The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. Market Data messages sent as the result of a Market Data Request message will specify the appropriate MDReqID.
There are two types of Market Data Refresh messages, Snapshot/Full and Incremental.
The Market Data message format used for a Snapshot, or a Snapshot + Updates where MDUpdateType = Full Refresh (0) is as follows:
•After a Market Data Request, when a Bid or Offer is added, changed, or deleted, every update to a Market Data Entry results in a new Market Data Snapshot message that contains the entirety of the data requested for that instrument, not just the changed Market Data Entry. In other words, both sides of the market, or just one side in the case of a request of only bids or offers, for the depth requested, must be sent in one FIX Market Data Snapshot message.
•A Market Data Snapshot message may contain an index value, opening, closing, settlement, high, low price for one instrument, as well as the traded volume and open interest, but only for one instrument per message.
•Messages containing bids and/or offers cannot contain trades, index value, opening, closing, settlement, high, low prices, trade volume, or open interest.
Table 12 – Market Data Snapshot/Full Refresh
|
FieldName |
Req’d |
Comments |
Format | ||
|
StandardHeader |
Y |
MsgType = W |
| ||
|
264 |
MarketDepth |
N |
Can be used to define the current depth of the book. |
Int | |
|
262 |
MDReqID |
Y/N |
Conditionally required if this message is in response to a Market Data Request. |
String | |
|
Component block <Instrument> |
Y |
Insert here the set of “Instrument” (symbology) fields. |
| ||
|
451 |
NetChgPrevDay |
N |
Net change from previous day’s closing price. |
PriceOffset | |
|
Start of Component block, expanded in line < MDFullGrp > |
| ||||
|
268 |
NoMDEntries |
Y |
Number of entries following. |
NuminGroup | |
|
à |
269 |
MDEntryType |
Y |
Must be first field in repeating group. This is a list of the type of Market Data Entries that the firm is receiving in this market data response message. |
Char |
|
à |
270 |
MDEntryPx |
Y/N |
Price of the Market Data Entry. Conditionally required depending on MDEntryType. |
Price |
|
à |
271 |
MDEntrySize |
Y/N |
Quantity or volume of the market data entry. |
Qty |
|
à |
272 |
MDEntryDate |
N |
Date of Market Data Entry. |
UTCDateOnly |
|
à |
273 |
MDEntryTime |
N |
Time of Market Data Entry. |
UTCTimeOnly |
|
End of Component block, expanded in line < MDFullGrp > |
| ||||
|
StandardTrailer |
Y |
|
| ||