The Market Data Incremental Refresh message below is sent for Trade Summary. This message maps to the MDIncrementalRefreshTradeSummary template in the SBE MDP Core schema.
Start of event processing time in number of nanoseconds since Unix epoch
example: 00000001 – end of trades, 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
For conflated TCP MDP channels, end of trades (Bit 0) will be one for each trade summary message.
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
|268||NoMDEntries||NumInGroup||Number of entries in Market Data message|
Consolidated trade quantity
A unique instrument ID value across markets will not be reused until the next trade date following an instrument expiration or deletion.
Sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.
The total number of real orders per instrument that participated in a match step within a match event
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.
0=New (new trade)
Market Data update action
Market Data entry type.
Market Data Trade entry ID
Repeating Group 2
|37705||NoOrderIDEntries||NoOrderIDEntries||Number of OrderID entries|
Unique ID assigned by CME Globex to identify orders.
Quantity bought or sold on this last fill