Embedded Files
2015-05-08 ZN1509
左邊為FAST, 中間則是MDP3.0與右邊官網Tick明細一致
2015-05-10 ZN1509
商品為 XCBT ZNU5 , Security ID 326771 交易日期 2015-05-10
MDP3.0 格式 MDIncrementalRefreshVolume 對應log (紅色與藍色標記的部分)
紅色為當前FIX/FAST平台中所沒有的訊息
---------Get into Session [20150511060000]---------
00001DA7, 20150510 220000
Channel[344] SequenceNum 7591
SecurityID(326771) TransactTime: 2015-05-10 22:00:00.002
MDUpdateAction[New] MDEntrySize= 1
0000231C, 20150510 220013
Channel[344] SequenceNum 8988
SecurityID(326771) TransactTime: 2015-05-10 22:00:13.412
MDUpdateAction[New] MDEntrySize= 2
00005052, 20150510 221741
Channel[344] SequenceNum 20562
SecurityID(326771) TransactTime: 2015-05-10 22:17:41.868
MDUpdateAction[New] MDEntrySize= 3
000184AB, 20150510 225959
---------Get into Session [20150511070000]---------
0000B535, 20150510 234353
Channel[344] SequenceNum 46389
SecurityID(326771) TransactTime: 2015-05-10 23:43:53.935
MDUpdateAction[New] MDEntrySize= 4
00001F28, 20150510 235959
---------Get into Session [20150511080000]---------
00010CC7, 20150511 001624
Channel[344] SequenceNum 68807
SecurityID(326771) TransactTime: 2015-05-11 00:16:24.180
MDUpdateAction[New] MDEntrySize= 6
00012917, 20150511 002611
Channel[344] SequenceNum 76055
SecurityID(326771) TransactTime: 2015-05-11 00:26:11.520
MDUpdateAction[New] MDEntrySize= 8
00067FEB, 20150511 005959
---------Get into Session [20150511090000]---------
000A5A0E, 20150511 015959
---------Get into Session [20150511100000]---------
0002B251, 20150511 023531
Channel[344] SequenceNum 176721
SecurityID(326771) TransactTime: 2015-05-11 02:35:31.156
MDUpdateAction[New] MDEntrySize= 9
0006F887, 20150511 025959
---------Get into Session [20150511110000]---------
0010B080, 20150511 035959
---------Get into Session [20150511120000]---------
001229C8, 20150511 045959
---------Get into Session [20150511130000]---------
000D34A5, 20150511 055959
---------Get into Session [20150511140000]---------
0004421F, 20150511 060125
Channel[344] SequenceNum 279071
SecurityID(326771) TransactTime: 2015-05-11 06:01:25.201
MDUpdateAction[New] MDEntrySize= 12
00045880, 20150511 060245
Channel[344] SequenceNum 284800
SecurityID(326771) TransactTime: 2015-05-11 06:02:45.107
MDUpdateAction[New] MDEntrySize= 19
00045A74, 20150511 060309
Channel[344] SequenceNum 285300
SecurityID(326771) TransactTime: 2015-05-11 06:03:09.296
MDUpdateAction[New] MDEntrySize= 24
00045A76, 20150511 060309
Channel[344] SequenceNum 285302
SecurityID(326771) TransactTime: 2015-05-11 06:03:09.297
MDUpdateAction[New] MDEntrySize= 25
00045A78, 20150511 060309
Channel[344] SequenceNum 285304
SecurityID(326771) TransactTime: 2015-05-11 06:03:09.298
MDUpdateAction[New] MDEntrySize= 26
000463CF, 20150511 060333
Channel[344] SequenceNum 287695
SecurityID(326771) TransactTime: 2015-05-11 06:03:33.703
MDUpdateAction[New] MDEntrySize= 27
Infomation from CME Global Command Center (GCC)
GCC confirm that the customer’s MDP3 volume update for ZNU5 is accurate
The volume discrepancy between FIXFAST and MDP3 was due to the leg information not being disseminated in FIXFAST when there was a match in the spread market. This is expected as we do not update volume on legs of spreads for this product until the next trade tick in the instrument.
To illustrate this better, please consider the following flow of events:
48=4562 translates to ZNM5-U5
48=326771 translates to ZNU5.
At 17:00:00.002 CDT, there was an opening trade for ZNU5. Here, the TradeVolume for ZNU5 for both MDP3 and FF is 1.
