The Market Data Incremental Refresh message below is sent for Daily Statistics. This message maps to the MDIncrementalRefreshDailyStatistics template in the SBE MDP Core schema.
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Tag | FIX Name | Type | SemanticType | Valid Value | 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: 00000000=not end of event example: 10000000=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 |
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268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →270 | MDEntryPx | PRICENULL9 | Price | | Market Data entry price | →271 | MDEntrySize | Int32NULL | Qty | | Market Data entry size | →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 | | Market Data entry sequence number per instrument update | →5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | | Indicates trade session date corresponding to a statistic entry | →731 | SettlPriceType | SettlPriceType | MultipleCharValue | | Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL | →279 | MDUpdateAction | MDUpdateAction | int | 0=New | Market Data update action | →269 | MDEntryType | MDEntryTypeDailyStatistics | char | 6=Settlement Price B=Trade Volume C=Open Interest W=Fixing Price | Market Data entry type. 0=Bid 1=Offer E=Implied Bid F=Implied Offer 2=Trade Summary 4=Opening Price 6=Settlement Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP N=Session High Bid O=Session Low Offer B=Trade Volume C=Open Interest W=Fixing Price J=Empty Book e=Electronic Volume g =Threshold Limits and Price Band Variation |
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