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Structure |
Related Messages
Description
The Market Data messages are used as the response to a Market Data Request <V> message. In all cases, one Market Data message refers only to one Market Data Request <V>. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing,
settlement, high, low, or VWAP prices, or any combination of these.
Market Data messages sent as the result of a Market Data Request <V> message are tagged with the appropriate MDReqID <262>. Unsolicited Market Data messages can be sent; in such cases, MDReqID <262> will not be present.
If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:
- The forex Symbol <55> is defined in "EBS" (Electronic Banking System) format: "CCY1/CCY2".
- Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1
(NOT CCY1 divided by CCY2)
- e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
- CCY1 and CCY2 are ISO currency codes
- The value of the Currency <15> field represents the denomination of the quantity fields (e.g. JPY represents quantity of JPY).
- See Appendix O – Foreign Exchange Trading
Market Data messages include many fields, and not all are required to be used. A firm may, at its option, choose to send the
minimum fields required, or may choose to send more information, such as tick direction, tagging of best quotes, etc.
Market Data messages can take two forms. The first Market Data message format used for a Snapshot, or a Snapshot + Updates
where MDUpdateType <265> = Full Refresh (0) is as follows:
- For Market Data Requests where a Bid or Offer is added, changed, or deleted, every update to a Market Data Entry results in
a new Market Data 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 message.
- A Market Data message may contain several trades, an index value, opening, closing, settlement, high, low, and/or VWAP price
for one instrument, but only one instrument per message.
- Messages containing bids and/or offers cannot contain trades, index value, opening, closing, settlement, high, low, and/or
VWAP prices.
Structure
| Tag |
Field Name |
Req'd |
Comments |
| <MessageHeader> |
Y |
MsgType <35> = W
|
| 262 |
MDReqID |
N |
Conditionally required if this message is in response to a Market Data Request <V>.
|
| 55 |
Symbol |
Y |
|
| 65 |
SymbolSfx |
N |
|
| 48 |
SecurityID |
N |
|
| 22 |
IDSource |
N |
|
| 167 |
SecurityType |
N |
Must be specified if a Future or Option. If a Future: Symbol <55>, SecurityType <167>, and MaturityMonthYear <200> are required. If an Option: Symbol <55>, SecurityType <167>, MaturityMonthYear <200>, PutOrCall <201>, and StrikePrice <202> are required.
|
| 200 |
MaturityMonthYear |
N |
Specifiesthe month and year of maturity. Required if MaturityDay <205> is specified.
|
| 205 |
MaturityDay |
N |
Can be used in conjunction with MaturityMonthYear <200> to specify a particular maturity date.
|
| 201 |
PutOrCall |
N |
For Options.
|
| 202 |
StrikePrice |
N |
For Options.
|
| 206 |
OptAttribute |
N |
For Options.
|
| 231 |
ContractMultiplier |
N |
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g.
contracts vs. shares) amount.
|
| 223 |
CouponRate |
N |
For Fixed Income.
|
| 207 |
SecurityExchange |
N |
Can be used to identify the security.
|
| 106 |
Issuer |
N |
|
| 348 |
EncodedIssuerLen |
N |
Must be set if EncodedIssuer <349> field is specified and must immediately precede it.
|
| 349 |
EncodedIssuer |
N |
Encoded (non-ASCII characters) representation of the Issuer <106> field in the encoded format specified via the MessageEncoding <347> field.
|
| 107 |
SecurityDesc |
N |
|
| 350 |
EncodedSecurityDescLen |
N |
Must be set if EncodedSecurityDesc <351> field is specified and must immediately precede it.
|
| 351 |
EncodedSecurityDesc |
N |
Encoded (non-ASCII characters) representation of the SecurityDesc <107> field in the encoded format specified via the MessageEncoding <347> field.
|
| 291 |
FinancialStatus |
N |
|
| 292 |
CorporateAction |
N |
|
| 387 |
TotalVolumeTraded |
N |
Total volume traded in this trading session for this security.
|
| 268 |
NoMDEntries |
Y |
Number of entries following.
|
| => |
269 |
MDEntryType |
Y |
Must be the first field in this repeating group.
|
| => |
270 |
MDEntryPx |
Y |
|
| => |
15 |
Currency |
N |
Can be used to specify the currency of the quoted price.
|
| => |
271 |
MDEntrySize |
N |
Conditionally required if MDEntryType <269> = Bid(0), Offer(1), or Trade(2)
|
| => |
272 |
MDEntryDate |
N |
|
| => |
273 |
MDEntryTime |
N |
|
| => |
274 |
TickDirection |
N |
|
| => |
275 |
MDMkt |
N |
Market posting quote / trade. Valid values:
See Appendix C
|
| => |
336 |
TradingSessionID |
N |
|
| => |
276 |
QuoteCondition |
N |
Space-delimited list of conditions describing a quote.
|
| => |
277 |
TradeCondition |
N |
Space-delimited list of conditions describing a trade
|
| => |
282 |
MDEntryOriginator |
N |
|
| => |
283 |
LocationID |
N |
|
| => |
284 |
DeskID |
N |
|
| => |
286 |
OpenCloseSettleFlag |
N |
Used if MDEntryType <269> = Opening Price <44>(4), Closing Price <44>(5), or Settlement Price <44>(6).
|
| => |
59 |
TimeInForce |
N |
For optional use when this Bid or Offer represents an order
|
| => |
432 |
ExpireDate |
N |
For optional use when this Bid or Offer represents an order. ExpireDate <432> and ExpireTime <126> cannot both be specified in one Market Data Entry.
|
| => |
126 |
ExpireTime |
N |
For optional use when this Bid or Offer represents an order. ExpireDate <432> and ExpireTime <126> cannot both be specified in one Market Data Entry.
|
| => |
110 |
MinQty |
N |
For optional use when this Bid or Offer represents an order
|
| => |
18 |
ExecInst |
N |
Can contain multiple instructions, space delimited.
|
| => |
287 |
SellerDays |
N |
|
| => |
37 |
OrderID |
N |
For optional use when this Bid, Offer, or Trade represents an order
|
| => |
299 |
QuoteEntryID |
N |
For optional use when this Bid, Offer, or Trade represents a quote
|
| => |
288 |
MDEntryBuyer |
N |
For optional use in reporting Trades
|
| => |
289 |
MDEntrySeller |
N |
For optional use in reporting Trades
|
| => |
346 |
NumberOfOrders |
N |
In an Aggregated Book, used to show how many individual orders make up an MDEntry
|
| => |
290 |
MDEntryPositionNo |
N |
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
|
| => |
58 |
Text |
N |
Text <58> to describe the Market Data Entry. Part of repeating group.
|
| => |
354 |
EncodedTextLen |
N |
Must be set if EncodedText <355> field is specified and must immediately precede it.
|
| => |
355 |
EncodedText |
N |
Encoded (non-ASCII characters) representation of the Text <58> field in the encoded format specified via the MessageEncoding <347> field.
|
| <MessageTrailer> |
Y |
|
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Related Messages
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