Correlating MDP 3.0 with Order Entry

Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.

1 Correlating MDP 3.0 with Order Entry

Correlating MDP 3.0 with Order Entry

The following section describes how these market data message tag values map to iLink order entry message tag values.

Mapping Market Data FIX Tag Values to Order Entry FIX Tag Values

MDP tag values correlate to the following iLink message tags for all message types:

MDP	iLink Order Entry

MDP	iLink Order Entry
tag 55-Symbol	tag 107-SecurityDesc
tag1151-SecurityGroup	tag 55-Symbol

The following diagram shows how values translate across MDP and iLink order entry messages.

Correlating Trade Summary from MDP 3.0 to iLink Execution Report

Additionally, for correlating trades broadcast in the Incremental Refresh message, clients can use Trade Summary message tag 37-OrderID and tag 60-TransactTime as shown in the diagram below.

This method does not apply to conflated market data.

The tag 60-TransactTime value will be sent in nanoseconds since the Unix epoch with microsecond precision.

In this example Client System A submits an aggressing Sell order to match the resting Buy order submitted by Client System B.

Correlating iLink Order Entry to MBO

Client systems can link their CME Globex iLink orders to MBO MDP 3.0 books via tag 37-OrderID.