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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.

MDP3 Product

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.

ValueTagFIX NameSample Value
Underlying Product462UnderlyingProduct14=Interest Rate
Security Group1151SecurityGroupZE=Options on CME Eurodollar Futures
Asset6937AssetGE=Eurodollar Futures
Symbol55Symbol
GEH5 C9737
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:

MDP
iLink Order Entry

tag 55-Symbol

tag 107-SecurityDesc

tag1151-SecurityGroup  

tag 55-Symbol  

The following diagram shows how values translate across MDP and iLink order entry messages.

MDP OE Message Tag Correlation

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.

EventStartTimeandTradeNumberCorrelation

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.

MBO iLink Order Tracking2