The Market Data Incremental Refresh message is sent for book updates that include Market by Order Full Depth (MBOFD) updates. For more information regarding MBOFD template processing, see the Incremental Refresh SBE Template Book Processing section. This message maps to the MDIncrementalRefreshOrderBook template in the SBE MDP Core Message schema.

TagFIX NameTypeSemantic TypeValid Values for BrokerTecDescription

60

TransactTime

uInt64

UTCTimestamp


Start of event processing time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000100 – end of quotes, not end of event

example: 10010000 – end of implied quotes, 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

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→37

OrderID

uInt64NULL

int


Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64NULL

int


Order 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.

→270

MDEntryPx

PRICENULL9

Price


Order price

→37706

MDDisplayQty

Int32NULL

Qty


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

→48

SecurityID

Int32

int


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

→279

MDUpdateAction

MDUpdateAction

int

0=New

1=Change

2=Delete

Order book update action to be applied to the order referenced by OrderID.

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

Market Data entry type