This section provides diagram examples for the following market data event scenarios from a FIX message perspective.
New Order Add - MBO & MBP Single Book Update Shared Incremental Refresh Message
Trade Event - MBO & MBP Single Book Update Across Multiple Incremental Refresh Messages
Event: A new Limit Order is submitted, which generates a market data book update. The event is reported in two MDP 3.0 - Market Data Incremental Refresh messages. In the example below, the last customer order quote message for 5799-MatchEventIndicator is sent for both MBP and MBO updates. Additionally, in this scenario, the MBP update contains the end of event update.
New Order Add - MBO Only Single Book Update
Event: A new Limit Order is submitted, which generates a market data book update outside of the MBP book. The price update is outside of the MBP book, therefore only a MBO Incremental Refresh message is generated. In this scenario, the MBO update receives the end of event update.
New Order Implied Instrument - Customer Order and Implied Book Updates
Event: Incoming order for implied instrument (EJM5) generates customer order and implied book updates.
Given the following orders are booked:
6 @ -2.50 EJ:BF H5-M5-U5
15 @ 9987 EJU5
8 @ 9985 EJM5
1 @ 9988 EJU5
When the EJM5 order is acknowledged by CME Globex, this event is reported by an Incremental Book update message, followed by an Implied book update message. In this example, there is no additional event information to be sent, therefore an empty End of Event message is generated. Included in the FIX message are tag 60-TransactTime, tag 5799-MatchEventIndicator=10000000, and tag 268-NoMDEntries=0.
Book Population - Start of the Week
Event: At the beginning of each week scheduled events such as GTC and GTD order resend at the start of the week can result in one to many events.
In GTC and GTD Book resend events book updates are grouped for each active instrument and flagged with "End of Book updates and End of Event". This allows Client systems to display the book of each instrument without waiting for the whole scheduled event to be completed.
Market Data Channel Reset and Recovery Event
Event: In the instance of a CME Globex internal component error, the GCC will trigger Market Data Channel Reset and Recovery event for each impacted channel.
The Channel Reset FIX message is the first message sent with MatchEventIndicator=00000000. Customer systems are expected to reset all books for the instruments listed on this channel.
Remaining working Orders and Statistics are resent before the trading session resumes. For each instrument that has been active during current session the following data will be recovered:
- Electronic volume (for instruments that have traded or participated in the match as a leg).
- Customer order book, if any orders remain on the book.
- Highest trade, Lowest trade, Indicative Opening (if available).
Book and Statistics recovery FIX messages are grouped by instrument and the last FIX message for the instrument is flagged "End of Event".
Once the data for all active instruments on the channel is recovered, it will be followed by:
- Group States - for all Security Groups listed on the channel.
- Implied matching state messages for channels with Implied products (implied matching ON/OFF).
- Instruments states that are different from the group will be resent.
Group Close with Order Elimination
Event: Scheduled Group Close with order elimination.
- Group Close triggers Day order elimination for the group. GTD and GTC orders remain on the book.
Outright Trade - Many Price Levels
Event: Bid side aggressor order trades with multiple ask orders at the best three price levels.
Calendar Spread Trade
Event: Incoming Calendar Spread aggressor order immediately trades with resting Calendar Spread opposing-side order.
The Trade Summary message is sent for Calendar Spread instrument. Leg Trades are not included in Trade Summary, but Volume updates are sent. The book is updated and a new low trade of the day is reported.
Stop Order Elected and Immediately Trades
Event: A Bid stop order is triggered, partially traded, and the remaining quantity rests on the book as a limit order.
- Event includes two trades - a trade at the trigger price and an elected stop order trade.
Scheduled Groups Opening to Open
Event: Market data FIX messages are sent when the market state transitions to the 'Open' state for a given product group.
Each instrument will open and their updates will be sent, repeating until the entire group has opened. After all Instruments in the Group have opened and the updates have been sent, the End of Event indicator will be sent.