MDP 3.0 - Market Data Security Definition - FX

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 10000000 – Security Definition message is the last message of the event

example:00000000 – Security Definition is not the last message of the even

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 Note: EBS Market does not support implied functionality.

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

911

TotNumReports

uInt32NULL

int

Total number of instruments in the Replay loop. Used on Replay Feed only

980

SecurityUpdateAction

SecurityUpdateAction

char

A=Add

D=Delete

M=Modify

Included in the message on the Incremental feed when a mid-week deletion or modification (i.e. extension) occurs.

Add represents Security Definition messages that are:

• Newly added during the current week

• Disseminated during the Sunday Startup period

• Resent by the system during the week

Modify represents modifications to a Security Definition

Delete represents deletions of a Security Definition

779

LastUpdateTime

uInt64

UTCTimestamp

Timestamp of when the instrument was last added, modified or deleted

1682

MDSecurityTradingStatus

SecurityTradingStatus

int

2=Trading Halt

4=Close            

17=Ready to trade (start of session)

18=Not available for trading

21=Pre Open  

Identifies the current state of the instrument. The data is available in the Instrument Replay feed only

1180

ApplID

Int16

int

The channel ID as defined in the XML Configuration file

1300

MarketSegmentID

uInt8

int

Identifies the market segment, populated for all CME Globex instruments

462

UnderlyingProduct

uInt8NULL

int

Product complex

207

SecurityExchange

SecurityExchange

Exchange

EBSC = EBS and eFix Markets

NEXS = EBS Market for ON SEF/ON-MTF NDFs

XEBS = EBS Market for OFF SEF/ON-MTF NDFs

Exchange or market used to identify a security

1151

SecurityGroup

SecurityGroup

String

Security Group Code

6937

Asset

Asset

String

The underlying asset code also known as Product Code

55

Symbol

Symbol

String

Instrument Name or Symbol. Previously used as Group Code

48

SecurityID

Int32

int

Unique instrument ID

22

SecurityIDSource

SecurityIDSource

char

8=Exchange symbol

Identifies class or source of the security ID (Tag 48) value

167

SecurityType

SecurityType

String

Security Type

461

CFICode

CFICode

String

ISO standard instrument categorization code

15

Currency

Currency

Currency

Identifies currency used for price e.g. for EUR/USD spot this field will contain EUR

120

SettlCurrency

Currency

Currency

Currency used for settlement, which may be different from Local currency specified in Tag 1524 PriceQuoteCurrency.

Example - Local currency is different from SettlCurrency for NDF (always settle in USD).

1524

PriceQuoteCurrency

Currency

Currency

Local (counter) currency.

For EUR/USD spot this field will contain USD.

1142

MatchAlgorithm

CHAR

char

F=First In, First Out (FIFO)

V=Institutional Prioritization

P=Size Priority

Matching algorithm

562

MinTradeVol

uInt32

Qty

The minimum trading volume for a security

1140

MaxTradeVol

uInt32

Qty

The maximum trading volume for a security

969

MinPriceIncrement

PRICENULL9

Price

Minimum constant tick for the instrument, sent only if instrument is non-VTT (Variable Tick table) eligible

9787

DisplayFactor

Decimal9

float

Contains the multiplier to convert the CME Globex display price to the conventional price

2349

PricePrecision

uInt8

int

Specifies price decimal precision for EBS instrument

996

UnitOfMeasure

UnitOfMeasure

String

Unit of measure for the products' original contract size

1147

UnitOfMeasureQty

Decimal9NULL

Qty

This field contains the contract size for each instrument. Used in combination with tag 996-UnitofMeasure

1149

HighLimitPrice

PRICENULL9

Price

Allowable high limit price for the trading day

1148

LowLimitPrice

PRICENULL9

Price

Allowable low limit price for the trading day

1143

MaxPriceVariation

PRICENULL9

Price

Differential value for price banding

9779

UserDefinedInstrument

UserDefinedInstrument

char

Y=User defined instrument
N=Not a user defined instrument

User-defined instruments flag

2714

FinancialInstrumentFullName

LongName

String

Long name of the instrument

37725

FXCurrencySymbol

String7

String

Base/Local. Denotes the currency pair in CCY1/CCY2 convention

63

SettlType

String3

String

For SPOTs will contain 0. For Fixed date NDFs will contain the value 'B'. For the standard NDFs tenors expressed using Dx, Mx, Wx, and Yx values, where 'x' does not denote business days, but calendar days

37730

InterveningDays

uInt16

int

For SPOT, number of business days between trade date and value (settlement) date. For NDF, number of business days between NDF valuation (fixing) and settlement

2796

FXBenchmarkRateFix

String20

String

Fixing Rate Description

1446

RateSource

String12

String

Fixing Rate Source

37726

FixRateLocalTime

String8

String

Fixing Rate Local Time, denoted in HH:MM:SS format

37727

FixRateLocalTimeZone

String20

String

Fixing Rate Local Time Zone corresponding to Fixing Local Time.

