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The Market Data Incremental Refresh is sent for incremental updates including bid, offer, and trade data and trading session and daily statistics.

Contents

Message Layout

35 = X Message Body

Tag

Name

FIX Type

Enumeration

Req

Description

60

TransactTime

UTCTimestamp


Y

Start of event processing time (UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

5799

MatchEventIndicator

String

ex. 00000001 – end of trade summaries, not end of event messages

ex. 10000100 – end of quotes, end of event

ex. 00001000 – end of statistics, not the end of event

Y

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given CME Globex Event:

Bit 0: (least significant bit) Last Trade Summary message for a given event

Bit 1: Last electronic volume message for a given event

Bit 2: Last customer order quote message for a given event

Bit 3: Last statistic message for a given event

Bit 4: Last implied quote message for a given event

Bit 5: Message resent during recovery

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

268

NoMDEntries

NumInGroup


Y

Indicates number of repeating groups and length of each repeating group in Market Data message.

→279

MDUpdateAction


Char

0 = New

1 = Change

2 = Delete

Y

MD Update Action

→269

MDEntryType



Char

0 = Bid

1 = Offer

E = Implied Bid

F = Implied Offer

2 = Trade Summary

4 = Opening Price

6 = Settlement Price

7 = Trading Session High Price

8 = Trading Session Low Price

N = Session High Bid
O = Session Low Offer

B = Trade Volume

C = Open Interest

W = Fixing Price

J = Empty Book

e = Electronic Volume

g =Threshold Limits and Price Band Variation

Y

Market Data Entry Type.

MD Entry Type “e” - Electronic Volume block.

Electronic Volume entry provides Cumulative Trade Volume updated with the event.

→48

SecurityID

Int


C

Unique instrument ID.

The unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.

→83

RptSeq

Int


C

MD Entry sequence number per instrument update. Reset weekly.

→270

MDEntryPx

Price


C

Price of the MD Entry. 

→271

MDEntrySize


Qty


C

Quantity of the MD Entry.

  • In a Book Entry– order quantity
  • In a Trade Entry – traded quantity
  • In Electronic Volume - represents cumulative traded volume of the Daily Trade session.
  • In an Indicative Opening - the indicative opening quantity

→346

NumberOfOrders

Int


C

  • In Book Entry - aggregate number of orders at the given price level.

  • In Trade Entry - identifies the total number of non-implied orders per instrument that participated in this match event.

→1023

MDPriceLevel

Int


C

Aggregate book level, any number from 1 to 10.

→286

OpenCloseSettlFlag

Int

0 = Daily Open Price

5 = Indicative Opening Price (IOP)


Flag describing  Open Price entry.

→731SettlPriceTypeString

Examples:

00000110 – Preliminary Actual Settlement at Trading Tick

00000010 – Preliminary Actual Settlement at Clearing Tick

00000101 – Final Theoretical Settlement at Trading Tick

00000111 – Final Actual Settlement at Trading Tick

00000011 – Final Actual Settlement at Clearing Tick

C

Bitmap field of eight Boolean type indicators representing settlement price type:

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4-6: Reserved for future use, set to 0

Bit 7:

0=not NULL

1=entire set is a NULL

→5797

AggressorSide

Int

0 = No aggressor

1 = Buy
2 = Sell

C

Indicates which side is aggressor of the trade. If there is a zero value present, then there is no aggressor.

Note: Trades without aggressors occur at Market Open, after a Pre-Open or after a Pause, and also when the event includes customer order participation in a trade with a CME Globex-generated implied bid or offer.

→37711MDTradeEntryIDChar
C

Common Trade ID that links each trade execution.

→5796

TradingReferenceDate

LocalMktDate


C

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

→1149

HighLimitPrice

Price


C

Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.

→1148

LowLimitPrice

Price


C

Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected.

→1143

MaxPriceVariation

Price


C

Differential static value for price banding.

In continuous trading mode:

Buy orders submitted above (Last Best Price + Max Price Variation) will be rejected. Sell orders submitted bellow (Last Best Price - Max Price Variation) will be rejected.

In pre-open state multiplier may be applied to base static value to expand the bands, multiplier value is not provided on market data.

Note: Max Price Variation is not provided for option instruments with dynamic Banding Values.

→1180ApplIDInt
CThe value indicates the channel ID as defined in the XML configuration file. The Market Data Incremental Refresh (tag 35-MsgType=X) message Channel Reset data block references the channel ID to be reset.
→9633ReferenceID uInt8
CReference to corresponding Price and Security ID, sequence of 268-NoMDEntries in a message.
→32LastQtyInt
CQty bought or sold on this last fill.
→37OrderIDInt
C

Unique ID assigned by CME Globex to identify orders.

