The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCP 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 | | 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 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 | 48 | SecurityID | Int32 | int | | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | 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 | Int32NULL | Qty | | Quantity of the MD Entry. | →37719 | TradeableSize | Int32NULL | Qty | | Bilateral |
product tradeable product tradeable quantity specific to a firm | →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 | 0=DailyOpenPrice 5=IndicativeOpeningPrice 100=IntradayVWAP 101=RepoAverage8_30AM 102=RepoAverage10AM 103=PrevSessionAverage10AM | Flag that identifies a market data entry | →269 | MDEntryType | MDEntryType | char | 0=Bid 1=Offer E=Implied Bid F=Implied Offer 2=Trade (last trade price) 4=Opening Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP e=Electronic Volume | Market Data entry type. | →5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | | Indicates the date of trade session corresponding to a Statistic Entry in YYYYMMDD format | →731 | SettlPriceType | SettlPriceType | MultipleCharValue | | | Info |
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Settlements are not supported on BrokerTec markets. |
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