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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

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  • $\begingroup$ I haven't looked at the CME quote spec in a while, but it smells a bit like an issue being caused by the packaging of messages, quote rewind requests from your side, or out of sequence messages? what are you seeing on TAG 43? (PosDupFlag)? $\endgroup$
    – PabTorre
    Jan 9, 2014 at 19:34
  • $\begingroup$ @user997112: Did you ever find an explanation for this? I'm seeing the same issue. $\endgroup$
    – Cory Walker
    May 21, 2014 at 19:36

1 Answer 1

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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.

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  • $\begingroup$ Even if I look at the 273 tags- they are not increasing per line? line 27 has: 273=140916000 but line 28 has: 273=214000 $\endgroup$
    – user997112
    Sep 2, 2013 at 12:35
  • $\begingroup$ FAST is a flavour of FIX. Fix Adapted for STreaming $\endgroup$
    – PabTorre
    Jan 9, 2014 at 19:38

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