The Market Data Incremental Refresh message below is sent for session statistics. This message maps to the MDIncrementalRefreshSessionStatistics template in the SBE MDP Core schema.
60 TransactTime uInt64 UTCTimestamp Start of event processing time in number of nanoseconds since Unix epoch 5799 MatchEventIndicator MatchEventIndicator MultipleCharValue example: 00001000 – end of statistics, not end of event example: 10001000 – end of statistics, end of event Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex event Repeating Group 1 →270 MDEntryPx PRICE9 Price Market Data entry price →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 MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero. →286 OpenCloseSettlFlag OpenCloseSettlFlag int 0=DailyOpenPrice 5=IndicativeOpeningPrice 100=IntradayVWAP 101=RepoAverage8_30AM 102=RepoAverage10AM 103=PrevSessionAverage10AM Flag describing entry type VWAP and Repo values are BrokerTec only. →279 MDUpdateAction MDUpdateAction int 0=New 2=Delete (trading session prices only) Market Data update action →269 MDEntryType MDEntryTypeStatistics char 4=Opening Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP N=Highest Bid O=Lowest Offer Market Data entry type VWAP value are BrokerTec only. →271 MDEntrySize Int32NULL Qty Indicative Opening Quantity Tag FIX Name Type Semantic Type Valid Values Description 268 NoMDEntries NumInGroup Number of entries in Market Data message