MDP 3.0 - Market Data Incremental Refresh - Volume

The Market Data Incremental Refresh message below is sent for volume updates. This message maps to the MDIncrementalRefreshVolume template in the SBE MDP Core schema.

Tag	FIX Name	Type	Semantic Type	Valid Values	Description
60	TransactTime	uInt64	UTCTimestamp		Start of event processing time in number of nanoseconds since Unix epoch
5799	MatchEventIndicator	MatchEventIndicator	MultipleCharValue	example: 00000010 – end of volume, not the end of event	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 Bit 5: Message resent during recovery Bit 6: Reserved for future use Bit 7: (most significant bit) Last message for a given event
Repeating Group 1
268	NoMDEntries	NumInGroup			Number of entries in Market Data message
→271	MDEntrySize	Int32	Qty		Cumulative traded volume
→48	SecurityID	Int32	int		A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
→83	RptSeq	uInt32	int		Market Data entry sequence number per instrument update. The The MDP Conflated TCP market data group sends a RptSeq value of zero.
→279	MDUpdateAction	MDUpdateAction	int	0=New	Market Data update action.
→269	MDEntryType	MDEntryTypeVol	char	e=Electronic Volume	Electronic Volume entry provides cumulative session trade volume updated with the event