This topic describes Market Data Security Status (tag 35-MsgType=f) management for CME Globex. The The Market Data Security Status message is used to indicate:
- Security group market state change
- Instrument state change
- Implied matching OFF/ ON state
- Trade date roll
- Workup state change
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Tag | Pre-Open | Pre-Open - No Cancel | Opening | Open | Trade Date Roll (While Open) | Pause | Close - Not Final | Close - Final | Post - Close | Unknown / Invalid | Implied Matching ON/OFF by Product Code |
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Description | Orders, Cx, CxR are allowed, except for MKT, FAK, FOK | End of Pre-Open state. Usually 30 seconds before market transitions to opening. Order entry is allowed. Modification and cancellation are not allowed. | Brief intermediate state. Pre-Open orders are resolved following Indicative Opening Price (IOP) determination. Trades are sent. | Start of continuous trading phase. Order matching begins. | Event that moves Trade Date for the group. Statistics are being reset. Not related to state change. | Interruption of continuous trading. Only order cancellation is allowed. Order matching is not allowed | End of day preparation for the next Pre-Open. Not final close for the date. This state allows a mid-session Pre-Open to be initiated. | Final Close for the date. Day orders are eliminated. | Allows GTC/GTD orders only placement, modification, and cancellation. No matching takes place and no action can be taken on non-GTC/GTD orders. | Used as default ERROR state when group state is unknown or cannot be determined by sending component. | Change in Implied matching status only for the instruments with a given product code in the group. |
Market Support |
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60-TransactTime | X | X | X | X | X | X | X | X | X | X | X |
75-TradeDate | X | X | X | X | X | X | X | X | X | X | X |
| 5799-MatchEventIndicator | X | X | X | X | X | X | X | X | X | X | X |
1151-SecurityGroup | X | X | X | X | X | X | X | X | X | X | X |
| 6937-Asset | - | - | - | - | - | - | - | - | - | - | X |
| 48-SecurityID | - | - | - | - | - | - | - | - | - | - | - |
326-SecurityTradingStatus | 21 (Pre-Open) | 21 (Pre-Open) | 15 (New Price Indication) | 17 (Ready to trade [start of session]) | 17 (Ready to trade) | 2 (Trading halt) | 18 (Not available for trading) | 4 (Close) | 26 (Post Close) | 20 (Unknown or Invalid) | 103 (No Change) |
327-HaltReason | 0 (Scheduled) 1 (Surveillance Intervention) 6 (Recovery in Process) | 0 (Scheduled) | 0 (Scheduled) | 0 (Scheduled) 1 (Surveillance Intervention) | 7(Trade Date Roll) | 0 (Scheduled) 1 (Surveillance Intervention) 6 (Recovery in Process) | 0 (Scheduled) or 1 (Surveillance Intervention) | 0 (Scheduled) 1 (Surveillance Intervention) | 0 (Scheduled) 1 (Surveillance Intervention) | 5 (Unknown) | 1 (Surveillance Intervention) 2 (Market Event) |
1174-SecurityTradingEvent | 0 (No Event) 4 (Reset Stats) | 1 (No Cancel) | 0 (No Event) | 0 (No Event) 4 (Reset Stats) | 4 (reset stats) | 0 (No Event) 4 (Reset Stats) | 0 (No Event) | 0 (No Event) 4 (Reset Stats) | 0 (No Event) | 0 (No Event) | 5 (Implied ON) 6 (Implied OFF) |
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In this step, all instruments in Group DD are changed to open (Tag 326-SecurityTradingStatus=17) with a group level security status message. A group level security status change is indicated by the presence of tag 1151-SecurityGroup and a null 48-SecurityID.
Security Status Message Update
| Tag | Value |
|---|---|
1151-SecurityGroup | DD |
| 48-SecurityID | null |
326-SecurityTradingStatus | 17 (Ready to trade) |
327-HaltReason | 0 (Scheduled) |
1174-SecurityTradingEvent | 0 (No Event) |
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Next, only instrument AAA status is changed to halt (Tag 326-SecurityTradingStatus=2) with a instrument level security status message. An instrument level security status change is indicated by the presence of tag 48-SecurityID and a null 1151-SecurityGroup.
Security Status Message Update
| Tag | Value |
|---|---|
1151-SecurityGroup | null |
| 48-SecurityID | 123 |
326-SecurityTradingStatus | 2 (Trading halt) |
327-HaltReason | 1 (Surveillance Intervention) |
1174-SecurityTradingEvent | 0 (No Event) |
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In this step, all instruments in Group DD are changed to close (Tag 326-SecurityTradingStatus=4), including the previously halted instrument AAA.
Security Status Message Update
| Tag | Value |
|---|---|
1151-SecurityGroup | DD |
| 48-SecurityID | null |
326-SecurityTradingStatus | 4 (Close) |
327-HaltReason | 0 (Scheduled) |
1174-SecurityTradingEvent | 0 (No Event) |
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