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This topic provides the MDP 3.0 Market Data Snapshot Full Refresh message specification. The following layout details are described:

Message Body

TagNameFIX TypeEnumerationReqDescription

369

LastMsgSeqNumProcessed

SeqNum


Y

The last processed packet sequence number of the real-time channel as of the time the snapshot was generated. This value is used to synchronize the snapshot with the real-time feed.

911

TotNumReports

Int


Y

Total number of instruments replayed in the loop.

48

SecurityID

Int


Y

Unique Security ID.

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

83

RptSeq

Int


Y

Sequence Number of the last Instrument Entry reflected in the message.

37709

NoChunks

uInt32


C

Total number of packets that constitute a single instrument order book.
37710CurrentChunkuInt32

C

Chunk sequence.

60

TransactTime

UTCTimestamp


Y

Start Transaction Time of the last event security participated in. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

1682

MDSecurityTradingStatus

Int

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

24 = Pre-Cross

25 = Cross

N

Identifies the current state of the instrument.

75

TradeDate

LocalMktDate


Y

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

779LastUpdateTimeUTCTimestamp
Y

Date and Time of Last Security Definition Add/Modify or Delete on a given channel. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

Note: If the client system experiences a mid-week failure, this tag value can be used to identify if any instrument updates have been missed.

1149HighLimitPricePrice
CUpper price threshold for the instrument. Orders submitted with prices above the upper limit will be rejected.
1148LowLimitPricePrice
CLower price threshold for the instrument. Orders submitted with prices below the lower limit will be rejected

1143

MaxPriceVariation

Price


C

Differential static value for price banding.

In continuous trading mode:

Buy orders submitted above (Last Best Price + Max Price Variation) will be rejected.

Sell orders submitted bellow (Last Best Price - Max Price Variation) will be rejected.

Note: Max Price Variation will not be provided for option instruments with dynamic Price Banding Values.

268

NoMDEntries

NumInGroup


Y

Indicates number of repeating groups and length of each repeating group in Market Data message.

Market by Price (MBP) Data Block

TagNameFIX TypeEnumerationReqDescription

→269

MDEntryType



Char

0 = Bid

1 = Offer

E = Implied Bid

F = Implied Offer

2 = Trade

4 = Opening Price

6 = Settlement Price

7 = Session High Trade Price

8 = Session Low Trade Price

N = Session High Bid
O = Session Low Offer

B = Cleared Trade Volume

C = Open Interest

W = Fixing Price

e = Electronic Volume

Y

Market Data Entry Type.



→270

MDEntryPx


Price


C

Price of the MD Entry. 

→271

MDEntrySize


Qty


C

Quantity of the MD Entry.

In a Book Entry– order quantity

In a Trade Entry – traded quantity

In Electronic Volume represents cumulative traded volume of the Daily Trade session.

→346

NumberOfOrders

Int


C

Aggregate number of orders at the given price level.

→1023

MDPriceLevel

Int


C

Aggregate book position.

Any number from 1 to 10 is acceptable.

→286OpenCloseSettlFlagInt

0 = Daily Open Price

5 = Indicative Opening Price (IOP)

CCondition describing a quote, trade or statistic entry

→731

SettlPriceType

String

Examples:

00000111 – Final Actual Settlement at Trading Tick

00000101 – Final Theoretical Settlement at Trading Tick

00000100 – Preliminary Settlement at Trading Tick

00000000 – Preliminary Settlement at Clearing Tick

C

Bitmap field of eight Boolean type indicators representing settlement price type:

Bit 0: (least significant bit):

1=Final

0=Preliminary

Bit 1:

1=Actual

0=Theoretical or Undefined

Note: Typically, there are two rounds of preliminary settlement prices disseminated. The early round of preliminary settlement prices will have Bit 1 set to 0 (Undefined).

Bit 2:

1=Settlement at Trading Tick

0=Settlement at Clearing Tick

Bit 3:

1=Intraday

0=Undefined

Bit 4-6: Reserved for future use, set to 0

Bit 7:

0=not NULL

1=entire set is a NULL

→5796

TradingReferenceDate

LocalMktDate


C

Date of trade session corresponding to a statistic entry. Sent in number of days since Unix epoch.

Market by Order (MBO) Data Block

Tag

Name

FIX Type

Enumeration

Req

Description

→37 OrderID Int
CUnique ID assigned by CME Globex to identify orders.
→269 MDEntryTypeChar

0 = Bid

1 = Offer

YMarket Data Entry Type.
→270 MDEntryPx Price
CPrice of the MD Entry. 
→37706 MDDisplayQty Qty
CVisible quantity of an order to the market. Orders may have additional hidden display quantity.
→37707 MDOrderPriority Int
COrder priority for execution on the order book. A lower value is a higher priority. Value is unique for all orders within a market segment and assigned for all orders.

Snapshot Entry Tag Usage

Tag

Tag Name

MBP

Customer Order

Book

MBO

Customer Order

Book

(MBO Only
SBE Template)

Implied

Book

New Trade

Event

Summary

High

Low

Trade

High

Low

Bid

IOP/ Open

Settle

Cleared

Volume

Open

Interest

Fixing

Price

269

MDEntryType

0, 1

0, 1

E, F

2

e

7, 8

N, O

4

6

B

C

W

270

MDEntryPx

X

X

X

X

-

X

X

X

X

-

-

X

271

MDEntrySize

X

-

X

X

X

-

-

-

-

X

X

-

1023

MDPriceLevel

X

-

X

-

-

-

-

-

-

-

-

-

286OpenCloseSettlFlag-

-

-----5, 0----

731

SettlPriceType

-

-

-

-

-

-

-

-

X

-

-

-

346

NumberOfOrders

X

-

-

-

-

-

-

-

-

-

-

-

5796

TradingReferenceDate

-

-

-

-

-

-

-

-

X

X

X

X

1149

HighLimitPrice

-

-

-

-

-

-

-

-

-

-

-

-

1148

LowLimitPrice

-

-

-

-

-

-

-

-

-

-

-

-

1143

MaxPriceVariation

-

-

-

-

-

-

-

-

-

-

-

-

37

OrderID

-

X

-

-

-

-

-

-

-

-

-

-

37707

MDOrderPriority

-

X

-

-

-

-

-

-

-

-

-

-

37706

MDDisplayQty

-

X

-

-

-

-

-

-

-

-

-

-