Description
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. 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, the trade volume or open interest for a security, or any combination of these.
Market Data messages sent as the result of a Market Data Request message will specify the appropriate MDReqID <262>. Unsolicited Market Data messages can be sent; in such cases, MDReqID <262> will not be present.
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.
Structure
| Tag | Field Name | Req'd | Comments | |
|---|---|---|---|---|
| Component Block - <StandardHeader> | Y | MsgType = W | ||
| Component Block - <ApplicationSequenceControl> | N | |||
| 911 | TotNumReports | N | Total number or reports returned in response to a request. | |
| 963 | MDReportID | N | Unique identifier for Market Data Report | |
| 715 | ClearingBusinessDate | N | ||
| 1021 | MDBookType | N | Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection | |
| 1173 | MDSubBookType | N | Can be used to define a subordinate book. | |
| 264 | MarketDepth | N | Can be used to define the current depth of the book. | |
| 1022 | MDFeedType | N | Describes a class of service for a given data feed, ie Regular and Market Maker | |
| 1683 | MDSubFeedType | N | ||
| 1187 | RefreshIndicator | N | ||
| 75 | TradeDate | N | Used to specify the trading date for which a set of market data applies | |
| 262 | MDReqID | N | Conditionally required if this message is in response to a Market Data Request. | |
| 1500 | MDStreamID | N | ||
| 1301 | MarketID | N | ||
| 1300 | MarketSegmentID | N | ||
| Component Block - <Instrument> | Y | Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" | ||
| Component Block - <InstrumentExtension> | N | |||
| Component Block - <FinancingDetails> | N | |||
| Component Block - <UndInstrmtGrp> | N | Number of underlyings | ||
| Component Block - <InstrmtLegGrp> | N | Required for multileg quotes | ||
| Component Block - <RelatedInstrumentGrp> | N | |||
| 779 | LastUpdateTime | Y | ||
| 291 | FinancialStatus | N | ||
| 292 | CorporateAction | N | ||
| 451 | NetChgPrevDay | N | ||
| 1682 | MDSecurityTradingStatus | N | ||
| 1684 | MDHaltReason | N | ||
| Component Block - <MDFullGrp> | Y | Number of entries following. | ||
| 813 | ApplQueueDepth | N | Depth of application messages queued for transmission as of delivery of this message | |
| 814 | ApplQueueResolution | N | Action taken to resolve application queuing | |
| Component Block - <RoutingGrp> | N | |||
| Component Block - <StandardTrailer> | Y | |||