MDP3
35=X^A60=1431295200002006961^A268=2^A48=752340^A83=1069^A269=e^A271=474^A279=0^A48=326771^A83=512^A269=e^A271=1^A279=0^A5799=00000010,2^A<Template>=37^A<Sequence>=7591^A<SendingTime>=1431295200120663166^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=56^A<GroupBlockLength>=Tag (268) BlockLength <16>^A
35=X^A60=1431295200002006961^A268=7^A48=752340^A83=1070^A269=0^A270=1277968750,-7^A271=465^A279=2^A346=20^A1023=1^A48=752340^A83=1071^A269=0^A270=1276406250,-7^A271=857^A279=0^A346=33^A1023=10^A48=752340^A83=1072^A269=1^A270=1277968750,-7^A271=129^A279=1^A346=4^A1023=1^A48=326771^A83=513^A269=0^A270=1272031250,-7^A271=1^A279=2^A346=1^A1023=1^A48=326771^A83=514^A269=0^A270=1255000000,-7^A271=4^A279=0^A346=2^A1023=10^A48=326771^A83=515^A269=1^A270=1272031250,-7^A271=1^A279=2^A346=1^A1023=1^A48=326771^A83=516^A269=1^A270=1284218750,-7^A271=1^A279=0^A346=1^A1023=10^A5799=00000100,4^A<Template>=32^A<Sequence>=7591^A<SendingTime>=1431295200120663166^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=248^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
35=X^A60=1431295200002006961^A268=6^A48=752340^A83=1073^A269=7^A270=1277968750,-7^A279=0^A286=null^A48=326771^A83=517^A269=7^A270=1272031250,-7^A279=0^A286=null^A48=752340^A83=1074^A269=8^A270=1277968750,-7^A279=0^A286=null^A48=326771^A83=518^A269=8^A270=1272031250,-7^A279=0^A286=null^A48=752340^A83=1075^A269=4^A270=1277968750,-7^A279=0^A286=0^A48=326771^A83=519^A269=4^A270=1272031250,-7^A279=0^A286=0^A5799=00001000,8^A<Template>=35^A<Sequence>=7591^A<SendingTime>=1431295200120663166^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=168^A<GroupBlockLength>=Tag (268) BlockLength <24>^A
35=f^A48=null^A60=1431295200002006961^A75=16566^A326=15^A327=0^A1151=ZQ^A1174=0^A5799=00000000,0^A6937=^A<Template>=30^A<Sequence>=7591^A<SendingTime>=1431295200120663166^A<BlockLength>=30^A<Version>=5^A<Reserved>=1^A<MsgSize>=40^A
FF
8=FIXT.1.1^A56=115^A9=XXX^A34=7625^A35=X^A49=CME^A52=20150510-22:00:00.120^A75=20150511^A268=15^A1128=9^A22=8^A48=752340^A83=1362^A269=2^A270=127.796875^A271=10^A273=220000000^A279=0^A451=-0.03125^A1003=21^A1020=402^A22=8^A48=752340^A83=1363^A269=2^A270=127.796875^A271=6^A273=220000000^A279=0^A451=-0.03125^A1003=22^A1020=408^A22=8^A48=752340^A83=1364^A269=2^A270=127.796875^A271=13^A273=220000000^A279=0^A451=-0.03125^A1003=23^A1020=421^A22=8^A48=752340^A83=1365^A269=2^A270=127.796875^A271=1^A273=220000000^A279=0^A451=-0.03125^A1003=24^A1020=422^A22=8^A48=752340^A83=1366^A269=2^A270=127.796875^A271=1^A273=220000000^A279=0^A451=-0.03125^A1003=25^A1020=423^A22=8^A48=752340^A83=1367^A269=2^A270=127.796875^A271=6^A273=220000000^A279=0^A451=-0.03125^A1003=26^A1020=429^A22=8^A48=752340^A83=1368^A269=2^A270=127.796875^A271=6^A273=220000000^A279=0^A451=-0.03125^A1003=27^A1020=435^A22=8^A48=752340^A83=1369^A269=2^A270=127.796875^A271=14^A273=220000000^A279=0^A451=-0.03125^A1003=28^A1020=449^A22=8^A48=752340^A83=1370^A269=2^A270=127.796875^A271=9^A273=220000000^A279=0^A451=-0.03125^A1003=29^A1020=458^A22=8^A48=752340^A83=1371^A269=2^A270=127.796875^A271=5^A273=220000000^A279=0^A451=-0.03125^A1003=30^A1020=463^A22=8^A48=752340^A83=1372^A269=2^A270=127.796875^A271=2^A273=220000000^A279=0^A451=-0.03125^A1003=31^A1020=465^A22=8^A48=752340^A83=1373^A269=2^A270=127.796875^A271=1^A273=220000000^A279=0^A451=-0.03125^A1003=32^A1020=466^A22=8^A48=752340^A83=1374^A269=2^A270=127.796875^A271=1^A273=220000000^A279=0^A451=-0.03125^A1003=33^A1020=467^A22=8^A48=752340^A83=1375^A269=2^A270=127.796875^A271=7^A273=220000000^A279=0^A451=-0.03125^A1003=34^A1020=474^A22=8^A48=326771^A83=661^A269=2^A270=127.203125^A271=1^A273=220000000^A274=2^A277=E^A279=0^A451=-0.015625^A1003=1^A1020=1^A5799=1^A10=0^A
At 17:00:13.412 CDT, there was an opening trade for ZNM5-U5.
