MDP 3.0 - Security Status

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yesterday at 11:04 AM
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This topic describes Market Data Security Status (tag 35-MsgType=f) management for CME Globex. 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

Contents

Security Status Market State Support

This section outlines CME Globex Market Data Security Status (35=f) FIX message tag usage for product groups, instruments and workup processing.

Group Security Status Tag Usage 

These group level messages map to the SecurityStatus template in the SBE MDP core message schema.

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

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

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

  • Futures and Options

  • Brokertec

  • Futures and Options

  • Brokertec

  • Futures and Options

  • Brokertec

  • Futures and Options

  • Brokertec

  • EBS

  • EBS

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Futures and Options

  • Futures

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)

Instrument Security Status Tag Usage

These instrument level messages map to the SecurityStatus template in the SBE MDP core message schema.

Tag

Pre-Open (Reserved)

Open

Pause

Close (Forbidden)

Pre-Cross

Cross

Unknown / Invalid

Implied Matching ON/OFF

Tag

Pre-Open (Reserved)

Open

Pause

Close (Forbidden)

Pre-Cross

Cross

Unknown / Invalid

Implied Matching ON/OFF

Description

Due to Velocity Logic (VL), the market automatically enters a brief Reserved state for a predetermined time period. 

Instruments can also be reserved by Surveillance.

Instrument returns to group Open state after being Reserved, Forbidden or Paused.

Instrument Open status is also sent due to Instrument activation.

Interruption of continuous trading. Only order cancellation is allowed. Order modification and matching are not allowed.

Order matching is not allowed. 

Incoming orders are rejected along with cancel requests.

Invoked by Customer Request for Cross (RFC) message. Holds RFC matching for a configurable time period.

All other order entry and matching is allowed.

Configured Pre-Cross time expired.

Used as default ERROR state when instrument state is unknown or cannot be determined by sending component.

Change in Implied matching status for the instrument(s). Not related to state change.

Market Support

  • Futures and Options

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Brokertec

  • EBS

  • Futures and Options

  • Futures and Options

  • Futures and Options

  • Futures and Options

  • Brokertec (USTs)



60-TransactTime

X

X

X

X

X

X

X

X

75-TradeDate

X

X

X

X

X

X

X

X

5799

X

X

X

X

X

X

X

X

1151-SecurityGroup

-

-

-

-

-

-

-

-

6937-Asset

-

-

-

-

-

-

-

-

48-SecurityID

X

X

X

X

X

X

X

X

326-SecurityTradingStatus

21 (Pre Open)

17 (Open)

2 (Trading Halt)

18 (Not Available for Trading)

24 (Pre-Cross)

25 (Cross)

20 (Unknown or Invalid)

103 (No Change)

327-HaltReason

1 (Surveillance Intervention)

2 (Market event)

1 (Surveillance Intervention)

2 (Market event)

3 (activation)





1 (Surveillance Intervention)

1 (Surveillance Intervention)

4 (expiration)

2 (Market)

2 (Market)

5 (Unknown)



1 (Surveillance Intervention)

2 (Market event)

1174-SecurityTradingEvent

0 (No Event)

0 (No Event)

0 (No Event)

0 (No Event)

0 (No Event) 



0 (No Event)

0 (No Event)

5 (Implied ON)

6 (Implied OFF)

Workup Message Tag Usage  

This Market Data Security Status (tag 35-MsgType=f) message is used to indicate a workup status. It maps to the SecurityStatusWorkup template in the SBE MDP core message schema. 

See BrokerTec on CME Globex Market Functionality for more information regarding workups.

