 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 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.
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
i. TradeVolume of ZNM5-U5 is updated to 1 ii. TradeVolume of ZNU5 is updated to 2
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
i. TradeVolume of ZNM5-U5 is updated to 2 ii. TradeVolume of ZNU5 is updated to 3
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
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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