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This topic provides information on EBS Spectrum Market Data Platform (MDP) functionality. The Spectrum integration will provide Time Weighted Average Price (TWAP) and Volume Weighted Average Price (VWAP) market data for the following markets:  

  • FX Spot
  • Precious Metal Spot

Contents

Revision History

DateDescription
November 11, 2021

"CME MDP Conflated Transmission Control Protocol (TCP)" - CME MDP Conflated TCP market data group supports one second minute conflation over TCP unicast in Simple Binary Encoding (SBE). Each Conflated TCP channel market data group has separate I/P and ports, therefore session activity will only apply to their respective channels.

"Conflated Market Data Processing" - EBS Spectrum MDP supports a one second minute conflation interval.

August 17, 2021"Conflated Market Data Processing" - "If there is no activity within the configured 1 second minute interval EBS Spectrum resets the conflation interval to 1 second minute and waits to publish the next market event. If there is no activity within the publication interval for an instrument, no message will be published."
August 11, 2021"Conflation Market Data Examples" - Changed conflation intervals for published messages from 1 second to 1 minute.
April 7, 2021Initial publication

Key Events and Dates

The full New Release and Production launch schedule is available at EBS Market on CME Globex Launch Schedule.

EBS Market Data Services Overview

The following market data services will be offered for EBS Spectrum markets.

Market

Market Data Group Option(s)

Channel ID

Description
EBS SpectrumCME MDP Conflated TCP- Spectrum550
  • TWAP/VWAP market data
  • 1 minute conflated messaging
  • TCP Connectivity 
  • Simple Binary Encoding (SBE)

Getting Started with CME Market Data Processing 

This section provides an overview of current CME Group market data technology processing concepts that will be used for the EBS Spectrum feedsIf you are new to CME Group MDP technologies or wish to better understand how your current CME Group system aligns with upcoming EBS Spectrum functionality, CME Group recommends starting here.

CategoryCME Globex Concepts & LinksCME MDP Conflated TCP Support?Notes
Message Encoding

Simple Binary Encoding (SBE)

YesEncoding type for EBS Spectrum.

Testing and Certification

Certification via AutoCert+ is required for all client systems that will support EBS Spectrum MDP.  

CME Globex Test Environments

See EBS Integration - Environments Overview for more information on CME Globex test environments.

EBS Spectrum MDP will launch first in the New Release environment. 

MDP Dissemination 

The CME Group Market Data Platform (MDP) disseminates bid, ask, and trade data for CME Group markets and provides recovery and supporting services for market data processing.

Market Data Group

Market data is organized by Market Data Group, which is a configuration of MDP channels providing all market data required to support markets for a given product or set of products. EBS on CME Globex will have one of the following Market Data Groups:

CME MDP Conflated Transmission Control Protocol (TCP)

CME MDP Conflated TCP market data group supports one minute conflation over TCP unicast in Simple Binary Encoding (SBE). Each Conflated TCP channel market data group has separate I/P and ports, therefore session activity will only apply to their respective channels. 


TCP_EMDP2

CME MDP Component Overview

This section provides an overview of MDP components for EBS Spectrum MDP. 

TCP MDP Gateway

TCP MDP Gateway disseminates CME Group market data using TCP encoded packets.

CME MDP Conflated TCP - System Startup

This section provides an overview of the startup procedure on CME Globex for the CME MDP TCP feed.

Early and Late Joiner Startup

For a startup prior to the weekly market open and for a late joiner startup, to obtain all entitled data and subsequent updates, it is recommended clients send the following request with the type equal to Snapshot and Updates (tag 263-SubscriptionReqType=1):

  • Market Data Request Message (35-MsgType=V)

For more information regarding request messages see MDP Conflated TCP - Request Messaging.

Market Data Support Services

Market data services provide the external data required to process CME Group market data. 

EBS T VWAP feed


Support Services 

There are three MDP services available for EBS markets on EBS Spectrum: EBS Derived SBE Schema, TCP Session Management SBE Schema and CME Reference Data API. An FTP site is used to store the schema files and configuration files for all environments.

Service

Description

EBS Derived MDP SBE Schema 

MDP is a template-based SBE protocol wherein a given message is interpreted by means of its corresponding template. Each message contains a unique Schema ID that references the template to use to interpret the message. This schema contains messaging such as TWAP/VWAP and Market Best Bid/Offer.

