The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCPLongQty template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values for EBS | Description |
|---|---|---|---|---|---|
| 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 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. | |
| 83 | RptSeq | uInt32 | int | Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero. | |
| 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 | uInt64NULL | Qty | MD entry quantity This field is in a notional format | |
| →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 | null | Always set to null. Flag that identifies a market data entry |
| →269 | MDEntryType | MDEntryType | char | 0=Bid 1=Offer w=MarketBestOffer x=MarketBestBid 2=Trade | Market Data entry type. |