | X | X | X |
→54 | 1 (Buy) | 1 (Buy) | 1 (Buy) | 1 (Buy) |
→1057 | 0 (Not Aggressor) | 0 (Not Aggressor) | 0 (Not Aggressor) | 0 (Not Aggressor) |
Security Status Priority
On CME Globex MDP3, the last Market Data Security Status (tag 35-MsgType=f) message sent takes precedence. The following example highlights this concept.
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Assume the following market states for the following instruments within the same Security Group (DD):
Instrument Name | Tag 48-SecurityID | Tag 1151-SecurityGroup | Tag 326-SecurityTradingStatus | Tag 327-HaltReason | Tag 1174-SecurityTradingEvent |
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AAA | 123 | DD | 15 (New Price Indication) | 0 (Scheduled) | 0 (No Event) |
BBB | 456 | DD | 15 (New Price Indication) | 0 (Scheduled) | 0 (No Event) |
CCC | 789 | DD | 15 (New Price Indication) | 0 (Scheduled) | 0 (No Event) |
Message #1 - Open Group Status Change
In this step, all instruments in Group DD are changed to open (Tag 326-SecurityTradingStatus=17) with a group level security status message. A group level security status change is indicated by the presence of tag 1151-SecurityGroup and a null 48-SecurityID.
Security Status Message Update
Tag | Value |
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1151-SecurityGroup | DD |
48-SecurityID | null |
326-SecurityTradingStatus | 17 (Ready to trade) |
327-HaltReason | 0 (Scheduled) |
1174-SecurityTradingEvent | 0 (No Event) |
Resulting Market States
Instrument Name | Tag 48-SecurityID | Tag 1151-SecurityGroup | Tag 326-SecurityTradingStatus | Tag 327-HaltReason | Tag 1174-SecurityTradingEvents |
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AAA | 123 | DD | 17 (Ready to trade) | 0 (Scheduled) | 0 (No Event) |
BBB | 456 | DD | 17 (Ready to trade) | 0 (Scheduled) | 0 (No Event) |
CCC | 789 | DD | 17 (Ready to trade) | 0 (Scheduled) | 0 (No Event) |
Message #2 - Instrument Status Change
Next, only instrument AAA status is changed to halt (Tag 326-SecurityTradingStatus=2) with a instrument level security status message. An instrument level security status change is indicated by the presence of tag 48-SecurityID and a null 1151-SecurityGroup.
Security Status Message Update
Tag | Value |
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1151-SecurityGroup | null |
48-SecurityID | 123 |
326-SecurityTradingStatus | 2 (Trading halt) |
327-HaltReason | 1 (Surveillance Intervention) |
1174-SecurityTradingEvent | 0 (No Event) |
Resulting Market States
Instrument Name | Tag 48-SecurityID | Tag 1151-SecurityGroup | Tag 326-SecurityTradingStatus | Tag 327-HaltReason | Tag 1174-SecurityTradingEvents |
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AAA | 123 | DD | 2 (Trading halt) | 1 (Surveillance Intervention) | 0 (No Event) |
BBB | 456 | DD | 17 (Ready to trade) | 0 (Scheduled) | 0 (No Event) |
CCC | 789 | DD | 17 (Ready to trade) | 0 (Scheduled) | 0 (No Event) |
| Anchor | ||||
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In this step, all instruments in Group DD are changed to close (Tag 326-SecurityTradingStatus=4), including the previously halted instrument AAA.
Security Status Message Update
Tag | Value |
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1151-SecurityGroup | DD |
48-SecurityID | null |
326-SecurityTradingStatus | 4 (Close) |
327-HaltReason | 0 (Scheduled) |
1174-SecurityTradingEvent | 0 (No Event) |
Resulting Market States
Instrument Name | Tag 48-SecurityID | Tag 1151-SecurityGroup | Tag 326-SecurityTradingStatus | Tag 327-HaltReason | Tag 1174-SecurityTradingEvents |
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AAA | 123 | DD | 4 (Close) | 0 (Scheduled) | 0 (No Event) |
BBB | 456 | DD | 4 (Close) | 0 (Scheduled) | 0 (No Event) |
CCC | 789 | DD | 4 (Close) | 0 (Scheduled) | 0 (No Event) |
Instrument Expiration for BrokerTec
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