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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