The second Market Data message format is used for incremental updates. With the incremental message the Exchange has the responsibility to provide all Market Data entries needed by the client user in order to build an order book copy, populate a Trade Ticker, etc.
The Market Data Incremental Refresh message may contain any combination of new, changed, or deleted Market Data Entries, for one or more instruments, with any combination of trades, quotes, index values, open, close, settlement, high, low, trade volume and open interest so long as the maximum FIX message size is not exceeded.
Market Data Entries are referenced by MDEntryPx for the purposes of deleting and changing them later.