Page tree
Skip to end of metadata
Go to start of metadata

Market Data Security Status (tag 35-MsgType=f) is used to indicate:

  • Security group market state change
  • Instrument state change
  • Implied matching turned OFF/ ON for
  • Security group
  • Product code within security group
  • Instrument

This topic includes:

Message Layout

TagNameFIX TypeEnumerationReqDescription

60

TransactTime

UTCTimestamp


Y

Start of event processing time (UTC). UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

75

TradeDate

LocalMktDate


Y

Indicates the date of the trade session. Sent as number of days since Unix epoch (Jan. 1, 1970) local time.

5799MatchEventIndicatorString

ex. 10000000 - last message in the event

ex. 00000000 - not last message in the event

Y

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

1151

SecurityGroup

String


C

If this tag is present, 35=f message is sent for the Product Code.

6937

Asset

String


C

Product code.

48

SecurityID

Int


C

If this tag is present, 35=f message is sent for the instrument.

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

326

SecurityTradingStatus

Int

2 = Trading Halt

4 = Close            

15 = New Price Indication                       

17 = Ready to trade (start of session)

18= Not available for trading

20 = Unknown or Invalid       

21 = Pre Open  

24 = Pre-Cross

25 = Cross

26 = Post Close             

103 = No Change

Y

Identifies the trading status applicable to the instrument or the Product Code.

327

HaltReason

Int

0 = Group schedule (default)

1 = Surveillance intervention

2 = Market event

3 = Instrument activation

4 = Instrument expiration

5 = Unknown

6 = Recovery in Process

Y

Identifies the reason for the status change.

State change may be invoked due to:

  • surveillance intervention
  • market event (i.e. Velocity Logic, Request for Cross)
  • predetermined group status schedule
  • instrument activation/ expiration schedule

1174

SecurityTradingEvent

Int

0 = No Event (default)

1 = No Cancel

4= Change of Trading Session (reset statistics)

5 = Implied matching ON

6 = Implied matching OFF

Y

Identifies an additional event or a rule related to the SecurityTradingStatus (326).

See MDP 3.0 - Implied Matching Status for additional information on the relationship between Security Group, Asset, and Security ID for implied instruments & groups.

Group Security Status (35=f) Message Tag Usage

TagPre-OpenPre-Open - No CancelOpeningOpenPauseClose - Not FinalClose - FinalPost - CloseUnknown / InvalidImplied Matching ON/OFF by Product Code

State

Description

Pre-Open

Orders, Cx, CxR  are allowed, except for MKT, FAK, FOK

End of Pre-Open state. Usually 30 seconds before market transitions to opening. Order entry is allowed. Modification and cancellation are not allowed.

Brief intermediate state. Pre-Open orders are resolved following Indicative Opening Price (IOP) determination.

Trades are sent.

Start of continuous trading phase. Order matching begins.

Interruption of continuous trading. Only order cancellation is allowed. Order matching is not allowed

End of day preparation for the next Pre-Open.  Not final close for the date. This state allows a mid-session Pre-Open to be initiated.

Final Close for the date. Day orders are eliminated.


Allows GTC/GTD orders only placement, modification, and cancellation.

No matching takes place and no action can be taken on non-GTC/GTD orders.

Used as default ERROR state when group state is unknown or cannot be determined by sending component.

Change in Implied matching status only for the instruments with a given product code in the group.

