MDP 3.0 - Market Data Snapshot - Full Recovery - LongQty
- CME Group
The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBP UDP Market Recovery feeds. This message maps to the SnapshotFullRefreshLongQty template in the SBE MDP Core schema.
Tag | FIX Name | Type | Semantic Type | Valid Values for EBS | Description |
|---|---|---|---|---|---|
369 | LastMsgSeqNumProcessed | uInt32 | SeqNum | Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed | |
911 | TotNumReports | uInt32 | int | Total number of messages replayed in the loop | |
48 | SecurityID | Int32 | int | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | |
83 | RptSeq | uInt32 | int | Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero. | |
60 | TransactTime | uInt64 | UTCTimestamp | Timestamp of the last publication event instrument participated in, sent in number of nanoseconds since Unix epoch. | |
779 | LastUpdateTime | uInt64 | UTCTimestamp | UTC Date and time of last Security Definition add, update or delete on a given Market Data channel | |
75 | TradeDate | LocalMktDate | LocalMktDate | Trade session date sent as number of days since Unix epoch | |
1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open | Identifies the current trading state of the instrument |
1149 | HighLimitPrice | PRICENULL9 | Price | Upper price threshold for the instrument | |
1148 | LowLimitPrice | PRICENULL9 | Price | Lower price threshold for the instrument | |
1143 | MaxPriceVariation | PRICENULL9 | Price | Differential value for price banding | |
Repeating Group 1 | |||||
268 | NoMDEntries | NumInGroup | Number of entries in Market Data message | ||
→270 | MDEntryPx | PRICENULL9 | Price | Market Data entry price | |
→271 | MDEntrySize | uInt64NULL | Qty | Market Data entry quantity This field is in a notional format | |
→346 | NumberOfOrders | Int32NULL | int | Aggregate number of orders at the given price level | |
→1023 | MDPriceLevel | Int8NULL | int | Aggregate book position | |
→286 | OpenCloseSettlFlag | OpenCloseSettlFlag | int | null | Always set to null. Flag that identifies a market data entry |
→269 | MDEntryType | MDEntryType | char | 0=Bid 1=Offer 2=Trade | Market Data entry type. |
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