CGIF Morningstar

Dataset ID: MSTAR.CGIF

Cboe disseminates contributor values and index summaries for Morningstar indices through their Cboe Titanium Cboe Global Indices Feed (CGIF), which Databento receives over UDP multicast in our NY4 data center.

CGIF is an index feed rather than an order-driven market: Cboe does not publish order book depth for these datasets, so Databento does not offer an MBO schema for CGIF. MSTAR.CGIF carries ContributorValue messages, normalized to the trades and MBP-1 schemas, and IndexSummary messages, normalized to the statistics schema. Index status is normalized to the status schema, and index definitions to instrument definitions.

Other CGIF datasets

The Cboe Titanium Cboe Global Indices Feed also carries values from several other index providers, each published as its own dataset.

• Cboe Global Indices Feed (MAIN.CGIF)
• Cboe Global Indices (CGI.CGIF)
• MSCI (MSCI.CGIF)
• FTSE Russell (FTSE.CGIF)
• Intraday Net Asset Values (INAV.CGIF)
• Crypto Currency Indices (CCCY.CGIF)

Timestamps

MSTAR.CGIF messages include a SendingTime in the packet header, shared by every message in that packet, and a TransactTime on both ContributorValue and IndexSummary messages. Both are millisecond-resolution epoch timestamps. As with all of our datasets, we also collect a ts_recv timestamp when the packet was received by our capture server.

TransactTime is only present on ContributorValue and IndexSummary messages, so it's the source for ts_in_delta on MBP-1 and trades records and statistics records respectively; it's more granular than the packet-level SendingTime used for other schemas' ts_in_delta.

For IndexSummary messages, the statistics schema's ts_ref field is set to the summary's effective Date (a YYYYMMDD value) decoded to UTC midnight, rather than a precise event time.

Note that SendingTime and TransactTime only carry millisecond resolution, and no additional precision is added when normalizing them to a nanosecond ts_event and ts_in_delta.

More details about our timestamps are available in our timestamping guide.

MBP-1 and Trades

CGIF does not publish order book depth, so every ContributorValue message is normalized to a single-level MBP-1 record: the Bid and Ask values become bid_px and ask_px at the top book level, the IndexValue entry becomes price, flags is fixed to F_LAST, and action is fixed to Trade.

Every MBP-1 record also produces a matching trades record, copying over ts_recv, ts_event, ts_in_delta, price, flags, and action, with depth fixed to 0.

Statistics

MSTAR.CGIF's IndexSummary messages are always normalized to the statistics schema, one record per MDEntryType entry. stat_type is always VENUE_SPECIFIC_PRICE_1.

Stat flags

stat_flags is a bit field that depends on the entry's MDEntryType and whether SummaryType is start-of-day (SOD) or end-of-day (EOD):

MSTAR.CGIF doesn't receive IndexValueWithStatus messages, so it never produces the Close and Settlement statistics that CGI.CGIF does.

Definitions

• Symbol is normalized to raw_symbol verbatim
• Agent, a 2-character classification code, is normalized to group
• Channel, the CGIF channel that index data is received on, is normalized to secsubtype
• exchange is always set to the literal CGIF
• instrument_class is always INDEX
• match_algorithm is always UNDEFINED, since CGIF is an index feed with no matching engine

Status

The corresponding status schema record is derived from the definition's Status field: