The Market Data Incremental Refresh message below is sent for volume updates. This message maps to the MDIncrementalRefreshVolume 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: 00000010 – end of volume, not the 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 | |||||
| 268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | ||
| →271 | MDEntrySize | Int32 | Qty | Cumulative traded volume | |
| →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. The The MDP Conflated TCP market data group sends a RptSeq value of zero. | |
| →279 | MDUpdateAction | MDUpdateAction | int | 0=New | Market Data update action. |
| →269 | MDEntryType | MDEntryTypeVol | char | e=Electronic Volume | Electronic Volume entry provides cumulative session trade volume updated with the event |