MDP 3.0 - Market Data Snapshot - Conflated TCP Recovery

The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCP template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values

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 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

48

SecurityID

Int32

int



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

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

Int32NULL

Qty



Quantity of the MD Entry.

37719

TradeableSize

Int32NULL

Qty



Bilateral product tradeable quantity specific to a firm

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

0=DailyOpenPrice

5=IndicativeOpeningPrice

100=IntradayVWAP

101=RepoAverage8_30AM

102=RepoAverage10AM

103=PrevSessionAverage10AM

Flag that identifies a market data entry

→269

MDEntryType

MDEntryType

char

0=Bid

1=Offer

E=Implied Bid

F=Implied Offer

2=Trade (last trade price)

4=Opening Price

7=Trading Session High Price

8=Trading Session Low Price

9=VWAP 

e=Electronic Volume



Market Data entry type.

5796

TradingReferenceDate

LocalMktDate

LocalMktDate



Indicates the date of trade session corresponding to a Statistic Entry in YYYYMMDD format

731

SettlPriceType

SettlPriceType

MultipleCharValue





Settlements are not supported on BrokerTec markets.










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