Skip to end of metadata
Go to start of metadata

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.
 Expand for a sample message sequence

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

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

               48=50393 83=5095381 269=2 270=2079750000000,-7 271=61 279=0 346=28 5797=2   Total of Tag 346=106

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

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.
    • If implied orders match with each other (both sides of the trade), the Trade Summary market data entry (tag 269-MDEntryType=2) is NOT disseminated, but an Electronic Volume update (tag 269-MDEntryType=e) is sent.
  • 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.

FIX Syntax for Trade Summary - Market Data Incremental Refresh (tag 35-MsgType=X)

Tag Number

Tag Name

Value

Description

268NoMDEntries  

→279

MDUpdateAction

0

0 = new. Type of Market Data update action.

→269

MDEntryType

2

2 = trade. Type of Market Data entry.

→48

SecurityID

 

Unique instrument ID as qualified by the exchange.

→83

RptSeq

 

Sequence number per Instrument update.

→270

MDEntryPx

9550.00

Price of the Market Data Entry.

→271MDEntrySize Aggregated trade quantity for the instrument at the price level represented by the Trade Summary entry.
→346NumberOfOrders 

Number of real orders traded on both sides of the match for the instrument and the price level represented by the entry. The sum of all tag 346 values in the Trade Summary entries corresponds to the number of orders in the tag 37705-NoOrderIDEntries repeating group.

A Trade Summary message may be larger than one packet, causing the Trade Summary information to continue into the next packet. All Trade Summary messages should be processed together and the sum of the values of all tag 346-NumberOfOrders will be equal to the number of orders in tag 37705-NoOrderIdEntries.

→5797AggressorSide

0

1
2

0=No aggressor

1=Buy
2=Sell

37705NOOrderIDEntries Repeating group of real orders that participated in the match.
→37OrderID 

Unique ID assigned by CME Globex to identify orders.

→32LastQty Qty bought or sold on the fill.

Trade Summary Composition

The Trade Summary message is constructed as shown in the following diagrams.

Trade Summary Example - Actual Orders Only (No Implieds)

Construction

Trade Summary Example - Actual and Implied Orders

Construction2

  • No labels