MDP 3.0 - SBE Decoding Example
- CME Group
This topic provides an example of a fully decoded of SBE message.
Contents
SBE Schema
The following SBE Schema will be used for the SBE decoding example in the next section.
<?xml version="1.0" encoding="UTF-8" standalone="true"?>
<ns2:messageSchema xsi:schemaLocation="http://www.fixtradingcommunity.org/pg/file/fplpo/read/1196759/simple-binary-encoding-rc2xsd SimpleBinary-RC2.xsd" byteOrder="littleEndian" description="20210310" semanticVersion="FIX5SP2" version="9" id="1" package="mktdata" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance" xmlns:ns2="http://www.fixprotocol.org/ns/simple/1.0">
<types>
<type name="uInt32" description="uInt32" primitiveType="uint32"/>
<type name="Int32" description="int32" primitiveType="int32"/>
<type name="uInt64" description="uInt64" primitiveType="uint64"/>
<type description="MDUpdateActionNew" primitiveType="int8" name="MDUpdateActionNew" presence="constant">0</type>
<type description="MDEntryTypeLimits" primitiveType="char" name="MDEntryTypeLimits" presence="constant">g</type>
<composite description="Repeating group dimensions" semanticType="NumInGroup" name="groupSize">
<type primitiveType="uint16" name="blockLength"/>
<type primitiveType="uint8" name="numInGroup"/>
</composite>
<composite description="Optional Price with constant exponent -9" name="PRICENULL9" sinceVersion="9">
<type description="mantissa" primitiveType="int64" name="mantissa" presence="optional" nullValue="9223372036854775807"/>
<type description="exponent" primitiveType="int8" name="exponent" presence="constant">-9</type>
</composite>
<set name="MatchEventIndicator" encodingType="uInt8">
<choice description="1=Last trade message for the event, 0=Not last" name="LastTradeMsg">0</choice>
<choice description="1=Last electronic volume message, 0=Not last" name="LastVolumeMsg">1</choice>
<choice description="1=Last real quote message, 0=Not last" name="LastQuoteMsg">2</choice>
<choice description="1=Last statistics message, 0=Not last" name="LastStatsMsg">3</choice>
<choice description="1=Last implied quote message, 0=Not last" name="LastImpliedMsg">4</choice>
<choice description="1=Message is sent during recovery process" name="RecoveryMsg">5</choice>
<choice description="0=Reserved for future use" name="Reserved">6</choice>
<choice description="1=Last message for the event, 0=Not last" name="EndOfEvent">7</choice>
</set>
<types>
<ns2:message description="MDIncrementalRefreshLimitsBanding" id="50" semanticType="X" name="MDIncrementalRefreshLimitsBanding50" sinceVersion="9" blockLength="11">
<field description="Start of event processing time in number of nanoseconds since Unix epoch" id="60" semanticType="UTCTimestamp" name="TransactTime" offset="0" type="uInt64"/>
<field description="Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event" id="5799" semanticType="MultipleCharValue" name="MatchEventIndicator" offset="8" type="MatchEventIndicator"/>
<group description="Number of entries in Market Data message" id="268" name="NoMDEntries" blockLength="32" dimensionType="groupSize">
<field description="Upper price threshold for the instrument" id="1149" semanticType="Price" name="HighLimitPrice" offset="0" type="PRICENULL9"/>
<field description="Lower price threshold for the instrument" id="1148" semanticType="Price" name="LowLimitPrice" offset="8" type="PRICENULL9"/>
<field description="Differential static value for price banding" id="1143" semanticType="Price" name="MaxPriceVariation" offset="16" type="PRICENULL9"/>
<field description="Security ID " id="48" semanticType="int" name="SecurityID" offset="24" type="Int32"/>
<field description="MD Entry sequence number per instrument update" id="83" semanticType="int" name="RptSeq" offset="28" type="uInt32"/>
<field description="Market Data entry update action. In order to delete banding value, high or low limit, the deleted price field is populated with a NULL " id="279" semanticType="int" name="MDUpdateAction" type="MDUpdateActionNew"/>
<field description="Market Data entry type " id="269" semanticType="char" name="MDEntryType" type="MDEntryTypeLimits"/>
</group>
</ns2:message>
</ns2:messageSchema>
Message Example
The table below decodes a Limits and Banding message. The following SBE hexadecimal message will be decoded:
A6 BB 0A 00 5B 19 01 72 1E EF A9 16 38 00 0B 00 32 00 01 00 09 00 4B 52 E8 71 1E EF A9 16 00 00 00 20 00 01 FF FF FF FF FF FF FF 7F 00 90 CD 79 2F 08 00 00 00 E4 0B 54 02 00 00 00 F4 15 00 00 4D 07 00 00
CME Globex MDP uses little-endian byte ordering. Therefore, in the example below a hexadecimal value of A6 BB 0A 00 is inputted as 00 0A BB A6 in most conversion calculators.
