MDP 3.0 - Market Data Incremental Refresh - Trade Summary

The Market Data Incremental Refresh message below is sent for Trade Summary. This message maps to the MDIncrementalRefreshTradeSummary template in the SBE MDP Core 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
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000001 – end of trades, not end of 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 For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message. 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
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→270	MDEntryPx	PRICE9	Price		Trade price
→271	MDEntrySize	Int32	Qty		Consolidated trade quantity
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
→346	NumberOfOrders	Int32	int		The total number of real orders per instrument that participated in a match step within a match event
→5797	AggressorSide	AggressorSide	int	0=No aggressor 1=Buy 2=Sell	Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor. Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.
→279	MDUpdateAction	MDUpdateAction	int	0=New (new trade) 1=Change (adjustment) 2=Delete (cancel)	Market Data update action
→269	MDEntryType	MDEntryTypeTrade	char	2=Trade Summary	Market Data entry type.
→37711	MDTradeEntryID	uInt32NULL	int		Market Data Trade entry ID
Repeating Group 2
37705	NoOrderIDEntries	NoOrderIDEntries			Number of OrderID entries
→37	OrderID	uInt64	int		Unique ID assigned by CME Globex to identify orders.
→32	LastQty	Int32	Qty		Quantity bought or sold on this last fill