The Market Data Incremental Refresh message is sent for book updates that include Market by Order Full Depth (MBOFD) updates. For more information regarding MBOFD template processing, see the the Incremental Refresh SBE Template Book Processing section section. This message maps to the MDIncrementalRefreshOrderBook template in the SBE MDP Core Message schema.
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Tag | FIX Name | Type | Semantic Type | Valid Values for BrokerTec | 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: 00000100 – end of quotes, not end of event example: 10010000 – end of implied quotes, 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 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 | 268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →37 | OrderID | uInt64NULL | int | | Unique ID assigned by CME Globex to identify orders. | →37707 | MDOrderPriority | uInt64NULL | int | | Order priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders. | →270 | MDEntryPx | PRICENULL9 | Price | | Order price | →37706 | MDDisplayQty | Int32NULL | Qty | | Visible quantity of an order to the market. Orders may have additional hidden display quantity. | →48 | SecurityID | Int32 | int | | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | →279 | MDUpdateAction | MDUpdateAction | int | 0=New 1=Change 2=Delete | Order book update action to be applied to the order referenced by OrderID. | →269 | MDEntryType | MDEntryTypeBook | char | 0=Bid 1=Offer | Market Data entry type |
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