75

TradeDate

UTCDateOnly (8)

Indicates the date of trade session in YYYYMMDD format.

268

NoMDEntries

NumInGroup (5)

Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

Repeating Group

➔ 279

MDUpdateAction

Char (1)

0 = New

1 = Change

2 = Delete

5 = Overlay

Type of Market Data update action.

➔ 269

MDEntryType

Char (1)

0 = Bid

1 = Offer

2 = Trade

4 = Opening Price

6 = Settlement Price

B = Total Trade Volume

J = Empty Book

C = Open Interest

w = Workup Trade

Type of Market Data entry.

In most cases, CQG does not send Opening and Closing prices.

➔ 83

RptSeq

Int (3)

Sequence number per Instrument update.

➔276

QuoteCondition

MultipleValueString2 (1)

K = Implied

Space-delimited list of conditions describing a quote.

➔1023

MDPriceLevel

Int (2)

Position in the book.

➔273

MDEntryTime

UTCTimeOnly (12)

Time Quotes Direct server sent message.

Note – This value needs to be zero-padded from the left until there are a full 9 digits.

➔271

MDEntrySize

Qty (12)

Quantity or volume represented by the Market Data Entry.

➔270

MDEntryPx

Price (20)

Price of the Market Data Entry.

➔48

SecurityID

uInt (32)

Unique instrument ID as qualified by the exchange per tag 22-SecurityIDSource.

➔22

SecurityIDSource

uInt (32)

100 = CQG

Identifies CQG as the source of tag 48-SecurityID value.

➔1070

MDQuoteType

Int (1)

0 = Indicative

100 = Unofficial

Identifies the type of quote.

➔277

TradeCondition

MultipleValueString2 (1)

1 = Implied

Space-delimited list of conditions describing a trade.

➔1020

TradeVolume

Qty (12)

Total traded volume since the beginning of the session.

If this tag is not present, then there is no volume.

➔5797

AggressorSide

Char (1)

1 = Buy

2 = Sell

Indicates which side of the trade is aggressor.

If a value is absent, the aggressor is unknown.

➔20016

MDWorkupState

Char (1)

0 = Private Hit

1 = Private Take

2 = Public Hit

3 = Public Take

4 = Workup Open

Indicates state of a workup trade session.

456

NoPartyIDs

NumInGroup (1)

Number of PartyID entries.

Repeating Group

➔448

PartyID

String (4)

Party identifier/code.

➔447

­PartyIDSource

Char (1)

D = Custom Code

CQG Market Participant code.