37731

MinQuoteLife

uInt32

int

Minimum Quote Life in number of microseconds

37728

MaxPriceDiscretionOffset

PRICE9

Price

Max allowed discretionary offset from Limit order price. When the value in this field = 0, discretionary price cannot be submitted for the instrument

37513

InstrumentGUID

uInt64NULL

int

External unique instrument ID

200

MaturityMonthYear

MaturityMonthYear

MonthYear

Fixed Date NDF Maturity

37734

SettlementLocale

String8

String

Settlement Locale. Optionally used to differentiate settlement location

37739

AltMinPriceIncrement

PRICENULL9

Price

New sub-tick, which is only available for order entry when certain conditions are met, tick value that corresponds to the Alt Min Quote Life" offset="309" sinceVersion="13

37738

AltMinQuoteLife

uInt32NULL

int

MQL duration in number of microseconds applied to orders at AltMinPriceIncrement

37742

AltPriceIncrementConstraint

PRICENULL9

Price

Minimum price offset better than the best Standard Tick order for an order to be allowed into the market

37743

MaxBidAskConstraint

PRICENULL9

Price

Maximum bid/ask spread for which sub-tick orders will be accepted (Sub tick orders will be rejected if bid/ask spread is greater than this value)

Repeating Group 1

864

NoEvents

NuminGroup

Number of repeating entries.

→865

EventType

EventType

int

5=Activation
7=Last eligible trade date

Code to represent the type of event

→1145

EventTime

uInt64

UTCTimestamp

Date and time of instrument Activation or Last Trade Datetime event sent as number of nanoseconds since Unix epoch

Repeating Group 2

1141

NoMDFeedTypes

NuminGroup

Number of repeating entries.

→1022

MDFeedType

MDFeedType

String

Describes a class of service for a given data feed. GBX=Real Book.

→264

MarketDepth

Int8

int

Identifies the depth of book

Repeating Group 3

870

NoInstAttrib

NuminGroup

Number of repeating entries.

→871

InstAttribType

InstAttribType

int

24=Eligibility

Instrument Eligibility Attributes

→872

InstAttribValue

InstAttribValue

MultipleCharValue

Tag 871-InstAttribType and tag 872-InstAttribValue function together where tag 871 indicates the type of value that the following tag 872 will contain.

Bitmap field of 32 Boolean type indicators:

0 (least significant bit): Electronic Match Eligible

1: Order Cross Eligible

2: Block Trade Eligible

3: EFP Eligible

4: EBF Eligible

5: EFS Eligible

6: EFR Eligible

7: OTC Eligible

8: iLink Mass Quoting Eligible

9: Negative Strike Eligible

10: Negative Price Eligible

11: Is Fractional (indicates product has fractional display price)

13: RFQ Cross Eligible

14: Zero Price Eligible

15: Decaying Product Eligibility

16: Variable Quantity Product Eligibility

17: DailyProduct Eligibility

18: GT Orders Eligibility (Previously Tag 827)

19: Implied Matching Eligibility (Previously tag 1144) Note: EBS Market does not support implied functionality.

21: Variable Cabinet Eligible

22: Inverted Book

23: All or None Instrument

24: SEFRegulated (1=ON-SEF, 0=OFF-SEF)

25: MTFRegulated (1=ON-MTF, 0=OFF-MTF)

26: eFixInstrument (1=eFix Instrument)

28-31 – Reserved for future use

Repeating Group 4

1234

NoLotTypeRules

NuminGroup

Number of repeating entries.

→1093

LotType

Int8

int

2=minimum order entry quantity for an instrument
5=order quantity increment

6=minimum order size quantity that improves order priority for execution

This tag is required to interpret the value in tag 1231-MinLotSize

→1231

MinLotSize

uInt64

Qty

If tag 1093-LotType=2, this value is minimum quantity accepted for order entry.

For FX contracts, if tag 1093-LotType=2, this value is a Regular Amount used as default order quantity on the Workstation screen.

If tag 1093-LotType=5, the 1231-MinLotSize is order quantity increment.  For example, if 1093-LotType=2 & 1231-MinLotSize orders may be entered in increments of 2.  Therefore, order sizes of 1, 3, 5, etc can be entered.

If tag 1093-LotType=6, the 1231-MinLotSize is the minimum order size quantity that improves order priority for execution

Repeating Group 5

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 valuation (fixing) 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