Certain values transmitted in market data messages can be correlated with their counterpart iLink order entry message tags. This topic provides an overview and mapping of tags which can be correlated by the client.
Market Data Product Model
Products traded on CME Globex are constructed according to the following MDP 3.0 hierarchy.
Underlying Product identifies the broadest categorization to which the product belongs, known as the Asset Class or Product Complex.
Asset identifies the underlying asset code upon which the instrument is based.
Symbol identifies the quotable instrument.
Additionally, outside of the the product hierarchy, Security Group identifies a technical platform configuration by which products are grouped to provide features such as Mass Quoting, UDS creation, market state changes, etc.
MDP 3.0 provides identifiers for the structure described above in the MDP3 Security Definition message as follows.
|Value||Tag||FIX Name||Sample Value|
|Underlying Product||462||UnderlyingProduct||14=Interest Rate|
|Security Group||1151||SecurityGroup||ZE=Options on CME Eurodollar Futures|
9737 Call option on March 2015 CME Eurodollar Future
Correlating MDP 3.0 with Order Entry
The following section describes how these market data message tag values map to iLink order entry message tag values.
Mapping Market Data FIX Tag Values to Order Entry FIX Tag Values
MDP tag values correlate to the following iLink message tags for all message types:
iLink Order Entry
The following diagram shows how values translate across MDP and iLink order entry messages.
Correlating Trade Summary from MDP 3.0 to iLink Execution Report
Additionally, for correlating trades broadcast in the Incremental Refresh message, clients can use Trade Summary message tag 37-OrderID and tag 60-TransactTime as shown in the diagram below.
The tag 60-TransactTime value will be sent in nanoseconds since the Unix epoch with microsecond precision.
In this example Client System A submits an agressing Sell order to match the resting Buy order submitted by Client System B.
Correlating iLink Order Entry to MBO
Client systems can link their CME Globex iLink orders to MBO MDP 3.0 books via tag 37-OrderID.