Support Board
Date/Time: Wed, 12 Feb 2025 07:01:26 +0000
Post From: Combine Trades into Original Summary Tape Data
| [2020-10-03 13:10:22] |
| User128888 - Posts: 30 |
|
Hi, I've been looking at the Combine Trades into Original Summary Trade for the chart and time and sales. I've read in other posts this is CME data and I am trying to confirm the underlying data behind this. Is this feature using the "Trade Summary" which is described as: The Trade Summary data is the first type of message sent on the market data feed for a trade.
A Trade Summary message represents a distinct match comprised of all orders that traded together as the result of a single aggressing order, elected stop order, mass quote, or a market state event. Source: https://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary#MDP3.0TradeSummary-TradeSummaryDataSequence Thanks. |