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.

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 ordermass 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 F&O and BrokerTec markets

Packet 1

35=X

60=1419420413213820229

268=4

               48=50393 83=5095379 269=2 270=2080250000000,-7 271=30 279=0 346=13 5797=2 37711=55544445678

               48=50393 83=5095380 269=2 270=2080000000000,-7 271=77 279=0 346=28 5797=2 37711=55544445678

               48=50393 83=5095381 269=2 270=2079750000000,-7 271=61 279=0 346=28 5797=2 37711=55544445678

               48=50393 83=5095382 269=2 270=2079500000000,-7 271=82 279=0 346=37 5797=2 37711=55544445678

(Total of Tag 346=106)

5799=00000000,0 EOE indicating Trade Summary’s (or EOE) will continue in the next packet

 37705=77 In Packet 1, Tag 346=106 & Tag 37705=77, which indicates a difference of 29 groups. The data for the 29 additional order ids and quantities are included in the next packet.

               32=30 37=0

               32=2 37=642830998875

               32=2 37=642830998882

               32=3 37=642830998881

               32=4 37=0

               32=1 37=642830999131

               32=1 37=642830999133

               32=1 37=642830999132

               32=1 37=642830999134

               32=11 37=0

               32=1 37=642830998557

               32=1 37=0

               32=2 37=0

               32=77 37=0

               32=1 37=642830998180

               32=6 37=0

               32=2 37=642830998191

               32=10 37=0

               32=2 37=642830998208

               32=10 37=0

               32=3 37=642830998207

               32=3 37=642830998206

               32=1 37=0

               32=1 37=642830998219

               32=2 37=0

               32=6 37=642830998230

               32=1 37=642830998416

               32=1 37=642830998417

               32=1 37=642830998404

               32=1 37=642830998556

               32=8 37=642830998572

               32=2 37=0

               32=1 37=642830993141

               32=2 37=642830998583

               32=1 37=642830998585

               32=6 37=0

               32=1 37=642830998026

               32=1 37=0

               32=2 37=0

               32=1 37=0

               32=1 37=642830999139

               32=61 37=0

               32=3 37=642830997665

               32=2 37=642830998022

               32=1 37=642830997705

               32=3 37=642830997663

               32=8 37=0

               32=1 37=0

               32=2 37=642830998064

               32=2 37=0

               32=1 37=642830998097

               32=1 37=642830998098

               32=1 37=642830998099

               32=1 37=0

               32=2 37=642830998101

               32=1 37=0

               32=1 37=0

               32=8 37=642830998127

               32=1 37=642830998133

               32=6 37=0

               32=1 37=0

               32=2 37=0

               32=2 37=0

               32=1 37=642830997655

               32=2 37=0

               32=4 37=0

               32=1 37=0

               32=1 37=642830999141

               32=2 37=642830999153

               32=82 37=0

               32=2 37=642830997898

               32=2 37=0

               32=2 37=642830997929

               32=10 37=0

               32=3 37=642830997938

               32=1 37=642830997939

               32=2 37=642830998003

Packet 2

35=X

60=1419420413213820229

268=0

5799=00000001,1  Tag 5799=00000001 indicating end of Trade Summary

10002=42

10004=4532156

10005=1419420413215535972

37705=29 In Packet 2, Tag 37705=29. The remaining 29 groups are included in this packet. They are a continuation of the order id and quantity data from the matches identified in the previous Trade Summary message.

               32=1 37=0

               32=1 37=642830998009

               32=1 37=642830998010

               32=1 37=642830998021

               32=2 37=0

               32=8 37=642830998023

               32=2 37=642830998028

               32=1 37=0

               32=1 37=0

               32=1 37=642830998035

               32=4 37=0

               32=1 37=642830990593

               32=6 37=0

               32=8 37=0

               32=2 37=0

               32=2 37=0

               32=4 37=0

               32=1 37=642830998586

               32=2 37=642830969875

               32=1 37=0

               32=1 37=0

               32=1 37=0

               32=1 37=642830998796

               32=1 37=642830998797

               32=1 37=642830998799

               32=1 37=0

               32=1 37=0

               32=1 37=642830999143

               32=2 37=642830999155

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

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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