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There are a number of statistics related to market events that are not used to update the book. These are classified as session and daily statistics and provide the following data:

MDP 3.0 - Session Statistics

MDP 3.0 - High Bid and Low Ask

MDP 3.0 - Indicative Opening

MDP 3.0 - Opening Price

MDP 3.0 - Session High and Low Trade Price

MDP - Session Statistics Reset

MDP 3.0 - Daily Statistics

MDP 3.0 - Cleared Volume

MDP 3.0 - Fixing Price

MDP 3.0 - Open Interest

MDP 3.0 - Settlement Price

These events describe the behavior of the market, allow a user to know when the market is moving in a given direction, and provide historical information on how the market has performed.

Info

Multiple data blocks may be sent in the same message. To determine the number of data blocks you will receive in the message, refer to tag 268-NoMDEntries. With the event-based message structure, statistics will be grouped together within the event.

CME Globex Message Timeline

The following timeline shows when certain messages are typically sent on a given trading day.

Info

The following times are subject to change without notice.

Gliffy Diagram
nameMDP3 Timeline