MDP 3.0 - Trade and Value Date Processing
- CME Group
EBS Market provides the Trade Session List for trade and value date processing. The Trading Session group (tag 386-NoTradingSessions) in the Security Definition (35=d) message on Sunday will list all valid trade dates (75-TradeDate) and corresponding value dates (64-SettlDate) for the current calendar week and the full following week. The Security Definition trading session list supports mid-week updates to allow for unscheduled changes or updates to the list and republishes the Security Definition (35=d) message. Mid-week Security Definition updates are denoted via tag 980-SecurityUpdateAction=M. The trade date roll occurs when the the Security Status (35=f) message denotes 327-HaltReason=7. Client systems should reset statistics when the trade date roll Security Status (35=f) message is received. For eFix instruments, the instrument is not available for trading if the the trade date is unavailable.
Group Security Status Message (35=f) Tag Usage
The following table outlines tag usage for a group level (tag 1151-SecurityGroup) security status update for a trade date roll.Â
Tag | Trade Date Roll (while Open) |
|---|---|
60-TransactTime | X |
75-TradeDate | X |
1151-SecurityGroup | X |
6937-Asset | - |
48-SecurityID | - |
326-SecurityTradingStatus | 17= Ready to trade |
327-HaltReason | 7 =Â Trade Date Roll |
1174-SecurityTradingEvent | 4 (reset stats) |
MDP FIX Syntax for Security Definition (35=d) Trade Session List Processing
The following trade list processing values map to the MDInstrumentDefinitionFX63 template.
Tag | FIX Name | Type | Description |
|---|---|---|---|
Repeating Group | |||
386 | NoTradingSessions | NuminGroup | Number of scheduled Trading Dates |
75 | TradeDate | LocalMktDate | Trade Date |
64 | SettlDate | LocalMktDate | Settle (Value) Date corresponding to Trade Date |
541 | MaturityDate | LocalMktDate | For Spot instruments will not contain the value. For NDFs, the fixing (valuation) date of the NDF. For Fixed Date NDFs Value Date and Maturity Date remain constant for all Trade Dates |
455 | SecurityAltID | String12 | ISIN value as provided by ANNA, Association of National Numbering Agencies. This field is populated for MTF-Regulated NDFs and is unique for each Settle Date |
456 | SecurityAltIDSource | SecurityAltIDSourceISIN | Identifies class or source of the SecurityAltID (455) value |
Trade and Value Date Processing Example
In this example, there is a Trading Session List update Mid-Week for the current trade date list. On Sunday, May 31, 2020, a trading session list has been published for EUR/USD in a Security Definition (35=d) message with the following information:
Tag | FIX Name | Value | Notes |
|---|---|---|---|
Repeating Group | |||
386 | NoTradingSessions | 10 | |
75 | TradeDate | June 01 2020 (Monday) | |
64 | SettlDate (Value Date) | June 03 2020 (Wednesday) | |
75 | TradeDate | June 02 2020 (Tuesday) | |
64 | SettlDate (Value Date) | June 04 2020 (Thursday) | |
75 | TradeDate | June 03 2020 (Wednesday) | |
64 | SettlDate (Value Date) | June 05 2020 (Friday) | |
75 | TradeDate | June 04 2020 (Thursday) | |
64 | SettlDate (Value Date) | June 08 2020 (Monday) | |
75 | TradeDate | June 05 2020 (Friday) | |
64 | SettlDate (Value Date) | June 09 2020 (Tuesday) | |
75 | TradeDate | June 10 2020 (Wednesday) | |
64 | SettlDate (Value Date) | June 10 2020 (Wednesday) | |
75 | TradeDate | June 11 2020 (Thursday) | |
64 | SettlDate (Value Date) | June 11 2020 (Thursday) | |
75 | TradeDate | June 12 2020 (Friday) | |
64 | SettlDate (Value Date) | June 12 2020 (Friday) | |
75 | TradeDate | June 15 2020 (Monday) | |
64 | SettlDate (Value Date) | June 15 2020 (Monday) | |
75 | TradeDate | June 16 2020 (Tuesday) | |
64 | SettlDate (Value Date) | June 16 2020 (Tuesday) | |
This is just an example and does not reflect the full repeating group content.
Next, on Monday, June 01, 2020 at 1PM CST a holiday is declared for a EUR/USD on Wednesday (June 03. 2020). Consequently, the EUR/USD trade session list is republished (tag 980-SecurityUpdateAction=M)Â with the following information:
Tag | FIX Name | Value | Notes |
|---|---|---|---|
Repeating Group | |||
386 | NoTradingSessions | 10 | |
75 | TradeDate | June 01 2020 (Monday) | |
64 | SettlDate (Value Date) | June 04 2020 (Thursday) | Updated from Wednesday to Thursday. |
75 | TradeDate | June 02 2020 (Tuesday) | |
64 | SettlDate (Value Date) | June 05 2020 (Friday) | Updated from Thursday to Friday. |
75 | TradeDate | June 03 2020 (Wednesday) | |
64 | SettlDate (Value Date) | June 05 2020 (Friday) | |
75 | TradeDate | June 04 2020 (Thursday) | |
64 | SettlDate (Value Date) | June 08 2020 (Monday) | |
75 | TradeDate | June 05 2020 (Friday) | |
64 | SettlDate (Value Date) | June 09 2020 (Tuesday) | |
75 | TradeDate | June 10 2020 (Wednesday) | |
64 | SettlDate (Value Date) | June 10 2020 (Wednesday) | |
75 | TradeDate | June 11 2020 (Thursday) | |
64 | SettlDate (Value Date) | June 11 2020 (Thursday) | |
75 | TradeDate | June 12 2020 (Friday) | |
64 | SettlDate (Value Date) | June 12 2020 (Friday) | |
75 | TradeDate | June 15 2020 (Monday) | |
64 | SettlDate (Value Date) | June 15 2020 (Monday) | |
75 | TradeDate | June 16 2020 (Tuesday) | |
64 | SettlDate (Value Date) | June 16 2020 (Tuesday) | |
Consequently, after the Security Definition (35=d) message value date update, the following is true:
For Trade Date Monday, June 1:
All trades occurring before 1PM have a Value Date of Wednesday, June 3.
All trades occurring at/after 1PM have a Value Date of Thursday, June 4.
For Trade Date Tuesday, June 2, all trades have a Value Date of Friday, June 5.
For Trade Date Wednesday, June 3, all trades have a Value Date of Friday, June 5.
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