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Market Data Incremental Refresh (35=X) Message

This section describes the streamlined SBE Market Data Incremental Refresh (35=X) message for OTC daily market data.

The → symbol indicates a repeating group tag.

TagFIX NameFIX TypeValid ValuesDescription

60

TransactTime

UTCTimeStamp

 

Trade date and time in number of nanoseconds since Unix epoch

5799

MatchEventIndicator

String

ex. 10000001 – end of trade summaries, end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given event:

Bit 0: (least significant bit) Last Trade message for a given event

Bit 1: Last electronic volume message

Bit 2: Last real quote message

Bit 3: Last statistics message

Bit 4: Last implied quote message

Bit 5: Message is sent during  recovery process

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

50001

BatchTotalMessagesInteger Total number of messages contained within batch, which is defined by match event indicator (5799).

268

NoMDEntries

NumInGroup

 

Number of SBE Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

Repeating Group

→279

MDUpdateAction

Char

0 = New

Indicates the type of Market Data update action

→269

MDEntryType

Char

B = Trade Volume
C = Open Interest
Y = Recovery Rate
6 = Settlement Price

Indicates the type of market data entry.

→83

RptSeq

Int

 

Sequence number per Instrument update or index.

→55

Symbol

String

 

Instrument Name

→286

OpenCloseSettleFlag

Int

5 = Theoretical
110 = Preliminary

Indicates whether market data entry is a theoretical or preliminary value.

→1151

SecurityGroup

String

 

Indicates the product code for the instrument

→167

SecurityType

String

FWD = Forward

Indicates the type of instrument

→200

MaturityMonthYear

Month-Year

 

This field provides the actual calendar date for contract maturity – month and year (used for standardized futures) Format: YYYYMM (i.e. 200712). For daily products, this field contains the daily maturity Format: YYYYMMDD (i.e. 20071215)

→460

Product

Int

4 = Currency
5 = Equity
7 = Index
11 = Municipal
12 = Other
13 = Financing

Indicates the type of product the instrument is associated with in the message

→1227

ProductComplex

String

Agriculture
Credit
Energy
Metals

Identifies an entire suite of products for a given market.

→762SecuritySubTypeString

I = Index
S = Single Name

 

→207

SecurityExchange

Exchange

XCBT = Chicago Board Of Trade
XCME = Chicago Mercantile Exchange
XNYM = New York Mercantile Exchange
XCEC = Commodities Exchange Center

Market used to help identify an instrument

→541

MaturityDate

LocalMktDate

 

Maturity date of instrument

Value is the number of days since epoch.

→223

CouponRate

Percentage

 

The rate of interest that, when multiplied by the principal, par value, or face value of a bond, provides the currency amount of the periodic interest payment

→1449

RestructuringType

String

MR = Modified Restructuring
MM = Modified Mod Restructuring
XR = No Restructuring specified

 

→1450

Seniority

String

SD = Senior Secured
SR = Senior
SB = Subordinated

Specifies which issue (underlying bond) will receive payment priority in the event of a default

→1451

NotionalPercentageOutstanding

Percentage

 

Indicates the notional percentage of the deal that is still outstanding based on the remaining components of the index

→996

UnitOfMeasure

String

 

Unit of measure for the products' original contract size

→1716

UnitOfMeasureCurrency

String

 

Indicates the ISO Currency code if it is a currency product

→1147

UnitOfMeasureQty

Float

 

This field contains the notional value for each instrument. The notional value is equivalent to the corresponding premium-quoted contract

→454NoSecurityAltIDNumInGroup Number of SecurityAltID values.
→9633ReferenceIDString Reserved for future use.
Repeating Group
→→455

SecurityAltID

String Exchange-defined value (e.g. ZA000120121105, ZB000120151105)
→→456SecurityAltIDSourceStringH = Clearing House/ Clearing OrganizationSource of the SecurityAltID.

