MDP 3.0 - Market Data Incremental Refresh - Daily Statistics

60

TransactTime

uInt64

UTCTimestamp

Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000000=not end of event

example: 10000000=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

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

268

NoMDEntries

NumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICENULL9

Price

Market Data entry price

→271

MDEntrySize

Int32NULL

Qty

Market Data entry size

→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

Market Data entry sequence number per instrument update

→5796

TradingReferenceDate

LocalMktDate

LocalMktDate

Indicates trade session date corresponding to a statistic entry

→731

SettlPriceType

SettlPriceType

MultipleCharValue

Bitmap field of eight Boolean type indicators representing settlement price type:

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4-6: Reserved for future use, set to 0

Bit 7:

0=not NULL

1=entire set is a NULL

→279

MDUpdateAction

MDUpdateAction

int

0=New

Market Data update action

→269

MDEntryType

MDEntryTypeDailyStatistics

char

6=Settlement Price

B=Trade Volume

C=Open Interest

W=Fixing Price

Market Data entry type.

0=Bid

1=Offer

E=Implied Bid

F=Implied Offer

2=Trade Summary

4=Opening Price

6=Settlement Price

7=Trading Session High Price

8=Trading Session Low Price

9=VWAP 

N=Session High Bid

O=Session Low Offer

B=Trade Volume

C=Open Interest

W=Fixing Price

J=Empty Book

e=Electronic Volume

g =Threshold Limits and Price Band Variation