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The Market Data Snapshot message below is used by the CME MDP Conflated TCP market data group. This message maps to the SnapshotFullRefreshTCP template in the SBE MDP Core schema.


Tag

FIX Name

Type

Semantic Type

Valid Values

Description

60TransactTimeuInt64UTCTimestamp
Time of execution/order creation; expressed in UTC.
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

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

48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
1149HighLimitPricePRICENULL9Price
Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.
1148LowLimitPricePRICENULL9Price
Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected.
1143MaxPriceVariationPRICENULL9Price
Differential static value for price banding.
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message
270MDEntryPxPRICENULL9Price
Price of the Market Data Entry
271MDEntrySizeInt32NULLQty
Quantity of the MD Entry.
37719TradeableSizeInt32NULLQty

Bilateral product tradeable quantity specific to a firm

346NumberOfOrdersInt32NULLint
Aggregate number of orders at given price level. In Trade Entry - Identifies the total number of real orders per instrument that participated in a match step within a match event.
1023MDPriceLevelInt8NULLint
Aggregate book price level, number from 1 to 10
286OpenCloseSettlFlagOpenCloseSettlFlagint

0=DailyOpenPrice

5=IndicativeOpeningPrice

100=IntradayVWAP

101=RepoAverage8_30AM

102=RepoAverage10AM

103=PrevSessionAverage10AM

Flag that identifies a market data entry
→269MDEntryTypeMDEntryTypechar

0=Bid

1=Offer

E=Implied Bid

F=Implied Offer

2=Trade (last trade price)

4=Opening Price

7=Trading Session High Price

8=Trading Session Low Price

9=VWAP 

e=Electronic Volume


Market Data entry type.

5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates the date of trade session corresponding to a Statistic Entry in YYYYMMDD format
731SettlPriceTypeSettlPriceTypeMultipleCharValue


Settlements are not supported on BrokerTec markets.

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