Cleared Volume data blocks contain the number of contracts that have been through the clearing process for an active instrument for the previous trading day. Tag 5796-TradingReferenceDate indicates the Cleared Volume trading session date, which is the previous trading day. Tag 279-MDUpdateAction will be set to 0 = New and tag 269-MDEntryType will be set to B = Trade Volume. Tag 271-MDEntrySize will contain the Cleared Volume.
Cleared Volume is updated once per day throughout the trading week. Client systems can leverage the Security Definition (tag 35-MsgType=d) message to recover the last published cleared volume for an instrument. On Sunday start, the Security Definition (tag 35-MsgType=d) Message is published initially to the Instrument Definition feeds and the Market Data Incremental Refresh feeds without tag 5791-ClearedVolume. Once Cleared Volume is sent in the Market Data Incremental Refresh message, the value of Cleared Volume from tag 271-MDEntrySize is placed on the Security Definition (tag 35-MsgType=d) Message in tag 5791-ClearedVolume and maintained on the Instrument Definition feed. As cleared volume updates are disseminated, once per day, on the Market Data Incremental Refresh feed, the value of tag 5791-ClearedVolume is updated.
If Cleared Volume is 0, tag 5791-ClearedVolume=0.
FIX Syntax for Cleared Volume
|279||MDUpdateAction||Char||0||Type of Market Data update action.|
0 = New
|269||MDEntryType||Char||B||Type of Market Data Entry.|
B = Trade Volume
|48||SecurityID||Int||Unique instrument ID as qualified by the exchange.|
|83||RptSeq||Int||Sequence number per Instrument update.|
|271||MDEntrySize||Qty||Quantity or volume represented by the Market Data Entry. Updated once per day.|
|LocalMktDate||Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.|