Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

  • Security group market state change
  • Instrument state change
  • Implied matching OFF/ ON state

For an applicable instrument the last security status message sent takes precedence. This message maps to the SecurityStatus30 template in the SBE MDP Core Message schema.

...

Excerpt
Tag

FIX Name

Type

Semantic TypeValid Values

Description

60TransactTimeuInt64UTCTimestamp
Start of event processing time in number of nanoseconds since Unix epoch.
1151SecurityGroupSecurityGroupString
If this tag is present, 35=f message is sent for the Product Code.
6937AssetAssetString

Product Code within Security Group specified.

This tag is informational only and not used for processing Market Data Security Status (tag 35-MsgType=f) messages.

48SecurityIDInt32NULLint

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

If this tag is present, 35=f message is sent for an instrument

75TradeDateLocalMktDateLocalMktDate
Trade Session Date
5799MatchEventIndicatorMatchEventIndicatorMultipleCharValue

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

326SecurityTradingStatusSecurityTradingStatusint

2=Trading Halt

4=Close

15=New Price Indication

17=Ready To Trade (start of session)

18=Not Available For Trading

20=Unknown or Invalid

21=Pre Open

24=Pre Cross

25=Cross

26=Post Close

103=No Change

Identifies the trading status applicable to the instrument or Security Group


327HaltReasonHaltReasonint

0=Group schedule (default)

1=Surveillance intervention

2=Market event

3=Instrument activation

4=Instrument expiration

5=Unknown

6=Recovery in Process

Identifies the reason for the status change

1174SecurityTradingEventSecurityTradingEventint

0=No Event (default)

1=No Cancel

4=Change of Trading Session (reset statistics)

5=Implied matching ON

6=Implied matching OFF

Identifies an additional event or a rule related to the status