Market Data Incremental Refresh - Limits and Banding
The Market Data Incremental Refresh message below is sent for limits and banding. This message maps to the MDIncrementalRefreshLimitsBanding template in the SBE MDP Core schema.
| Tag | FIX Name | Type | Semantic Type | Valid Values for EBS | Description |
|---|---|---|---|---|---|
60 | TransactTime | uInt64 | UTCTimestamp | Start of event processing time in number of nanoseconds since Unix epoch | |
5799 | MatchEventIndicator | MatchEventIndicator | MultipleCharValue | example: 10000000 - last message in the event example: 00000000 - not last message in the 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 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 | ||
→1149 | HighLimitPrice | PRICENULL9 | Price | Upper price threshold for the instrument | |
→1148 | LowLimitPrice | PRICENULL9 | Price | Lower price threshold for the instrument | |
→1143 | MaxPriceVariation | PRICENULL9 | Price | Differential static value for price banding | |
→48 | SecurityID | Int32 | int | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | |
→83 | RptSeq | uInt32 | int | MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero. | |
→279 | MDUpdateAction | MDUpdateActionNew | int | 0=New | Market Data update action |
→269 | MDEntryType | MDEntryTypeLimits | char | g=Threshold Limits and Price Band Variation | Market Data entry type. |