The Market Data Snapshot message below is the Market Data Snapshot for Market by Order Limited Depth (MBOLD) book processing for conflated market data groups. This message maps to the SnapshotRefreshTopOrders template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|---|---|---|---|---|
60 | TransactTime | uInt64 | UTCTimestamp | Start of event processing time in number of nanoseconds since Unix epoch | |
5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 10000000 - last message in the event example: 00000000 - not last message in the 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 |
48 | SecurityID | Int32 | int | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | |
Repeating Group 1 | |||||
| 268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | ||
→37 | OrderID | uInt64 | int | Unique ID assigned by CME Globex to identify orders. | |
→37707 | MDOrderPriority | uInt64 | int | Order priority for execution on the order book. | |
→270 | MDEntryPx | PRICE9 | Price | Order price | |
→37706 | MDDisplayQty | Int32 | Qty | Visible quantity of an order to the market. Orders may have additional hidden display quantity. | |
→269 | MDEntryType | MDEntryTypeBook | char | 0=Bid 1=Offer | Market Data entry type. |