MDP3
i. TradeVolume of ZNM5-U5 is updated to 1
ii. TradeVolume of ZNU5 is updated to 2
FF
i. TradeVolume of ZNM5-U5 is updated to 1
ii. We do not publish leg volume for this product.
MDP3
35=X^A60=1431295213412951990^A268=3^A48=4562^A83=16^A269=e^A271=1^A279=0^A48=752340^A83=1490^A269=e^A271=552^A279=0^A48=326771^A83=614^A269=e^A271=2^A279=0^A5799=00000010,2^A<Template>=37^A<Sequence>=8988^A<SendingTime>=1431295213415794788^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=72^A<GroupBlockLength>=Tag (268) BlockLength <16>^A
35=X^A60=1431295213412951990^A268=1^A48=4562^A83=17^A269=0^A270=6015625,-7^A271=9^A279=1^A346=1^A1023=1^A5799=00000100,4^A<Template>=32^A<Sequence>=8988^A<SendingTime>=1431295213415794788^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=56^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
35=X^A60=1431295213412951990^A268=4^A48=4562^A83=18^A269=7^A270=6015625,-7^A279=0^A286=null^A48=4562^A83=19^A269=8^A270=6015625,-7^A279=0^A286=null^A48=4562^A83=20^A269=4^A270=6015625,-7^A279=0^A286=0^A48=4562^A83=21^A269=O^A270=6015625,-7^A279=0^A286=null^A5799=00001000,8^A<Template>=35^A<Sequence>=8988^A<SendingTime>=1431295213415794788^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=120^A<GroupBlockLength>=Tag (268) BlockLength <24>^A
35=X^A60=1431295213412951990^A268=0^A5799=10000000,128^A<Template>=32^A<Sequence>=8988^A<SendingTime>=1431295213415794788^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=24^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
FF (ZNM5-U5)
8=FIXT.1.1^A56=115^A9=XXX^A34=8513^A35=X^A49=CME^A52=20150510-22:00:13.415^A75=20150511^A268=4^A1128=9^A22=8^A48=4562^A83=15^A269=2^A270=0.6015625^A271=1^A273=220013000^A274=2^A277=E^A279=0^A451=-0.0078125^A1003=1^A1020=1^A5797=2^A5799=1
^A22=8^A48=4562^A83=16^A269=0^A270=0.6015625^A271=9^A273=220013000^A279=1^A336=2^A346=1^A1023=1^A22=8^A48=4562^A83=17^A269=7^A270=0.6015625^A273=220013000^A279=0^A22=8^A48=4562^A83=18^A269=8^A270=0.6015625^A273=220013000^A279=0^A10=0^A
Similarly at 17:17:41.868 CDT, there was another trade for ZNM5-U5.
MDP3
i. TradeVolume of ZNM5-U5 is updated to 2
ii. TradeVolume of ZNU5 is updated to 3
FF
i. TradeVolume of ZNM5-U5 is updated to 2
ii. We do not publish leg volume for this product.