TCP Session Management SBE Schema

An SBE schema for client systems to receive CME Group session management templates for the CME MDP Conflated TCP market data group.  

CME Reference Data API 

Additional product and instrument referential data can be obtained via CME Reference Data API

FTP/SFTP Site Information

CME provides an FTP (ftp://ftp.cmegroup.com) and SFTP (sftpng.cmegroup.com) site to disseminate MDP SBE schemas and market data configuration information. This FTP/SFTP site contains the schema and configuration files for all events. 

Information applies as follows in the table:

  • Environment - specific environment (i.e., Certification, Certification AutoCert+, New Release, New Release Autocert+, Production)
  • Service - EBS Derived MDP SBE Schema, TCP Session Management SBE Schema
  • FTP/SFTP Site - address of the FTP/SFTP site
  • Directory Location - identifies directory
  • Client System Update Schedule - client systems should download updates according to schedule specified
EnvironmentServiceFTP/SFTP SiteDirectory LocationClient System Update Schedule

Certification

EBS Derived MDP SBE Schema

ftp.cmegroup.com or sftpng.cmegroup.com

/SBEFix/Cert/DerivedMDP/Templates/

Sunday prior to market open

TCP Session Management SBE Schema/SBEFix/Cert/SessionManagement/Templates/Sunday prior to market open

Certification AutoCert+

SBE Schema 

/SBEFix/CertAutoCertPlus/Templates

Sunday prior to market open

TCP Session Management SBE Schema

/SBEFix/CertAutoCertPlus/SessionManagement/Templates/

Sunday prior to market open

New Release

EBS Derived MDP SBE Schema

/SBEFix/NRCert/DerivedMDP/Templates/

Sunday prior to market open

TCP Session Management SBE Schema/SBEFix/NRCert/SessionManagement/Templates/Sunday prior to market open

New Release Autocert+

EBS Derived MDP SBE Schema

/SBEFix/NRAutoCertPlus/Templates

Sunday prior to market open

TCP Session Management SBE Schema/SBEFix/NRAutoCertPlus/SessionManagement/Templates/Sunday prior to market open

Production

EBS Derived MDP SBE Schema

/SBEFix/Production/DerivedMDP/Templates/

Sunday prior to market open

TCP Session Management SBE Schema/SBEFix/Production/SessionManagement/Templates/Sunday prior to market open

Channel Guide

The EBS Spectrum channel is shown below. For more information on Market Data Groups, see MDP Dissemination.

Market

Market Data Group Option(s)

Channel ID

EBS SpectrumCME MDP Conflated TCP550

Simple Binary Encoding Schema Overview

The following section outlines key concepts for Simple Binary Encoding (SBE) schema processing on EBS Spectrum. For tag level messaging details, see the specification section.  

Core CME Globex SBE Schema Overview

With the launch of EBS Spectrum on CME Globex, the core Simple Binary Encoding (SBE) schema will be launched. 

The following table outlines the Derived MDP SBE schema template mapping for market data groups:  

Market Data GroupCurrent Supported Templates
CME MDP Conflated TCP - EBS Spectrum
  • Negotiate200
  • NegotiationReject201
  • NegotiationResponse202
  • Terminate203
  • MarketDataRequest205
  • RequestAck206
  • RequestReject207
  • SubscriberHeartbeat210
  • AdminHeartbeat302
  • MDIncrementalRefreshSpectrum303
  • MDSnapshotRefreshSpectrum305

TCP Session Management SBE Schema Overview

The TCP Session Management SBE Schema will be exclusively used for the MDP TCP Gateway market data group. TCP Session Management Schema is SBE release version 1.0 candidate 4, however the schema is compatible with SBE release version 1.0 candidate 2 systems. The new SBE schema is named mdpsessionmgmt.xml. 

EBS Spectrum Messaging

EBS Spectrum includes the TWAP/VWAP messaging. 

Message

Description

TWAP

TWAP is the sum of the prices, divided by the number of completed deals. TWAP is based on price only and does not consider the traded amount. 

VWAP

VWAP is the sum of the deal prices multiplied by the deal amount, divided by the total amount of all trades within the conflation interval.

