MDP 3.0 - Market Data Incremental Refresh - Session Statistics

60

TransactTime

uInt64

UTCTimestamp

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

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00001000 – end of statistics, not end of event

example: 10001000 – end of statistics, end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex event

Repeating Group 1

268

NoMDEntries

NumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICE9

Price

Market Data entry price

→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

MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→286

OpenCloseSettlFlag

OpenCloseSettlFlag

int

0=DailyOpenPrice

5=IndicativeOpeningPrice

100=IntradayVWAP

101=RepoAverage8_30AM

102=RepoAverage10AM

103=PrevSessionAverage10AM

Flag describing entry type

VWAP and Repo values are BrokerTec only.

→279

MDUpdateAction

MDUpdateAction

int

0=New

2=Delete (trading session prices only)

Market Data update action

→269

MDEntryType

MDEntryTypeStatistics

char

4=Opening Price

7=Trading Session High Price

8=Trading Session Low Price

9=VWAP

N=Highest Bid

O=Lowest Offer

Market Data entry type

VWAP value are BrokerTec only.

→271

MDEntrySize

Int32NULL

Qty

Indicative Opening Quantity