Trade summary and order details

One of the key features of the third generation of the CME Market Data Platform (MDP) is the ability to get detailed order information for the trade. MDP also sends a trade summary.

The handling of the "Trade Summary" message is configurable via the OnixS::CME::MDH::HandlerSettings::tradeProcessing members. The following processing strategies are available:

The "Trade Summary" message processing strategy	Description
OnixS::CME::MDH::TradeProcessing::SummaryLevel	The handler reports only a trade summary. The details of each order related to the trade are not exposed, and only the number of orders is available. The handler delivers trade summaries to a client code as soon as the correspondent data is received without any additional delays.
OnixS::CME::MDH::TradeProcessing::OrderDetails	The handler reports both a trade summary and details of each order related to the trade. In this mode, trades may be delivered with a delay because CME MDP sends order ids after the trade summary data. Also, data may be distributed across multiple network packets (belonging to a single market event). Therefore, this strategy may generally be slower compared to a summary level only. However, in almost all cases, the data belonging to the entire event is transmitted within a single network packet. Therefore, trades are usually exposed with no delay. Finally, in contrast to order book updates, which are strictly exposed at the end of the market event, trades are delivered to the user code as soon as data for those trades is received.

Note

Order ids are sent for trades only incremental feeds. Trades recovered from snapshot messages do not include order details, so the collection of order ids is empty for a recovered trade.

CME Partner Exchanges do not provide order details.

Additional documentation on Trade Summary messages and scenarios can be found on the CME MDP Trade Summary Wiki.