MDP 3.0 - Market Data Incremental Refresh - MBP and MBOFD

60

TransactTime

uInt64

UTCTimestamp

Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000100 – end of quotes, not end of event

example: 10010000 – end of implied quotes, 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

268

NoMDEntries

NumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICENULL9

Price

Market Data entry price

→271

MDEntrySize

Int32NULL

Qty

Market Data entry size

→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 MDP Conflated TCP market data group sends a RptSeq value of zero.

→346

NumberOfOrders

Int32NULL

int

In Book entry - aggregate number of orders at given price level

→1023

MDPriceLevel

uInt8

int

Aggregate book level

→279

MDUpdateAction

MDUpdateAction

int

0=New

1=Change

2=Delete

Market Data update action

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

E=Implied Bid

F=Implied Offer

Market Data entry type. 

→37719

TradeableSize

Int32NULL

Qty

Bilateral product tradeable quantity specific to a firm

37705

NoOrderIDEntries

NoOrderIDEntries

Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBOFD combined updates.

→37

OrderID

uInt64

int

Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64NULL

int

Order priority for execution on the order book

→37706

MDDisplayQty

Int32NULL

Qty

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→9633

ReferenceID

uInt8NULL

int

Reference to corresponding Price and Security ID, sequence of MD entry in the message

→37708

OrderUpdateAction

OrderUpdateAction

int

0=New

1=Change

2=Delete

Order book update action to be applied to the order referenced by OrderID