Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.
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Correlating MDP 3.0 with Order Entry
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MDP tag values correlate to the following iLink message tags for all message types:
MDP | iLink Order Entry |
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tag 55-Symbol | tag 107-SecurityDesc |
tag1151-SecurityGroup | tag 55-Symbol |
The following diagram shows how values translate across MDP and iLink order entry messages.
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Correlating Trade Summary from MDP 3.0 to iLink Execution Report
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This method does not apply to conflated market data. |
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The tag 60-TransactTime value will be sent in nanoseconds since the Unix epoch with microsecond precision. |
In this example Client System A submits an aggressing Sell order to match the resting Buy order submitted by Client System B.
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Correlating iLink Order Entry to MBO
Client systems can link their CME Globex iLink orders to MBO MDP 3.0 books via tag 37-OrderID.
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