MDP 3.0 - Market Data Incremental Refresh - Daily Statistics

The Market Data Incremental Refresh message below is sent for Daily Statistics.  This message maps to the MDIncrementalRefreshDailyStatistics template in the SBE MDP Core schema.



Tag

FIX Name

Type

SemanticType

Valid Value

Description

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

Repeating Group 1

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










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