FIX Protocol Gap Analysis – CME Market Data Extension

This Extension Pack introduces a new set of Market Data Statistics messages that allow to request and report such information in a flexible manner.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and FIX Repository to reflect changes in EP161, EP169, EP170, EP187 and EP190.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

This Extension Pack introduces a number of minor revisions to the market data messages as proposed by the EUREX Group.

Update History

[Updated 2015-08-17] Revised the FIXML Schema and the FIX Repository to reflect changes in EP161, EP169, EP170 and EP187. Revised the ASBUILT, FIX Repository and FIXML schema as follows:

• Added the fields SettlPrice(730) and SettlPriceType(731) to the SecurityStatus(35=f) message and added the field SettlPriceType(731) to the MDFullGrp(ID=2031) and MDIncGrp(ID=2032) components. These were incorrectly left out.
• Corrected the component category for MarketSegmentScopeGrp(ID=2198) to Common in order to generate a valid FIXML schema
  [Updated 2014-05-13] Changed category of MarketSegmentScopeGrp(ID=2198) to “Common” for valid FIXML.

[Updated 2014-12-13] Updated FIXML Schema and FIX Repository due to correction of FIXML issue in EP182.

Market data comprises various pieces of information including book data as well as status information. This gap analysis provides a number of extensions in this area to cover the requirements of the Internal Securities Exchange (ISE), one of the major equity options exchanges in the US.

New messages (SecurityMassStatus, SecurityMassStatusRequest) and fields have been added to be able to convey or request the trading status of an entire list (group) of securities. Market data entry types have been extended to cover bids and offers for market orders that by definition cannot be associated with a price level. The granularity of market data feed types has been enhanced through a new field MDSubFeedType. Existing fields MarketID and MarketSegmentID have been added to the root level of MarketDataSnapshotFullRefresh and MarketDataIncrementalRefresh to convey information about the market (segment), allowing the recipient to filter relevant information.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2011-12-06]> Final repository and FIXML Schema released.

[Updated 2011-10-04] Preliminary repository and FIXML Schema released pending validation of prior EPs.

This extension pack includes several small enhancements due to regulatory reporting requirements.

FIX welcomes the Australian Securities & Investments Commission (ASIC™s) adoption of the FIX Protocol messaging standard for the reporting of short positions. Use of FIX enables market participants to benefit from significant cost savings and efficiency gains and ASIC’s move to select the protocol is yet another example of the growing level of interest by regulators and trading venues globally to chose standardised practices.

This document describes the the proper way to conduct a multicast session for market data distribution using FIX message formats.