MDP 3.0 - Market Data Snapshot - Conflated TCP Recovery

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