The Market Data Incremental Refresh message below is sent for Trade Summary. This message maps to the MDIncrementalRefreshTradeSummary template in the SBE MDP Core schema.
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Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
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60 | TransactTime | uInt64 | UTCTimestamp | | Start of event processing time in number of nanoseconds since Unix epoch | 5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 00000001 – end of trades, not end of event | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event: Bit 0: (least significant bit) Last Trade Summary message for a given event | Info |
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For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message. |
Bit 1: Last electronic volume message for a given event Bit 2: Last customer order quote message for a given event Bit 3: Last statistic message for a given event Bit 4: Last implied quote message for a given event Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event | Repeating Group 1 |
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268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →270 | MDEntryPx | PRICE9 | Price | | Trade price | →271 | MDEntrySize | Int32 | Qty | | Consolidated trade quantity | →48 | SecurityID | Int32 | int | | A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion. | →83 | RptSeq | uInt32 | int | | Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero. | →346 | NumberOfOrders | Int32 | int | | The total number of real orders per instrument that participated in a match step within a match event | →5797 | AggressorSide | AggressorSide | int | 0=No aggressor 1=Buy 2=Sell | Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer. | →279 | MDUpdateAction | MDUpdateAction | int | 0=New (new trade) 1=Change (adjustment) 2=Delete (cancel) | Market Data update action | →269 | MDEntryType | MDEntryTypeTrade | char | 2=Trade Summary | Market Data entry type. | →37711 | MDTradeEntryID | uInt32NULL | int | | Market Data Trade entry ID | Repeating Group 2 |
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37705 | NoOrderIDEntries | NoOrderIDEntries | | | Number of OrderID entries | →37 | OrderID | uInt64 | int | | Unique ID assigned by CME Globex to identify orders. | →32 | LastQty | Int32 | Qty | | Quantity bought or sold on this last fill |
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