This section provides an overview and examples of how trade and trade-driven market data is sent using the Trade Summary message.
Contents
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See also:
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Trade Summary Data Overview
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The following are true regardless of whether the Trade Summary message is included in a single packet or split across multiple packets:
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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 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=1 37=0 32=8 37=642830998127 32=1 37=642830998133 32=6 37=0 32=1 37=0 32=2 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 messageSummary 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=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=2 37=0 32=4 37=0 32=1 37=642830998586 32=2 37=642830969875 32=1 37=0 32=1 37=0 32=1 37=0 32=1 37=642830998796 32=1 37=642830998797 32=1 37=642830998799 32=1 37=0 32=1 37=0 32=1 37=642830999143 32=2 37=642830999155 |
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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 |
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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 Example
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