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.