The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBOFD (Market by Order Full Depth) and MBOLD (Market by Order Limited Depth) UDP Market Recovery feeds. This message maps to the SnapshotFullRefreshOrderBook template in the SBE MDP Core schema.
| Excerpt |
|---|
Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|
369 | LastMsgSeqNumProcessed | uInt32 | SeqNum | | Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed | 911 | TotNumReports | uInt32 | int | | Total number of instruments in the replayed loop | 48 | SecurityID | Int32 | int | | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | 37709 | NoChunks | uInt32 | int | | Total number of packets that constitutes a single instrument order book | 37710 | CurrentChunk | uInt32 | int | | Chunk sequence | 60 | TransactTime | uInt64 | UTCTimestamp | | Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch | Repeating Group 1 | 268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →37 | OrderID | uInt64 | int | | Unique ID assigned by CME Globex to identify orders | →37707 | MDOrderPriority | uInt64NULL | int | | Order priority for execution on the order book | →270 | MDEntryPx | PRICE9 | Price | | Order Price | →37706 | MDDisplayQty | Int32 | Qty | | Visible quantity of an order to the market. Orders may have additional hidden display quantity. | →269 | MDEntryType | MDEntryTypeBook | char | 0=Bid 1=Offer | Market Data entry type |
|