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Choosing CME Market Data Timestamps to Reconstruct Order Books

Article Quant Q&A · Author: user997112
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Summary

The document concerns a CME corn futures order book file whose FIX messages contain timestamps that appear out of chronological order. The question assumes the file should be replayed in timestamp order to reconstruct the market as it happened, and lists examples of the irregular times. The reply directs attention to FIX tag 273, identified as MDEntryTime and used in snapshot and incremental refresh messages, rather than relying on tag 52 alone.

The answer also distinguishes the data format: it says CME distributes real-time market data using FAST, not FIX, and notes that the relevant FAST templates had been simplified. This points researchers toward examining the timestamp attached to each market-data entry and understanding the feed's message conventions before replaying records. The response is short and does not explain the precise semantics of the file's tag 52 values, establish that tag 273 is present in this sample, or give a complete sequencing and recovery procedure. Correct reconstruction may require feed-specific sequence information in addition to timestamps.

Key ideas

  • FIX tag 273 represents the market data entry time in snapshot and incremental refresh messages.
  • A file's tag 52 timestamps may not be the appropriate field for ordering individual book entries.
  • The answer distinguishes CME's real-time market data delivery format from FIX.
  • Chronological timestamps alone may not provide a complete procedure for reconstructing an order book.

Tags

FuturesMarket microstructureExecutionHigh-frequency trading
Full text
# Ordering of CME Level 2 FIX Market data?


# Ordering of CME Level 2 FIX Market data?












The following link contains a file containing CME Level 2 FIX Market/Orderbook data for Corn futures:

ftp://ftp.cmegroup.com/datamine_sample_data/md/mdff_cbt_20130714-20130715_7813_0.zip

However, after going through the file the timestamps at tag 52 are all over the place and in no order. Would somebody familiar with FIX/CME be able to tell me why this is the case?

I was expecting the data to be ordered chronologically so that I could re-create it as-it-happened on that day. The file is labelled as data from 14th to 15th July.

The first few timestamps from the start of the file are:

52=2013-07-15 05:34:28.544

52=2013-07-14 18:02:06.034

52=2013-07-15 18:14:51.830

52=2013-07-15 18:15:19.884

52=2013-07-15 15:17:58.397

52=2013-07-15 18:14:52.838

52=2013-07-14 18:01:54.011

52=2013-07-15 02:17:36.061

52=2013-07-15 13:30:16.430

52=2013-07-15 18:14:57.258

52=2013-07-15 00:12:22.353

52=2013-07-15 15:50:47.423

52=2013-07-15 14:39:56.419

## Answer by user6031 (score 1)

https://quant.stackexchange.com/a/8868

I am sure that you are interesting in tag 273 (MDEntryTime, http://www.onixs.biz/fix-dictionary/4.2/tagNum_273.html). Which is used in Snapshot and Incremental Refresh messages.

Also CME gives real time market data using FAST (very simplified for now, they removed all FAST operations from templates several month ago) not FIX.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.