MDP 3.0 - Market Data Snapshot - MBOFD and MBOLD Recovery

The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBOFD (Market by Order Full Depth) and MBOLD (Market by Order Limited Depth) UDP Market Recovery feeds. This message maps to the SnapshotFullRefreshOrderBook template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values

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 instruments in the replayed 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.

37709

NoChunks

uInt32

int

 

Total number of packets that constitutes a single instrument order book

37710

CurrentChunk

uInt32

int

 

Chunk sequence

60

TransactTime

uInt64

UTCTimestamp

 

Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch

Repeating Group 1

268

NoMDEntries

NumInGroup

 

 

Number of entries in Market Data message

37

OrderID

uInt64

int

 

Unique ID assigned by CME Globex to identify orders

37707

MDOrderPriority

uInt64NULL

int

 

Order priority for execution on the order book

270

MDEntryPx

PRICE9

Price

 

Order Price

37706

MDDisplayQty

Int32

Qty

 

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

Market Data entry type




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