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. FIX Name Type Semantic Type Description 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 Bilateral product tradeable quantity specific to a firm 0=DailyOpenPrice 5=IndicativeOpeningPrice 100=IntradayVWAP 101=RepoAverage8_30AM 102=RepoAverage10AM 103=PrevSessionAverage10AM 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.Tag Valid Values 60 TransactTime uInt64 UTCTimestamp Time of execution/order creation; expressed in UTC. 5799 MatchEventIndicator MatchEventIndicator MultipleCharValue 48 SecurityID Int32 int A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. 1149 HighLimitPrice PRICENULL9 Price Upper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected. 1148 LowLimitPrice PRICENULL9 Price Lower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected. 1143 MaxPriceVariation PRICENULL9 Price Differential static value for price banding. Repeating Group 1 268 NoMDEntries NumInGroup Number of entries in Market Data message →270 MDEntryPx PRICENULL9 Price Price of the Market Data Entry →271 MDEntrySize Int32NULL Qty Quantity of the MD Entry. →37719 TradeableSize Int32NULL Qty →346 NumberOfOrders Int32NULL int 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. →1023 MDPriceLevel Int8NULL int Aggregate book price level, number from 1 to 10 →286 OpenCloseSettlFlag OpenCloseSettlFlag int Flag that identifies a market data entry →269 MDEntryType MDEntryType char →5796 TradingReferenceDate LocalMktDate LocalMktDate Indicates the date of trade session corresponding to a Statistic Entry in YYYYMMDD format →731 SettlPriceType SettlPriceType MultipleCharValue
Settlements are not supported on BrokerTec markets.
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