Tag

Open

Close (Forbidden)

Private Workup

Public Workup

Tag

Open

Close (Forbidden)

Private Workup

Public Workup

Description

Instrument returns to group Open state after the public phase of a workup is complete due to one of the following reasons:

  • All timers and extensions elapse

  • Manual intervention

Work up phases ended due to one of the following reasons:

  • Scheduled market close 

  • Manual Intervention

Denotes the private phase of a workup

Denotes the public phase of a workup

Market Support

  • BrokerTec US Repo

  • BrokerTec US Repo

 

  • BrokerTec US Repo

  • BrokerTec US Repo

60

X

X

X

X

75

X

X

X

X

5799

X

X

X

X

48

X

X

X

X

326

17 (Open)

18 (Not Available for Trading)

201 (Private Workup)

202 (Public Workup)

327

0=Group schedule (default)





2=Market event

2=Market event

2=Market event

1174

7=End Of Workup

0=No Event (default)

0=No Event (default)

0=No Event (default)

Repeating Group

→37

X

X

X

X

→54

1 (Buy)
2 (Sell)

1 (Buy)
2 (Sell)

1 (Buy)
2 (Sell)

1 (Buy)
2 (Sell)

→1057

0 (Not Aggressor)
1 (Aggressor)

0 (Not Aggressor)
1 (Aggressor)

0 (Not Aggressor)
1 (Aggressor)

0 (Not Aggressor)
1 (Aggressor)

Security Status Priority

On CME Globex MDP3, the last Market Data Security Status (tag 35-MsgType=f) message sent takes precedence. The following example highlights this concept.  

Security Status Priority Example

Assume the following market states for the following instruments within the same Security Group (DD):

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvent

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvent

AAA

123

DD

15 (New Price Indication)

0 (Scheduled)

0 (No Event)

BBB

456

DD

15 (New Price Indication)

0 (Scheduled)

0 (No Event)

CCC

789

DD

15 (New Price Indication)

0 (Scheduled)

0 (No Event)

Message #1 - Open Group Status Change

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

Tag

Value

1151-SecurityGroup

DD

48-SecurityID

null

326-SecurityTradingStatus

17 (Ready to trade)

327-HaltReason

0 (Scheduled)

1174-SecurityTradingEvent

0 (No Event)



Resulting Market States

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

AAA

123

DD

17 (Ready to trade)

0 (Scheduled)

0 (No Event)

BBB

456

DD

17 (Ready to trade)

0 (Scheduled)

0 (No Event)

CCC

789

DD

17 (Ready to trade)

0 (Scheduled)

0 (No Event)

Message #2 - Instrument Status Change

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

Tag

Value

1151-SecurityGroup

null

48-SecurityID

123

326-SecurityTradingStatus

2 (Trading halt)

327-HaltReason

1 (Surveillance Intervention)

1174-SecurityTradingEvent

0 (No Event)



Resulting Market States

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

AAA

123

DD

2 (Trading halt)

1 (Surveillance Intervention)

0 (No Event)

BBB

456

DD

17 (Ready to trade)

0 (Scheduled)

0 (No Event)

CCC

789

DD

17 (Ready to trade)

0 (Scheduled)

0 (No Event)

Message #3 - Close Group Status Change

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

Tag

Value

1151-SecurityGroup

DD

48-SecurityID

null

326-SecurityTradingStatus

4 (Close)

327-HaltReason

0 (Scheduled)

1174-SecurityTradingEvent

0 (No Event)



Resulting Market States

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

Instrument Name

Tag 48-SecurityID

Tag 1151-SecurityGroup

Tag 326-SecurityTradingStatus

Tag 327-HaltReason

Tag 1174-SecurityTradingEvents

AAA

123

DD

4 (Close)

0 (Scheduled)

0 (No Event)

BBB

456

DD

4 (Close)

0 (Scheduled)

0 (No Event)

CCC

789

DD

4 (Close)

0 (Scheduled)

0 (No Event)

Instrument Expiration for BrokerTec

For BrokerTec, CME Globex MDP3 generates a Market Data Security Status (35=f) message for Fixed Income and EGB instruments that expire mid-week. Activation/expiration for all other instruments on CME Globex are predefined via the tag 865-EventType repeating group.



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