Hexadecimal | FIX Tag | Name | Primitive Type | Value | Block Length | Description |
|---|---|---|---|---|---|---|
Technical Header | ||||||
A6 BB 0A 00 | - | MsgSeqNum | uInt32 | 703398 | - | This example uses a UDP technical header within the packet structure . The TCP technical header includes an additional field named encodingType.
The epoch SendingTime value of 1633099253939247451 converts to October 1, 2021 14:40:53.939 in UTC. |
5B 19 01 72 1E EF A9 16 | - | SendingTime | uInt64 | 1633099253939247451 | - | |
Message Header | ||||||
38 00 | - | MsgSize | uInt16 | 56 | - | MsgSize is the first field in the the SBE message header. |
0B 00 | - | BlockLength | uInt16 | 11 | - |
|
32 00 | - | TemplateID | uInt16 | 50 | - |
|
01 00 | - | SchemaID | uInt16 | 01 | - |
|
09 00 | - | Version | uInt16 | 09 | - |
|
SBE Encoded FIX Message | ||||||
4B 52 E8 71 1E EF A9 16 | 60 | TransactTime | uInt64 | 1633099253937623627 | 11 | TransactTimeThe epoch SendingTime value of 1633099253937623627 converts to October 1, 2021 14:40:53.937 UTC. The value of 11 maps to BlockLength in the message header field. |
00 | 5799 | MatchEventIndicator | uInt8 | 0 | The MatchEventIndicator type uses binary values from the type section of the schema. In this example the binary value is equal to 0000 0000. | |
00 00 | - | Block Alignment Padding | - | - | Two byte padding due to block alignment. 11 bytes (BlockLength) - 8 (TransactTime) - 1 (MatchEventIndicator) = 2 (Block Alignment Padding) | |
20 00 | 268 | NoMDEntries →BlockLength | uInt16 | 32 | 32 | Beginning of the repeating group. |
01 | →NumInGroup | uInt8 | 1 | The repeating group has one iteration. | ||
FF FF FF FF FF FF FF 7F
| 1149 | →HighLimitPrice Mantissa | Int64 | 9223372036854775807 (null) | This field has an SBE type of PRICENULL9. The type PRICENULL9 in the SBE schema defines a null value as 9223372036854775807 for the mantissa. | |
Exponent | int8 | -9 | ||||
00 90 CD 79 2F 08 00 00 | 1148 | →LowLimitPrice Mantissa | Int64 | 9000000000000 | A mantissa value of 9000000000000 and a exponent of -9 combine to make a value of 9000.000000000. The exponent is defined as a constant of -9 for the type PRICENULL9 in the SBE schema and is not sent in the SBE message on the wire and is not part of the block length calculation. | |
Exponent | int8 | -9 | ||||
00 E4 0B 54 02 00 00 00 | 1143 | →MaxPriceVariation Mantissa | Int64 | 10000000000 | A mantissa value of 10000000000 and a exponent of -9 combine to make a value of 10.000000000. The exponent is defined as a constant of -9 for the type PRICENULL9 in the SBE schema and is not sent in the SBE message on the wire and is not part of the block length calculation. | |
Exponent | int8 | -9 | ||||
F4 15 00 00 | 48 | →SecurityID | Int32 | 5620 |
| |
4D 07 00 00 | 83 | →RptSeq | uInt32 | 1869 |
| |
- | 279 | →MDUpdateAction | uInt8 | 0 | This field is defined as a constant value of zero for the type MDUpdateActionNew in the SBE schema and is not sent in the SBE message on the wire. Therefore, this field is not part of the block length calculation. | |
- | 269 | →MDEntryType | char | g | This field is defined as a constant value of "g" for the type MDEntryTypeLimits in the SBE schema and is not sent in the SBE message on the wire. Therefore, this field is not part of the block length calculation. | |
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