This section provides an overview and examples of how trade and trade-driven market data is sent using the Trade Summary message.
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Each Incremental Refresh message will contain tag 5799-MatchEventIndicator to indicate whether or not the message is the last one for the data type it represents in the given event. For example, tag 5799=00000001 indicates this message is the last Trade Summary message for the event (i.e., End of Trades, no further trades to follow). Refer to the tag 5799-MatchEventIndicator description in the MDP - Market Data Incremental Refresh message layout for complete details regarding this tag.
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| Tag | FIX Name | Futures and Options | BrokerTec | EBS | Description |
|---|---|---|---|---|---|
| 60 | TransactTime | X | X | X | Start of event processing time in number of nanoseconds since Unix epoch |
| 5799 | MatchEventIndicator | X | X | X | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event. |
| Repeating Group 1 | |||||
| 268 | NoMDEntries | X | X | X | Number of Trade Summary entries |
| 270 | MDEntryPx | X | X | X | Trade price |
| 271 | MDEntrySize | X | X | Set to 0 | Market Data entry size. For EBS, the value always set to zero. |
| 48 | SecurityID | X | X | X | Security ID as defined by CME |
| 83 | RptSeq | X | X | X | Sequence number per instrument update |
| 346 | NumberOfOrders | X | X | Set to 0 | The total number of real orders per instrument that participated in a match step within a match event. For EBS, the value always set to zero. |
| 5797 | AggressorSide | X | X | X | Indicates which side is the aggressor or if there is no aggressor 1- bid aggressor 2 - ask aggressor |
| 279 | MDUpdateAction | X | X | X | Market Data update action 0 - new trade 1- modified trade 2 - deleted trade |
| 269 | MDEntryType | 2 | 2 | 2 | Market Data entry type |
| 37711 | MDTradeEntryID | X | X | X | Market Data Trade entry ID |
| Repeating Group 2 | |||||
| 37705 | NoOrderIDEntries | X | X | Set to 0 | Number of OrderID entries. This repeating group is not used for EBS Market and the value is always set to zero. |
| 32 | LastQty | X | X | The quantity transacted | |
| 37 | OrderID | X | X | - | Unique order identifier as assigned by the exchange |
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