60

X

X

X

X

X

X

X

X

X

X

75

X

X

X

X

X

X

X

X

X

X

5799XXXXXXXXXX

1151

X

X

X

X

X

X

X

X

X

X

6937---------

X

48----------

326

21 (Pre-Open)

21 (Pre-Open)

15 (New Price Indication)

17 (Ready to trade [start of session])

2 (Trading halt)

18 (Not available for trading)

4 (Close)

26 (Post Close)

20 (Unknown or Invalid)

103 (No Change)

327

0 (Scheduled)

1 (Surveillance Intervention)

6 (Recovery in Process)

0 (Scheduled)


0 (Scheduled)

0 (Scheduled)

1 (Surveillance Intervention)

0 (Scheduled)

1 (Surveillance Intervention)

6 (Recovery in Process)

0 (Scheduled) or

1 (Surveillance Intervention)

0 (Scheduled)

1 (Surveillance Intervention)

0 (Scheduled)

1 (Surveillance Intervention)

5 (unknown)


1 (Surveillance Intervention)

2 (Market Event)

1174

0 (No Event)

4 (Reset Stats)

1 (No Cancel)

0 (No Event)

0 (No Event)

4 (Reset Stats)

0 (No Event)

4 (Reset Stats) /

0 (No Event) or

0 (No Event)

4 (Reset Stats)

0 (No Event)

0 (No Event)

5 (Implied ON)

6 (Implied OFF)

Instrument Security Status (35=f) Message Tag Usage

TagPre-Open (Reserved)OpenPauseClose (Forbidden)Pre-CrossCrossUnknown / InvalidImplied Matching ON/OFF

Description

Due to Velocity Logic (VL), the market automatically enters a brief Reserved state for a predetermined time period. 

Instruments can also be reserved by Surveillance.

Instrument returns to group Open state after being Reserved, Forbidden or Paused.

Instrument Open status is also sent due to Instrument activation.

Interruption of continuous trading. Only order cancellation is allowed. Order modification and matching are not allowed.

Order matching is not allowed. 

Incoming orders are rejected along with cancel requests.

Invoked by Customer Request for Cross (RFC) message. Holds RFC matching for a configurable time period.

All other order entry and matching is allowed.

Configured Pre-Cross time expired.

Used as default ERROR state when instrument state is unknown or cannot be determined by sending component.

Change in Implied matching status for the instrument(s). Not related to state change.

60

X

X

X

X

X

X

X

X

75

X

X

X

X

X

X

X

X

5799XXXXXXXX
1151--------
6937--------

48

X

X

X

X

X

X

X

X

326

21 (Pre Open)

17 (Open)

2 (Trading Halt)

18 (Not Available for Trading)

24 (Pre-Cross)

25=Cross

20 = Unknown or Invalid

103 = No Change

327

1 (Surveillance Intervention)

2 (Market event)

1 (Surveillance Intervention)

2 (Market event)

3 (activation)



1 (Surveillance Intervention)

1 (Surveillance Intervention)

4 (expiration)

2 (market )

2 (market )

5 (unknown)


1 (Surveillance Intervention)

2 (Market event)

1174

0 (No Event)

0 (No Event)

0 (No Event)

0 (No Event)

0 (No Event) 


0 (No Event)

0 (No Event)

5 (Implied ON)

6 (Implied OFF)

Security Status (35=f) Message Samples

Group ‘GE’ transitions to scheduled Open state with Implied functionality ON for all instruments in the group:

35=f 60=20130213210000000007 75=20130213 5799=00000000 1151=GE 326=17 327=0 1174=5

‘GEZ4’ goes into Reserved state due to Stop Spike Logic Market Event:

35=f 60=20130213215136192809 75=20130213 5799=00000000 48=812301 326=21 327=2 1174=0

Implied matching is OFF for all instruments with ‘GE’ product code in ‘GE’ Security group as a result of ‘GEZ4’ Stop Spike Market Event:

35=f 60=20130213215156192678 75=20130213 5799=00000000 6937=GE 1151=GE 326=103 327=2 1174=6

‘GEZ4’ instrument returns to Open state after Stop Spike Logic Market Event:

35=f 60=20130213215156192679 75=20130213 5799=00000000 48=812301 326=17 327=2 1174=5

Implied matching is turned back on for all instruments with ‘GE’ product code in ‘GE’ Security group:

35=f 60=20130213215156192679 75=20130213 5799=10000000 6937=GE 1151=GE 326=103 327=2 1174=5