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The following are true regardless of whether the Trade Summary message is included in a single packet or split across multiple packets:
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Packet 1 35=X 60=1419420413213820229 268=4 48=50393 83=5095379 269=2 270=2080250000000,-7 271=30 279=0 346=13 5797=2 37711=55544445678 48=50393 83=5095380 269=2 270=2080000000000,-7 271=77 279=0 346=28 5797=2 37711=55544445678 48=50393 83=5095381 269=2 270=2079750000000,-7 271=61 279=0 346=28 5797=2 37711=55544445678 48=50393 83=5095382 269=2 270=2079500000000,-7 271=82 279=0 346=37 5797=2 37711=55544445678 (Total of Tag 346=106) 5799=00000000,0 EOE indicating Trade Summary’s (or EOE) will continue in the next packet 37705=77 In Packet 1, Tag 346=106 & Tag 37705=77, which indicates a difference of 29 groups. The data for the 29 additional order ids and quantities are included in the next packet. 32=30 37=0 32=2 37=642830998875 32=2 37=642830998882 32=3 37=642830998881 32=4 37=0 32=1 37=642830999131 32=1 37=642830999133 32=1 37=642830999132 32=1 37=642830999134 32=11 37=0 32=1 37=642830998557 32=1 37=0 32=2 37=0 32=77 37=0 32=1 37=642830998180 32=6 37=0 32=2 37=642830998191 32=10 37=0 32=2 37=642830998208 32=10 37=0 32=3 37=642830998207 32=3 37=642830998206 32=1 37=0 32=1 37=642830998219 32=2 37=0 32=6 37=642830998230 32=1 37=642830998416 32=1 37=642830998417 32=1 37=642830998404 32=1 37=642830998556 32=8 37=642830998572 32=2 37=0 32=1 37=642830993141 32=2 37=642830998583 32=1 37=642830998585 32=6 37=0 32=1 37=642830998026 32=1 37=0 32=2 37=0 32=1 37=0 32=1 37=642830999139 32=61 37=0 32=3 37=642830997665 32=2 37=642830998022 32=1 37=642830997705 32=3 37=642830997663 32=8 37=0 32=1 37=0 32=2 37=642830998064 32=2 37=0 32=1 37=642830998097 32=1 37=642830998098 32=1 37=642830998099 32=1 37=0 32=2 37=642830998101 32=1 37=0 32=1 37=0 32=8 37=642830998127 32=1 37=642830998133 32=6 37=0 32=1 37=0 32=2 37=0 32=2 37=0 32=1 37=642830997655 32=2 37=0 32=4 37=0 32=1 37=0 32=1 37=642830999141 32=2 37=642830999153 32=82 37=0 32=2 37=642830997898 32=2 37=0 32=2 37=642830997929 32=10 37=0 32=3 37=642830997938 32=1 37=642830997939 32=2 37=642830998003 Packet 2 35=X 60=1419420413213820229 268=0 5799=00000001,1 Tag 5799=00000001 indicating end of Trade Summary 10002=42 10004=4532156 10005=1419420413215535972 37705=29 In Packet 2, Tag 37705=29. The remaining 29 groups are included in this packet. They are a continuation of the order id and quantity data from the matches identified in the previous Trade Summary message. 32=1 37=0 32=1 37=642830998009 32=1 37=642830998010 32=1 37=642830998021 32=2 37=0 32=8 37=642830998023 32=2 37=642830998028 32=1 37=0 32=1 37=0 32=1 37=642830998035 32=4 37=0 32=1 37=642830990593 32=6 37=0 32=8 37=0 32=2 37=0 32=2 37=0 32=4 37=0 32=1 37=642830998586 32=2 37=642830969875 32=1 37=0 32=1 37=0 32=1 37=0 32=1 37=642830998796 32=1 37=642830998797 32=1 37=642830998799 32=1 37=0 32=1 37=0 32=1 37=642830999143 32=2 37=642830999155 |
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Tag Number | Tag Name | Value | Description | ||
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| 268 | NoMDEntries | ||||
→279 | MDUpdateAction | 0 | 0 = new. Type of Market Data update action. | ||
→269 | MDEntryType | 2 | 2 = trade. Type of Market Data entry. | ||
→48 | SecurityID | Unique instrument ID as qualified by the exchange. | |||
→83 | RptSeq | Sequence number per Instrument update. | |||
→270 | MDEntryPx | 9550.00 | Price of the Market Data Entry. | ||
| →271 | MDEntrySize | Aggregated trade quantity for the instrument at the price level represented by the Trade Summary entry. | |||
| →346 | NumberOfOrders | Number of customer orders traded on both sides of the match for the instrument and the price level represented by the entry. The sum of all tag 346 values in the Trade Summary entries corresponds to the number of orders in the tag 37705-NoOrderIDEntries repeating group.
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| →5797 | AggressorSide | 0 1 2 | 0=No aggressor 1=Buy 2=Sell | ||
| →37711 | MDTradeEntryID | Common Trade ID that links each trade execution. | |||
| 37705 | NOOrderIDEntries | Repeating group of customer orders that participated in the match.
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| →37 | OrderID | Unique ID assigned by CME Globex to identify orders. | |||
| →32 | LastQty | Qty bought or sold on the fill. |
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Trade Summary Example - Actual Orders Only (No Implieds)
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Trade Summary Example - Actual and Implied Orders
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