→270

MDEntryPx

Price

 

Price of the Market Data Entry

→271

MDEntrySize

Qty

 

Quantity or volume represented by the Market Data Entry

→272

MDEntryDate

UTCDateOnly

 

Date of the Market Data Entry

Value is the number of days since epoch.

→423

PriceType

Int

1 = Percent of Par
2 = Contract Units
6 = Spread (Basis Points)

Valid price types for OTC daily market data trade.

→64

SettlDate

LocalMktDate

 

Indicates date of settlement

Value is the number of days since epoch.

→276

QuoteCondition

MultipleValueString

6 = Full Curve
7 = Flat Curve

Condition describing a quote

→37521

MarketSector

String

 

Identifies the market in which a product trades

→37522

SectorGroup

String

Investment Grade
High Yield

Group of related products

→37523

SectorSubGroup

String

European
North American

A further qualification of Sector Group

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Product Key

The Product Key for an OTC instrument is the group of tags from the Incremental Refresh (35=X) message used to identify the traded instrument. The product key varies according to product type as shown in the following table: 

TagFIX NameFIX TypeSample ValuesDescription
PRODUCT KEY - Used to identify OTC Product for Futures, and Forwards
Sent for ALL OTC products

55

Symbol

String

Futures: DYF1

Forward: EURUSDF415

Instrument Name

1151

SecurityGroup

String

Futures: DY

Forwards: EURUSDF415

Indicates the product code for the instrument 

167

SecurityType

String

FUT=futures

FWD=forward

Indicates the type of instrument

207

SecurityExchange

Exchange

XCBT = Chicago Board Of Trade
XCME = Chicago Mercantile Exchange
XNYM = New York Mercantile Exchange
XCEC = Commodities Exchange Center

Market used to help identify an instrument

200

MaturityMonthYear

Month-year

201101

Instrument maturity – month and year

541

MaturityDate

LocalMktDate

20110204

Maturity date of instrument

454NoSecurityAltIDNumInGroup Number of SecurityAltID values.
455SecurityAltIDString Exchange-defined value (e.g. ZA000120121105, ZB000120151105)
456SecurityAltIDSourceStringH = Clearing House/ Clearing OrganizationSource of the SecurityAltID.

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FIX Syntax

This section provides FIX syntax for each type of OTC daily market data transmitted over streamlined SBE.

Open Interest and Cleared Volume Data Block

The Open Interest and Cleared Volume data block is sent in a Market Data Incremental Refresh (35=X) message.

For OTC Agriculture/Energy/Metals products, Open Interest is the number of contracts per instrument that are not yet offset or fulfilled for the previous trading day. Cleared Volume is the number of contracts that have been through the clearing process for an active instrument for the previous trading day.

For OTC Credit products, Open Interest is the total aggregate notional value per instrument that is not yet offset or fulfilled for the previous trading day. Cleared Volume is the total aggregate notional value that has been through the clearing process for an active instrument for the previous trading day.

FIX Syntax for Open Interest Data Block – Market Data Incremental Refresh (35=X)
  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=C (Open Interest)
  • Tag 271-MDEntrySize
  • Tag 272-MDEntryDate
FIX Syntax for Cleared Volume Data Block – Market Data Incremental Refresh (35=X)
  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=B (Trade Volume)
  • Tag 271-MDEntrySize
  • Tag 272-MDEntryDate

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Settlement Data Block

The Settlement data block is sent in a Market Data Incremental Refresh (35=X) message. Settlement is an official CME Group price established at the end of each trading day for each instrument available on streamlined SBE. This price is used to determine margin requirements and the following day's price limits.

FIX Syntax for Settlement Data Block – Market Data Incremental Refresh (35=X)
  • Tag 279-MDEntryAction=0 (New)
  • Tag 269-MDEntryType=6 (Settlement Price)
  • Tag 270-MDEntryPx
  • Tag 64-SettlDate

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