The Market Data Incremental Refresh message below is sent for Trade Summary. This message maps to the MDIncrementalRefreshTradeSummaryLongQty65 template in the SBE MDP Core schema.

TagFIX NameTypeSemantic TypeValid Values for EBSDescription

60

TransactTime

uInt64

UTCTimestamp


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

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

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 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

→270

MDEntryPx

PRICE9

Price


Trade price

→271

MDEntrySize

uInt64

Qty

0

Always set to zero

This field is in a notional format

→48

SecurityID

Int32

int


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

→83

RptSeq

uInt32

int


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

→346

NumberOfOrders

Int32

int

0

Always set to zero.

→37711

MDTradeEntryID

uInt32

int


Market Data Trade Entry ID.

→5797

AggressorSide

AggressorSide

int

0=No aggressor

1=Buy

2=Sell

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.

Note: EBS Market does not support implied functionality.

→279

MDUpdateAction

MDUpdateAction

int

0=New (new trade)

1=Change (adjustment)

2=Delete (cancel)

Market Data update action

→269

MDEntryType

MDEntryTypeTrade

char

2=Trade Summary

Market Data entry type.

Repeating Group 2

37705NoOrderIDEntriesNoOrderIDEntries
0Number of OrderID entries

→37

OrderID

uInt64

int


Unique ID assigned by CME Globex to identify orders.

→32

LastQty

Int32

Qty


Quantity bought or sold on this last fill