MDP 3.0 - Market Data Incremental Refresh - MBOFD

60

TransactTime

uInt64

UTCTimestamp

Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000100 – end of quotes, not end of event

example: 10010000 – end of implied quotes, 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

→37

OrderID

uInt64NULL

int

Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64NULL

int

Order priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.

→270

MDEntryPx

PRICENULL9

Price

Order price

→37706

MDDisplayQty

Int32NULL

Qty

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→48

SecurityID

Int32

int

A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

→279

MDUpdateAction

MDUpdateAction

int

0=New

1=Change

2=Delete

Order book update action to be applied to the order referenced by OrderID.

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

Market Data entry type