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The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBOFD (Market by Order Full Depth) and MBOLD (Market by Order Limited Depth) UDP Market Recovery feeds. This message maps to the SnapshotFullRefreshOrderBook template in the SBE MDP Core schema.

Tag

FIX Name

Type

Semantic Type

Valid Values

Description

369LastMsgSeqNumProcesseduInt32SeqNum
Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed
911TotNumReportsuInt32int
Total number of instruments in the replayed loop
48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
37709NoChunksuInt32int
Total number of packets that constitutes a single instrument order book
37710CurrentChunkuInt32int
Chunk sequence
60TransactTimeuInt64UTCTimestamp
Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message
37OrderIDuInt64int
Unique ID assigned by CME Globex to identify orders
37707MDOrderPriorityuInt64NULLint
Order priority for execution on the order book
270MDEntryPxPRICE9Price
Order Price
37706MDDisplayQtyInt32Qty

Visible quantity of an order to the market. Orders may have additional hidden display quantity.

→269MDEntryTypeMDEntryTypeBookchar

0=Bid

1=Offer

Market Data entry type

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