EBS Spectrum TWAP/VWAP Message (35=X) Tag Usage

The following table outlines tag usage for TWAP/VWAP messages.  

TagNameDescriptionMRF Field ReplacedTWAPVWAP
60TransactTime

Publication event time, sent in number of nanoseconds since Unix epoch


Update Date/TimeAvailableAvailable
5799MatchEventIndicator

BitSet 

NameBitDescription
EndOfEvent71=Last message for calculation event or the publication interval
RecoveryMessage61=Message sent in recovery and may be a duplicate
-AvailableAvailable
268NoMDEntries

Number of elements in the message (groupSize)

-AvailableAvailable

→279

MDUpdateAction

Market Data update action. Always 0=(new)

-0

0

→269

MDEntryType

Market Data entry type, identifies the element

NameValue
VWAP9
TWAPt
Element Namet=TWAP

9=VWAP

→48

SecurityID

SecurityID as referenced in MDP3 and Ilink3 protocols-

Available

Available

→55SymbolUnique instrument Symbol-

Available

Available

→37513InstrumentGuidExternal unique instrument ID-

Available

Available

→2714FinanicalInstrumentFullName

Financial instrument long name

e.g. FXSPOT.EURUSD

Description

Available

Available

→270

MDEntryPx

Market Data entry price

PriceNull9

TWAP Value

VWAP Value

→271

MDEntrySize

Market Data entry sizeAmountNumber of Trades

The Notional Volume for the Interval

→273

MDEntryTime

Time of the last market event that contributed to element calculation or publication. Sent in UTC format.

Price Date/Time

Available

Available

Conflated Market Data Processing

This section describes functionality for the CME MDP Conflated UDP and CME MDP Conflated TCP market data groups for EBS Spectrum. Conflated market data combines multiple updates within an interval into a single event.  EBS Spectrum MDP supports a one minute conflation interval. When the conflation interval is exceeded due to additional processing, EBS Spectrum does not publish messages until the event is complete. The interval is reset once MDP messages are published. If there is no activity within the configured 1 minute interval EBS Spectrum resets the conflation interval to 1 minute and waits to publish the next market event. If there is no activity within the publication interval for an instrument, no message will be published.

The following examples assume trade embargo (see in the following section) functionality is not included. Additionally, for the examples below, message performance is for illustrative purposes only. Actual production message performance on CME Globex will differ.  

Conflation Market Data Examples

The example below outlines conflation concepts applicable to EBS Spectrum.

Example 1 - Multiple Updates for Single Instrument

The following example illustrates conflation for a single instrument with multiple updates set to a 1 minute conflation interval. The value sent to client systems is the combined Paid and Given values. ConflationSpectrum_ex1 Copy


Example 2 - Multiple Updates for Multiple Instruments 

The following example illustrates conflation for multiple instruments set to a 1 minute conflation interval

Conflation EBS Spectrum Multi Copy

Conflated TCP Market Data Group 

CME Group will offer a CME MDP Conflated TCP market data group for EBS Market. The Conflated TCP Market Data Group schema will utilize appended template extension. With template extension, a template is extended as an appended extension, client systems can choose to continue processing the prior template version or process the new data with the new schema version.

Packet Structure

The encoded FIX transmission for the CME MDP Conflated TCP market data group is sent in a packet. For more information regarding packet structure see CME Globex EBS Market - Market Data PacketStructure

Conflated MDP TCP - Initialization and Unbinding

Conflated MDP TCP uses the FIX protocol via Simple Binary Encoding (SBE) to establish and manage bi-directional sessions. A session is defined as a bi-directional stream of ordered messages between two parties.
Conflated MDP TCP does not support session layer re-transmit request functionality. For more information on this topic, see Conflated MDP TCP - Initialization and Unbinding.

Conflated MDP TCP - Request Messages

The following section outlines request message market data functionality provided by CME Globex. Once the client system has established a FIX session, client systems may send request messages. Subscription requests only apply to their respective channels.

TCP MDP Request Messages and Response Messages

Conflated MDP TCP payload messages are summarized as follows. 

