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The Market Data Incremental Refresh message below is sent for session statistics. This message maps to the MDIncrementalRefreshSessionStatistics template in the SBE MDP Core schema.


Tag

FIX Name

Type

Semantic Type

Valid Values

Description

60

TransactTime

uInt64

UTCTimestamp


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

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00001000 – end of statistics, not end of event

example: 10001000 – end of statistics, end of event

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

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICE9

Price


Market Data entry price

→48

SecurityID

Int32

int


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

→83

RptSeq

uInt32

int


MD Entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→286

OpenCloseSettlFlag

OpenCloseSettlFlag

int

0=DailyOpenPrice

5=IndicativeOpeningPrice

100=IntradayVWAP

101=RepoAverage8_30AM

102=RepoAverage10AM

103=PrevSessionAverage10AM

Flag describing entry type


VWAP and Repo values are BrokerTec only.

→279

MDUpdateAction

MDUpdateAction

int

0=New

2=Delete (trading session prices only)

Market Data update action

→269

MDEntryType

MDEntryTypeStatistics

char

4=Opening Price

7=Trading Session High Price

8=Trading Session Low Price

9=VWAP

N=Highest Bid

O=Lowest Offer

Market Data entry type


VWAP value are BrokerTec only.

→271

MDEntrySize

Int32NULL

Qty


Indicative Opening Quantity