MDP3
35=X^A60=1431296261868504146^A268=3^A48=4562^A83=73^A269=e^A271=2^A279=0^A48=752340^A83=5064^A269=e^A271=2495^A279=0^A48=326771^A83=1248^A269=e^A271=3^A279=0^A5799=00000010,2^A<Template>=37^A<Sequence>=20562^A<SendingTime>=1431296261869592950^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=72^A<GroupBlockLength>=Tag (268) BlockLength <16>^A
35=X^A60=1431296261868504146^A268=1^A48=4562^A83=74^A269=1^A270=5937500,-7^A271=1^A279=2^A346=1^A1023=1^A5799=00000100,4^A<Template>=32^A<Sequence>=20562^A<SendingTime>=1431296261869592950^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=56^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
35=X^A60=1431296261868504146^A268=1^A48=4562^A83=75^A269=8^A270=5937500,-7^A279=0^A286=null^A5799=00001000,8^A<Template>=35^A<Sequence>=20562^A<SendingTime>=1431296261869592950^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=48^A<GroupBlockLength>=Tag (268) BlockLength <24>^A
35=X^A60=1431296261868504146^A268=0^A5799=10000000,128^A<Template>=32^A<Sequence>=20562^A<SendingTime>=1431296261869592950^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=24^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
FF
8=FIXT.1.1^A56=115^A9=XXX^A34=20180^A35=X^A49=CME^A52=20150510-22:17:41.869^A75=20150511^A268=3^A1128=9^A22=8^A48=4562^A83=69^A269=2^A270=0.59375^A271=1^A273=221741000^A274=2^A279=0^A451=-0.015625^A1003=2^A1020=2^A5797=1^A5799=1^A22=8^A48=4562^A83=70^A269=8^A270=0.59375^A273=221741000^A279=0^A22=8^A48=4562^A83=71^A269=1^A270=0.59375^A271=1^A273=221741000^A279=2^A336=2^A346=1^A1023=1^A10=0^A
Finally at 18:43:53.936 CDT, there was a trade for ZNU5. Here, both MDP3 and FF published a TradeVolume of 4.
MDP3
35=X^A60=1431301433935435249^A268=1^A48=326771^A83=2020^A269=e^A271=4^A279=0^A5799=00000010,2^A<Template>=37^A<Sequence>=46389^A<SendingTime>=1431301433935987916^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=40^A<GroupBlockLength>=Tag (268) BlockLength <16>^A
35=X^A60=1431301433935435249^A268=2^A48=326771^A83=2021^A269=1^A270=1272812500,-7^A271=1^A279=2^A346=1^A1023=1^A48=326771^A83=2022^A269=1^A270=1276562500,-7^A271=1^A279=0^A346=1^A1023=10^A5799=00000100,4^A<Template>=32^A<Sequence>=46389^A<SendingTime>=1431301433935987916^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=88^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
35=X^A60=1431301433935435249^A268=2^A48=326771^A83=2023^A269=7^A270=1272812500,-7^A279=0^A286=null^A48=326771^A83=2024^A269=N^A270=1272812500,-7^A279=0^A286=null^A5799=00001000,8^A<Template>=35^A<Sequence>=46389^A<SendingTime>=1431301433935987916^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=72^A<GroupBlockLength>=Tag (268) BlockLength <24>^A
35=X^A60=1431301433935435249^A268=0^A5799=10000000,128^A<Template>=32^A<Sequence>=46389^A<SendingTime>=1431301433935987916^A<BlockLength>=11^A<Version>=5^A<Reserved>=1^A<MsgSize>=24^A<GroupBlockLength>=Tag (268) BlockLength <32>^A
FF
8=FIXT.1.1^A56=115^A9=XXX^A34=46376^A35=X^A49=CME^A52=20150510-23:43:53.936^A75=20150511^A268=4^A1128=9^A22=8^A48=326771^A83=2161^A269=2^A270=127.28125^A271=1^A273=234353000^A274=0^A279=0^A451=0.0625^A1003=4^A1020=4^A5797=1^A5799=1^A22=8^A48=326771^A83=2162^A269=7^A270=127.28125^A273=234353000^A279=0^A22=8^A48=326771^A83=2163^A269=1^A270=127.28125^A271=1^A273=234353000^A279=2^A336=2^A346=1^A1023=1^A22=8^A48=326771^A83=2164^A269=1^A270=127.65625^A271=1^A273=234353000^A279=0^A336=2^A346=1^A1023=10^A10=0^A
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