Message Name

FIX Tags

Template Name

From | To

Purpose

Market Data Request Message35-MsgType=VMarketDataRequest205Client System to CME GlobexRequest to recover current state via the Market Data Snapshot Recovery Message (35=W) and receive all subsequent message type updates for the subscribed instruments or all entitled products.

Request Acknowledgment 

35-MsgType=VRequestAck206 CME Globex to Client SystemCME Globex acknowledgment to denote if a client system request is fully or partially acknowledged.

Request Reject

tag 35-MsgType=Y

RequestReject207 CME Globex to Client SystemMessage sent to client systems as a reply to any type of request that is fully rejected.  

For more information, see CME Globex EBS Market - Market Data: Conflated MDP TCP - Request Messages).

Security List Request Message (tag 35-MsgType=x) and Security Status Request Message (tag 35-MsgType=g) messages referenced are not applicable to EBS Spectrum market data.

EBS Spectrum Message Specification

The message specifications provide the message layout for each FIX message type supported by the applicable SBE schema. Clients can also review message specification details via the SBE schemas: 

  • EBS Derived MDP SBE Schema
  • TCP Session Management

Binary Packet Headers

A standard technical header sent in a packet.

SBE Technical Header for TCP Conflated Connections

A standard technical header is included as preamble to all TCP conflated SBE messages sent by Customer to Exchange, as well as Exchange to Customer for TCP. 

Name

Type

Description

encodingType

integral enumeration

value '0xCAFE'

CME SBE version 1.0 little-endian - value 0xCAFE

MsgSeqNum

uInt32

TCP sequence number.

A unique sequence number given to each TCP message sent.

Each connection will have its own separate set of sequence numbers that will increment sequentially with each packet and reset on connection termination.

SendingTime

uInt64

UTC Time of message transmission by the MD Gateway. UTC Timestamps are sent in number of nanoseconds since Unix epoch.

CME Group MDP EBS Spectrum Message Specification 

The CME Group MDP Core Message Specification provides the message layout for each FIX message type supported by the EBS Derived MDP SBE Schema. 

Market Data Header

The following section outlines MDP headers for the Core CME Globex SBE Schema.  

Message Header

Each message in the packet starts with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID and Version).

NameType Description
MsgSize

uInt16

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

Length of the root of the FIX message contained before repeating groups or variable/conditions fields

TemplateID

uInt16

Template ID used to encode the message

SchemaIDuInt16ID of the system publishing the message
Version

uInt16

Schema version

Market Data Incremental Refresh (tag 35-MsgType=X) 

The Market Data Incremental Refresh (tag 35-MsgType=X) is sent for incremental updates including TWAP and VWAP data.

Market Data Incremental Refresh - TWAP & VWAP

The Market Data Incremental Refresh message below is sent for TWAP and VWAP updates. This message maps to the MDIncrementalRefreshSpectrum303 template in the EBS Derived MDP SBE Schema.

TagField NameTypeSemantic TypeValid ValuesDescription
60

TransactTime

uInt64

UTCTimestamp


Publication event time, sent in number of nanoseconds since Unix epoch.
5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

Example: 10000000 – end of event

End of updates indicator.

Bit 7 =1 when message is the last in the series of updates published for the publication interval.

Bit 6 = 1 indicates if elements were resent during technical recovery and may be duplicates of previously published values

Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message.
279MDUpdateActionMDUpdateActionNewint0=New

Market Data update action.

269MDEntryTypeSpectrumEntryTypechar

9=VWAP

t=TWAP

Market Data entry type, identifies the element.

2714FinancialInstrumentFullNameLongNameStringE.g. FXSPOT.EURUSDFinancial instrument long name.
55SymbolSymbolString
Unique instrument Symbol.
37513InstrumentGUIDuInt64int
External unique instrument ID.
48SecurityIDInt32int
SecurityID as referenced in MDP3 and Ilink3 protocols.
270MDEntryPxPRICENULL9PriceNull9
Market Data entry price.
271MDEntrySizeuInt64NULLQty

For TWAP messaging, this value represents the number of trades.

For VWAP messaging, this value represents volume.

273MDEntryTimeuInt64UTCTimestamp
Time of the last market event that contributed to element calculation or publication.

