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

The Market Data Snapshot message below is the Market Data Snapshot for Market by Order Limited Depth (MBOLD) book processing for conflated market data groups. This message maps to the SnapshotRefreshTopOrders template in the SBE MDP Core schema.


TagFIX NameTypeSemantic TypeValid ValuesDescription

60

TransactTime

uInt64

UTCTimestamp


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

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 10000000 - last message in the event

example: 00000000 - not last message in the 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

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

48

SecurityID

Int32

int


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

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→37

OrderID

uInt64

int


Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64

int


Order priority for execution on the order book.

→270

MDEntryPx

PRICE9

Price


Order price

→37706

MDDisplayQty

Int32

Qty


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

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

Market Data entry type.

  • No labels