The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCPLongQty template in the SBE MDP Core schema.
Tag | FIX Name | Type | Semantic Type | Valid Values for EBS | Description |
|---|---|---|---|---|---|
60 | TransactTime | uInt64 | UTCTimestamp | Time of execution/order creation; expressed in UTC. | |
5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | 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 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 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event | |
48 | SecurityID | Int32 | int | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | |
83 | RptSeq | uInt32 | int | Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero. | |
1149 | HighLimitPrice | PRICENULL9 | Price | Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected. | |
1148 | LowLimitPrice | PRICENULL9 | Price | Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected. | |
1143 | MaxPriceVariation | PRICENULL9 | Price | Differential static value for price banding. | |
Repeating Group 1 | |||||
268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | ||
→270 | MDEntryPx | PRICENULL9 | Price | Price of the Market Data Entry | |
→271 | MDEntrySize | uInt64NULL | Qty | MD entry quantity This field is in a notional format | |
→346 | NumberOfOrders | Int32NULL | int | Aggregate number of orders at given price level. In Trade Entry - Identifies the total number of real orders per instrument that participated in a match step within a match event. | |
→1023 | MDPriceLevel | Int8NULL | int | Aggregate book price level, number from 1 to 10 | |
→286 | OpenCloseSettlFlag | OpenCloseSettlFlag | int | null | Always set to null. Flag that identifies a market data entry |
→269 | MDEntryType | MDEntryType | char | 0=Bid 1=Offer w=MarketBestOffer x=MarketBestBid 2=Trade | Market Data entry type. |