Market Data Snapshot (tag 35-MsgType=W)

The Market Data Snapshot (tag 35-MsgType=W) is utilized for market recovery. This message is generated as a response to Market Data Request with SubscriptionReqType = 0 (Snapshot) or 1 (Snapshot and Updates). It is generated only for instruments that have had trade activity so that most recent updates to Spectrum values can be recovered.

Market Data Snapshot - Conflated TCP Recovery 

The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the MDSnapshotRefreshSpectrum305 template in the EBS Derived MDP SBE Schema for EBS Spectrum.

TagField NameTypeSemantic TypeValid ValuesDescription
60

TransactTime

uInt64

UTCTimestamp


Publication event time, sent in number of nanoseconds since Unix epoch.
5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

E.g. 10000000 – end of event

End of updates indicator.

Bit 7 =1 when message is the last in the series of updates published for the publication interval.

Bit 6 = 1 indicates if elements were resent during technical recovery and may be duplicates of previously published values.

2714FinancialInstrumentFullNameLongNameStringE.g. FXSPOT.EURUSDFinancial instrument long name.
55SymbolSymbolString
Unique instrument Symbol.
37513InstrumentGUIDuInt64int
External unique instrument ID.
48SecurityIDInt32int
SecurityID as referenced in MDP3 and Ilink3 protocols.
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message.
269MDEntryTypeSpectrumEntryTypechar

9=VWAP

t=TWAP

Market Data entry type, identifies the element.

270MDEntryPxPRICE9PriceNull9
Market Data entry price.
271MDEntrySizeuInt64NULLQty

For TWAP messaging, this value represents the number of trades.

For VWAP messaging, this value represents volume.

273MDEntryTimeuInt64UTCTimestamp
Time of the last market event that contributed to element calculation or publication.

Market Data Heartbeat (tag 35-MsgType=0)

The Heartbeat (tag 35-MsgType=0) message is sent on UDP Real-Time Feed and Recovery Feeds in periods of no activity at a configurable time interval and consists of only a standard technical header and a FIX message header.  Currently, the configurable time interval is 30 seconds. This message maps to the AdminHeartbeat302 template in the EBS Derived MDP SBE Schema.

Tag

FIX Name

FIX Type

Valid Values for BrokerTec

Description

35

MsgType

Int

0=Heartbeat

FIX Message Type

CME Group MDP TCP Session Management Specification 

The CME Group MDP Session Message Specification provides the message layout for each FIX message type supported by the CME MDP Conflated TCP market data group in the TCP Session Management SBE Schema. Consult the MDP Dissemination section for more information. 

Market Data Header

The following section outlines MDP headers for the Global TCP Recovery for UDP schema.  

SBE Technical Header - Customer to Exchange, Exchange to Customer

For the TCP MDP 3.0 stream, a standard technical header is included as a preamble to all SBE messages. The SBE technical header is sent by the customer to the exchange and the exchange to the customer.

NameType Description
encodingType

integral enumeration

value '0xCAFE'

CME SBE version 1.0 little-endian - value 0xCAFE.

MsgSeqNum

uInt32

Template ID used to encode the message.

SendingTimeuInt64ID of the system publishing the message.

SBE Message Header - Customer to Exchange, Exchange to Customer

Each FIX SBE message will start with a Binary message header that consists of the Binary Size and SBE header (Length, TemplateID, SchemaID, and Version). The SBE message header is sent by the customer to the exchange and the exchange to the customer.

NameTypeDescription
MsgSize

uInt16

Length of entire message, including binary header in number of bytes

Simple Binary Encoding Header
BlockLength

uInt16

Length of root of the message

TemplateID

uInt16

Template ID used to encode the message

SchemaIDuInt16ID of the system publishing the message
Version

uInt16

Schema version

MDP Session Management Messages - Client to Exchange

The following section outlines client messages sent to CME Globex for a CME MDP Conflated TCP market data group.

Negotiate Message

This message maps to the Negotiate200 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

39003HMACVersionHMACVersionStringCME-1-SHA-256Constant value representing CME HMAC version
39005HMACSignatureString32ReqString
Contains the HMAC signature.
39004AccessKeyIDString20ReqString
Contains the AccessKeyID assigned to this session on this port.
39001UUIDuInt64int
Session Identifier defined as type long (uInt64); recommended to use timestamp as number of microseconds since epoch (Jan 1, 1970)
39002RequestTimestampuInt64UTCTimestamp
Time of request (UTC) recommended to use timestamp as number of nanoseconds since epoch (Jan 1, 1970)
39006SessionString5String
Session ID
39007FirmString5String
Firm ID

Market Data Request Message (tag 35-MsgType=V)

This message maps to the MarketDataRequest205 template in the TCP Session Management SBE Schema.

