The Market Data Incremental Refresh message below is sent for session statistics. This message maps to the MDIncrementalRefreshSessionStatistics 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: 00001000 – end of statistics, not end of event example: 10001000 – end of statistics, end of event | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex event | Repeating Group 1 | 268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →270 | MDEntryPx | PRICE9 | Price | | Market Data entry price | →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 | | MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero. | →286 | OpenCloseSettlFlag | OpenCloseSettlFlag | int | 0=DailyOpenPrice 5=IndicativeOpeningPrice 100=IntradayVWAP 101=RepoAverage8_30AM 102=RepoAverage10AM 103=PrevSessionAverage10AM | Flag describing entry type VWAP and Repo values are BrokerTec only. | →279 | MDUpdateAction | MDUpdateAction | int | 0=New 2=Delete (trading session prices only) | Market Data update action | →269 | MDEntryType | MDEntryTypeStatistics | char | 4=Opening Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP N=Highest Bid O=Lowest Offer | Market Data entry type VWAP value are BrokerTec only. | →271 | MDEntrySize | Int32NULL | Qty | | Indicative Opening Quantity |
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