MDP 3.0 - Trade Summary
This section provides an overview and examples of how trade and trade-driven market data is sent using the Trade Summary message.
Contents
See also:
Trade Summary Data Overview
The Market Data Incremental Refresh (35=X) message includes a Trade Summary message which indicates the quantity and inclusion of the anonymous, CME Globex-assigned order identifier.
Trade Summary Data Sequence
The Trade Summary data is the first type of message sent on the market data feed for a trade.
A Trade Summary message represents a distinct match comprised of all orders that traded together as the result of a single aggressing order, elected stop order, mass quote, or a market state event.
Under certain circumstances, there exists the possibility of multiple rounds of order matches in a given event, and as a result, separate Trade Summary messages sent for each round as described below.
A single Trade Summary message can be split across multiple packets if the total number of related entries cannot be fit in a single UDP packet.
The following are true regardless of whether the Trade Summary message is included in a single packet or split across multiple packets:
all tag 268-NoMDEntries Trade groups are sent before tag 37705-NoOrderIdEntries groups.
the total number of orders from tag 346-NumberOfOrders will be equal to number 37705-NoOrderIdEntries reported for the match across all split Trade Summary packets.
the sequence of OrderIDs in tag 37705-NoOrderIdEntries always corresponds to the sequence of tag 346 NumberOfOrders reported in tag 268-NoMDEntries Trade groups. This functionality is only supported on futures and options, BrokerTec markets
End of Event Indicator
Each Incremental Refresh message will contain tag 5799-MatchEventIndicator to indicate whether or not the message is the last one for the data type it represents in the given event. For example, tag 5799=00000001 indicates this message is the last Trade Summary message for the event (i.e., End of Trades, no further trades to follow). Refer to the tag 5799-MatchEventIndicator description in the MDP - Market Data Incremental Refresh message layout for complete details regarding this tag.
Trade Summary Market Data Entry Conditions
The Trade Summary market data entry (tag 269-MDEntryType=2) is only disseminated when at least one actual (non-implied) order participates in the trade.
For trades involving implied orders:
If one side of a trade is an actual order and the other side is an implied order, the order detail (tag 37705-NoOrderIDEntries) portion of the Trade Summary message will only include trade information (OrderID and Last Qty) from the actual order.
The Trade Summary market data entry (tag 269-MDEntryType=2) message for legs of spread trades is NOT disseminated, but an Electronic Volume update (tag 269-MDEntryType=e) message is sent.
Trade Summary Tag Usage
Tag | FIX Name | Futures and Options | BrokerTec | EBS | Description |
---|---|---|---|---|---|
60 | TransactTime | X | X | X | Start of event processing time in number of nanoseconds since Unix epoch |
5799 | MatchEventIndicator | X | X | X | Bitmap field of eight Boolean type indicators reflecting the end of updates for a given Globex event. |
Repeating Group 1 | |||||
268 | NoMDEntries | X | X | X | Number of Trade Summary entries |
270 | MDEntryPx | X | X | X | Trade price |
271 | MDEntrySize | X | X | Set to 0 | Market Data entry size. For EBS, the value always set to zero. |
48 | SecurityID | X | X | X | Security ID as defined by CME |
83 | RptSeq | X | X | X | Sequence number per instrument update |
346 | NumberOfOrders | X | X | Set to 0 | The total number of real orders per instrument that participated in a match step within a match event. For EBS, the value always set to zero. |
5797 | AggressorSide | X | X | X | Indicates which side is the aggressor or if there is no aggressor 1- bid aggressor 2 - ask aggressor |
279 | MDUpdateAction | X | X | X | Market Data update action 0 - new trade 1- modified trade 2 - deleted trade |
269 | MDEntryType | 2 | 2 | 2 | Market Data entry type |
37711 | MDTradeEntryID | X | X | X | Market Data Trade entry ID |
Repeating Group 2 | |||||
37705 | NoOrderIDEntries | X | X | Set to 0 | Number of OrderID entries. This repeating group is not used for EBS Market and the value is always set to zero. |
32 | LastQty | X | X |
| The quantity transacted |
37 | OrderID | X | X | - | Unique order identifier as assigned by the exchange |
Trade Summary Composition
The Trade Summary message is constructed as shown in the following diagrams.
Trade Summary Example - Actual Orders Only (No Implieds)
Trade Summary Example - Actual and Implied Orders
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