TagFIX NameTypeSemantic TypeValid Values for BrokerTecDescription
262MDReqIDuInt32int
Unique identifier for Market Data Request. Must be unique per session so it can be referenced in Request Ack or Request Reject responses from the exchange.
263SubscriptionReqTypeSubscriptionReqTypeint

0=Snapshot

1=Snapshot and updates

2=Disable previous subscription

Subscription Request Type indicates to the type of response expected.
Repeating Group 1
37022NoSecurityGroupsNuminGroup

Number of SecurityGroups specified in subscription request. Should be equal to 0 when subscription is requested for all groups on the segment or individual Security IDs are listed in the criteria for subscription.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of instruments requested. When NoSecurityGroups → 0 specified in the request, the NoRelatedSym should be equal 0.
48SecurityIDInt32int
Security ID

Subscriber Heartbeat (tag 35-MsgType=0)

This message maps to the SubscriberHeartbeat210 template in the TCP Session Management SBE Schema. The heartbeat time Interval is configured to 30 seconds. Client systems are disconnected if the SubscriberHeartbeat is not received for two intervals.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

MDP Session Management Messages - Exchange to Client

The following section outlines CME Globex messages sent to client systems for a CME MDP Conflated TCP market data group.

Negotiation Reject

This message maps to the NegotiationReject201 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

39011ReasonString48String
Reject reason details
39001UUIDuInt64int
Matches Negotiate.UUID
39002RequestTimestampuInt64UTCTimestamp
Matches Negotiate.RequestTimestamp
39012ErrorCodesErrorCodesint

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Error code for reject reason

Negotiation Response

This message maps to the NegotiationResponse202 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

39001UUIDuInt64int
Matches Negotiate.UUID.
39002RequestTimestampuInt64UTCTimestamp
Matches Negotiate.RequestTimestamp.
39022SecretKeySecureIDExpirationuInt16NULLint
This indicates in how many days the HMAC secret key will expire.

Request Acknowledgement (tag 35-MsgType=V)

This message maps to the RequestAck206 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

262MDReqIDuInt32int
Unique identifier for Market Data Request.
263SubscriptionReqTypeSubscriptionReqTypeint0=Snapshot

1=Snapshot and updates

2=Disable previous subscription
Subscription ReqType
37720MDReqIDStatusRequestIDStatusint0=Requested subscription scope is fully acknowledged

1=Requested subscription scope is partially acknowledged
Status of the request acknowledgement.
Repeating Group 1
37022NoSecurityGroupsNuminGroup

Number of SecurityGroups acknowledged.
1151SecurityGroupSecurityGroupString
Security Group
Repeating Group 2
146NoRelatedSymNuminGroup

Number of securities acknowledged.
48SecurityIDInt32int
Security ID

Request Reject (tag 35-MsgType=Y)

This message maps to the RequestReject207 template in the TCP Session Management SBE Schema.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

262MDReqIDuInt32NULLint
Unique identifier for Market Data Request.
281MDReqRejReasonMDReqRejReasonint

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Market Data Request Reject reason code.
58TextString100String
Reject reason details.

MDP Session Management Message - Client to Exchange and Exchange to Client

Terminate

This message maps to the Terminate203 template in the TCP Session Management SBE Schema. Both client systems and the exchange use this message.

Tag

FIX Name

Type

Semantic TypeValid Values for BrokerTec

Description

39011ReasonString48String
Reject reason details.
39001UUIDuInt64int
Matches Negotiate.UUID used to establish the connection.
39002RequestTimestampuInt64UTCTimestamp
Time of request; recommended to use timestamp as number of nanoseconds since Unix epoch (Jan 1, 1970).
39012ErrorCodesErrorCodesint

0=Unknown Security

1=Unknown or Invalid Message

2=Unsupported Scope

3=Other

Error code for reject reason.
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