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The Market Data Incremental Refresh message below is sent for Daily Statistics.  This message maps to the MDIncrementalRefreshDailyStatistics template in the SBE MDP Core schema.


Tag

FIX Name

Type

SemanticTypeValid Values

Description

60TransactTimeuInt64UTCTimestamp
Start of event processing time in number of nanoseconds since Unix epoch
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

example: 00000000=end of event

example: 10000000=not end of event

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

Repeating Group 1
270MDEntryPxPRICENULL9Price
Market Data entry price
271MDEntrySizeInt32NULLQty
Market Data entry size
48SecurityIDInt32int

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

83RptSequInt32int
Market Data entry sequence number per instrument update
5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates trade session date corresponding to a statistic entry
731SettlPriceTypeSettlPriceTypeMultipleCharValue


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

279MDUpdateActionMDUpdateActionint0=New

Market Data update action


269MDEntryTypeMDEntryTypeDailyStatisticschar

6=Settlement Price

B=Trade Volume

C=Open Interest

W=Fixing Price

Market Data entry type.

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

9=VWAP 

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