MDP 3.0 - Fixing Price
- CME Group
The Fixing Price data block contains the Fixing Price, a volume-weighted average price for the nearby futures contract, and the time the Fixing Price was calculated (tag 60-TransactTime). Tag 279-MDUpdateAction will be set to 0 = New and tag 269-MDEntryType will be set to W = Fixing Price.
FIX Syntax for Fixing Price
Tag | FIX Name | Format | Value | Description |
|---|---|---|---|---|
279 | MDUpdateAction | Char | 0 | Type of Market Data update action. |
269 | MDEntryType | Char | W | Type of Market Data Entry. |
48 | SecurityID | Int | Unique instrument ID as qualified by the exchange. | |
83 | RptSeq | Int | Sequence number per Instrument update. | |
270 | MDEntryPx | Char | Price of Market Data Entry. | |
5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
How was your Client Systems Wiki Experience? Submit Feedback
Copyright © 2024 CME Group Inc. All rights reserved.