MDP 3.0 - Settlement Price
- CME Group
Settlement price is updated throughout the trading week for an instrument and disseminated by means of the Market Data Incremental Refresh (tag 35-MsgType=X) message on the incremental feed.
Contents
Market Data Incremental Refresh (tag 35-MsgType=X) Message - Settlement Price
CME Globex sends the following types of settlement prices in the Market Data Incremental Refresh (tag 35-MsgType=X) message:
- Final/Preliminary
- Actual/Theoretical
- Settlement at Trading Tick/Settlement at Clearing Tick (See example below)
FIX Syntax for Settlement Price
Tag | FIX Name | Format | Valid Values | Description | ||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 279 | MDUpdateAction | Char | 0 = New | Market data update action. | ||||||||||||||||||
269 | MDEntryType | Char | 6 = Settlement Price | Identifies price as a settlement price. | ||||||||||||||||||
| 48 | SecurityID | Int | Unique instrument ID. | |||||||||||||||||||
| 83 | ReptSeq | Int | MD Entry sequence number per instrument update. Reset weekly. | |||||||||||||||||||
| 270 | MDEntryPx | Price | Price of the MD Entry. | |||||||||||||||||||
731 | SettlPriceType | String | Examples
| Bitmap field of eight Boolean type indicators representing settlement price type: Bit 0: (least significant bit): 1=Final 0=Preliminary Bit 1: 1=Actual 0=Theoretical Bit 2: 1=Settlement at Trading Tick 0=Settlement at Clearing Tick Bit 3: 1=Intraday 0=Undefined Bit 4-6: Reserved for future use, set to 0 Bit 7: 0=not NULL 1=entire set is a NULL | ||||||||||||||||||
| 5796 | TradingReferenceDate | LocalMktDate | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
Settlement at Trading Tick / Settlement at Clearing Tick
If no rounding occurs (the product is not subject to rounding and the CME Globex trading tick is the same as the settlement tick for the product), a single Market Data Incremental Refresh (tag 35-MsgType=X) message is sent on the incremental feed with:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPx - the price value on the CME Clearing settlement tick
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
If rounding occurs, two Market Data Incremental Refresh (tag 35-MsgType=X) messages are sent on the Incremental feed.
Message with unrounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX - price value on CME Clearing settlement tick
- tag 731-SettlPriceType Bit 2 = 0 (Settlement at Clearing Tick)
- tag 5796-TradingReferenceDate
Message with rounded price value:
- tag 269-MDEntryType=6 (Settlement Price)
- tag 270-MDEntryPX - price value rounded to CME Globex trading tick
- tag 731-SettlPriceType Bit 2 = 1 (Settlement at Trading Tick)
- tag 5796-TradingReferenceDate
Settlement at Trading Tick Example
Some CME Group products have a mini-sized product listed along with the full-sized product (e.g., e-mini, e-micro, and miNY products). In many cases, mini-sized products are marked to market and margined using their corresponding full-sized contract settlement.
The trading tick of the mini-product is not always equal to the settlement/trading tick of the full-sized product. For example, given:
- Gold (GC) futures ticks at .10
- E-mini Gold (QO) futures ticks at .25
- Gold (GC) futures settles to an actual preliminary settlement price at 2746.20
Settlement price sent for the standard or full-sized contract.
Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000010 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000010 = Preliminary Actual Settlement at Clearing Tick |
270 | MDEntryPx | Price | 2746.20 | Price of the MD Entry. Unrounded price value on clearing settlement tick. |
269 | MDEntryType | Int | 6 | Type of Market Data entry. 6 = Settlement Price |
5796 | TradingReferenceDate | LocalMktDate | 20031 (04 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
The E-mini Gold (QO) futures instrument will have two settlement prices disseminated.
Settlement price on instrument’s clearing settlement tick.
Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000010 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000010=Preliminary Actual Settlement at Clearing Tick |
270 | MDEntryPx | Price | 2746.20 | Price of the MD Entry. Unrounded price value on clearing settlement tick. |
269 | MDEntryType | Char | 6 | Type of Market Data entry. 6=Settlement Price |
5796 | TradingReferenceDate | LocalMktDate | 20031 (04 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
Settlement price rounded to trading tick
Tag | FIX Name | Format | Sample Value | Description |
|---|---|---|---|---|
731 | SettlPriceType | String | 00000110 | Bitmap field of eight Boolean type indicators representing settlement price type. 00000110 = Preliminary Actual Settlement at Trading Tick |
270 | MDEntryPx | Price | 2746.25 | Price of the MD Entry. Rounded to the nearest price on trading tick price. |
269 | MDEntryType | Char | 6 | Type of Market Data entry. 6 = Settlement Price |
5796 | TradingReferenceDate | LocalMktDate | 20031 (04 Nov 2024) | Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch. |
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