→37707MDOrderPriorityuInt64
COrder priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.
→37706MDDisplayQtyInt32

C

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

37705NoOrderIDEntries

CRepeating group of MBO book updates included in an event. Repeating group used for MBP and MBO combined updates.
→37OrderIDInt
C

Unique ID assigned by CME Globex to identify orders.

→37706MDDisplayQtyInt32

C

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→37707MDOrderPriorityuInt64
COrder priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.
→37708OrderUpdateActionuInt8

0=New
1=Update
2=Delete

COrder book update action to be applied to the order referenced by OrderID.
→9633ReferenceID uInt8
CReference to corresponding Price and Security ID, sequence of 268-NoMDEntries in a message.

Incremental Refresh Tag Usage

For MBO book updates, tag usage may depend on SBE template utilization.

Book, Trades, Electronic Volume

Tag

Tag Name

New/Update

MBP Customer Order Book

New/Update

MBO Customer Order Book

New/Update

Implied Book

Customer Order MBP

Book
Delete

Customer Order MBO

Book Delete

Implied Book
Delete

Chan.

Reset

New Trade

Trade Adjustment

or Cancel

Electronic

Volume

279

MDUpdateAction

0, 1

0, 1

(MBO Only SBE Template)

0, 1

2

2

(MBO Only SBE Template)

2

0

0

1, 2

0, 1

269

MDEntryType

0, 1

0, 1

E, F

0, 1

0, 1

E, F

J

2

2

e

48

SecurityID

X

X

X

X

X

X

-

X

X

X

83

RptSeq

X

-

X

X

-

X

-

X

X

X

270

MDEntryPx

X

X

(MBO Only SBE Template)

X

X

X

(MBO Only SBE Template)

X

-

X

X

-

271

MDEntrySize

X

-

X

X

-

X

-

X

X

X

1023

MDPriceLevel

X

-

X

X

-

-

-

-

-

-

286

OpenCloseSettlFlag

-

-

-

-

-

-

-

-

-

-

346

NumberOfOrders

X

-

-

X

-

-

-

X

X

-

5797

AggressorSide

-

-

-

-

-

-

-

0, 1, 2

0

-

37711MDTradeEntryID






XX
1180ApplID----

-

-X---
37705NoOrderIDEntries----

-

--XX-
37OrderID-X--

X

--XX-
32LastQty----

-

--XX-

37707

MDOrderPriority

-

X

-

-

X

-

-

-

-

-

37706

MDDisplayQty

-

X

(MBO & MBP Combined SBE Template)

-

-

X

(MBO & MBP Combined SBE Template)

-

-

-

-

-

9633

ReferenceID

-

X

(MBO & MBP Combined SBE Template)

-

-

X

(MBO & MBP Combined SBE Template)

-

-

-

-

-

37708

OrderUpdateAction

-

0, 1

(MBO & MBP Combined SBE Template)

-

-

2

(MBO & MBP Combined SBE Template)

-

-

-

-

-

Statistics, Limits, and Banding

Tag

Tag Name

High

Low

Trade

High Bid

Low Ask

 

TOP

Open

Settle

Cleared

Volume

Open

Interest

Fixing

Price

Threshold

Limits/Banding

268NoMDEntriesXXXXXXXXX

→279

MDUpdateAction

0, 2

0

0

0

0

0

0

0

0

→269

MDEntryType

7, 8

N, O

4

4

6

B

C

W

g

→48

SecurityID

X

X

X

X

X

X

X

X

X

→83

RptSeq

X

X

X

X

X

X

X

X

X

→270

MDEntryPx

X

X

X

X

X

-

-

X

-

→271

MDEntrySize

-

-

-

-

-

X

X

-

-

→1023

MDPriceLevel

-

-

-

-

-

-

-

-

-

→286

OpenCloseSettlFlag

-

-

5

0

 -

-

-

-

-

→731

SettlPriceType

-

-

-

-

X

-

-

-

-

→346

NumberOfOrders

-

-

-

-

-

-

-

-

-

→5797

AggressorSide

-

-

-

-

-

-

-


-

→5796

TradingReferenceDate

-

-

-

-

X

X

X

X

-

→1149

HighLimitPrice

-

-

-

-

-

-

-

-

X

→1148

LowLimitPrice

-

-

-

-

-

-

-

-

X

→1143

MaxPriceVariation

-

-

-

-

-

-

-

-

X