MDP 3.0 - Market Data Security Status
Market Data Security Status (tag 35-MsgType=f) is used to indicate market status updates.Â
This Market Data Security Status message is used to indicate:
Security group market state change
Instrument state change
Implied matching OFF/ ON state
For an applicable instrument the last security status message sent takes precedence. This message maps to the SecurityStatus template in the SBE MDP Core Message schema.
Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|---|---|---|---|---|
60 | TransactTime | uInt64 | UTCTimestamp | Start of event processing time in number of nanoseconds since Unix epoch. | |
1151 | SecurityGroup | SecurityGroup | String | If this tag is present, 35=f message is sent for the Product Code. | |
6937 | Asset | Asset | String | Product Code within Security Group specified. | |
48 | SecurityID | Int32NULL | int | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. If this tag is present, 35=f message is sent for an instrument | |
75 | TradeDate | LocalMktDate | LocalMktDate | Trade Session Date | |
5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 10000000 - last message in the event example: 00000000 - not last message in the event | 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 |
326 | SecurityTradingStatus | SecurityTradingStatus | int | 2=Trading Halt 4=Close 15=New Price Indication 17=Ready To Trade (start of session) 18=Not Available For Trading 20=Unknown or Invalid 21=Pre Open 24=Pre Cross 25=Cross 26=Post Close 103=No Change | Identifies the trading status applicable to the instrument or Security Group |
327 | HaltReason | HaltReason | int | 0=Group schedule (default) 1=Surveillance intervention 2=Market event 3=Instrument activation 4=Instrument expiration 5=Unknown 6=Recovery in Process | Identifies the reason for the status change |
1174 | SecurityTradingEvent | SecurityTradingEvent | int | 0=No Event (default) 1=No Cancel 4=Change of Trading Session (reset statistics) 5=Implied matching ON 6=Implied matching OFF | Identifies an additional event or a rule related to the status |
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.