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Excerpt

Tag

FIX Name

Type

Semantic Type

Valid Values

Description

60

TransactTime

uInt64

UTCTimestamp


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

5799

MatchEventIndicator

MatchEventIndicator

MultipleCharValue

example: 00000100 – end of quotes, not end of event

example: 10010000 – end of implied quotes, end of 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

Repeating Group 1

268NoMDEntriesNumInGroup

Number of entries in Market Data message

→270

MDEntryPx

PRICENULL9

Price


Market Data entry price

→271

MDEntrySize

Int32NULL

Qty


Market Data entry size

→48

SecurityID

Int32

int


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

→83

RptSeq

uInt32

int


Market Data entry sequence number per instrument update. The MDP Conflated TCP market data group sends a RptSeq value of zero.

→346

NumberOfOrders

Int32NULL

int


In Book entry - aggregate number of orders at given price level

→1023

MDPriceLevel

uInt8

int


Aggregate book level

→279

MDUpdateAction

MDUpdateAction

int

0=New

1=Change

2=Delete

Market Data update action

→269

MDEntryType

MDEntryTypeBook

char

0=Bid

1=Offer

E=Implied Bid

F=Implied Offer

Market Data entry type. 

→37719

TradeableSize

Int32NULL

Qty


Bilateral product tradeable quantity specific to a firm

Repeating Group 2

37705NoOrderIDEntriesNoOrderIDEntries

Repeating group of MBO book updates included in an event. Repeating group used for MBP and MBOFD combined updates.

→37

OrderID

uInt64

int


Unique ID assigned by CME Globex to identify orders.

→37707

MDOrderPriority

uInt64NULL

int


Order priority for execution on the order book

→37706

MDDisplayQty

Int32NULL

Qty


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

→9633

ReferenceID

uInt8NULL

int


Reference to corresponding Price and Security ID, sequence of MD entry in the message

→37708

OrderUpdateAction

OrderUpdateAction

int

0=New

1=Change

2=Delete

Order book update action to be applied to the order referenced by OrderID

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