In the CME Group’s FIX/FAST for market data specification there is a tag 326 called SecurityTradingStatus. This tag is sent in a Security Status message (35=f), which is generated every time an individual security or security group changes its trading status. There doesn’t appear to be much documentation on this tag as I suppose it should be self explanatory. That being said, I still had some questions so I called up their development help desk and asked for some details. Here’s my conclusion for the different values:

2 = Trading Halt An event in the market or someone at the CME decided to halt trading for reasons which might be explained in HaltReason (tag 327) if it is not NULL. Documentation for HaltReason is found in a separate pdf outside of the FIX/FAST SDK called multipledepthbookFF.pdf.

5 = Price Indication I’m not too sure about this one, but I’m taking a guess that this is when HighPx (tag 332) and LowPx (tag 333) will be provided.

17 = Ready to trade (start of session) Trading is wide open for the security or security group. Anything goes…

18 = Not Available for trading (end of session) This would be what you’re looking for to determine if trading has ended normally for the day.

20 = Unknown or Invalid The security is in an unknown or invalid state?

21 = Pre-Open From what was explained to me, this is a period before 17 = Ready to trade (start of session) where certain types of actions can be performed, such as placing orders and cancels, but no orders will be matched or filled during this time.

24 = Pre-Cross The person I spoke to was really not to sure about this one or 25 = Cross. However he did say that both of these took place for about a split second.

25 = Cross Read 24 = Pre-Cross above.

26 = No-Cancel I’m taking a guess this means you can’t cancel your orders.

I hope I was able to shed some light on this rather undocumented tag. As always if you have more information on this tag feel free to post a comment.