Structure

Tag Field Name Req'd Comments
268 NoMDEntries N Number of entries following.
279 MDUpdateAction Y Must be first field in this repeating group.
285 DeleteReason N If MDUpdateAction ='2'(Delete), can be used to specify a reason for the deletion.
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.
269 MDEntryType N Conditionally required if MDUpdateAction ='0'(New). Cannot be changed.
278 MDEntryID N If specified, must be unique among currently active entries if MDUpdateAction ='0'(New), must be the same as a previous MDEntryID if MDUpdateAction ='2'(Delete), and must be the same as a previous MDEntryID if MDUpdateAction ='1'(Change) and MDEntryRefID is not specified, or must be unique among currently active entries if MDUpdateAction ='1'(Change) and MDEntryRefID is specified..
280 MDEntryRefID N If MDUpdateAction ='0'(New), for the first Market Data Entry in a message, either this field or a Symbol must be specified. If MDUpdateAction ='1'(Change), this must refer to a previous MDEntryID.
1500 MDStreamID N
Component Block - <Instrument> N

Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"

Either Symbol (the instrument component block) or MDEntryRefID must be specified if MDUpdateAction ='0'(New) for the first Market Data Entry in a message. For subsequent Market Data Entries where MDUpdateAction ='0'(New), the default is the instrument used in the previous Market Data Entry if neither Symbol nor MDEntryRefID are specified, or in the case of options and futures, the previous instrument with changes specified in MaturityMonthYear, MaturityDay, StrikePrice, OptAttribute, and SecurityExchange. May not be changed.

Component Block - <InstrumentExtension> N
Component Block - <FinancingDetails> N
Component Block - <UndInstrmtGrp> N
Component Block - <InstrmtLegGrp> N
Component Block - <RelatedInstrumentGrp> N
291 FinancialStatus N
292 CorporateAction N
270 MDEntryPx N

Conditionally required when MDUpdateAction <279>='0'(New) and MDEntryType <269> is not 'A'(Imbalance), 'B'(Trade Volume), or 'C'(Open Interest).

Conditionally required when MDEntryType = "auction clearing price"

423 PriceType N
Component Block - <PriceQualifierGrp> N
819 AvgPxIndicator N
Component Block - <YieldData> N Insert here the set of YieldData (yield-related) fields defined in "Common Components of Application Messages"
Component Block - <SpreadOrBenchmarkCurveData> N Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in "Common Components of Application Messages"
40 OrdType N Used to support market mechanism type; limit order, market order, committed principal order
15 Currency N Can be used to specify the currency of the quoted price.
2897 CurrencyCodeSource N
120 SettlCurrency N Required for NDFs to specify the settlement currency (fixing currency).
2899 SettlCurrencyCodeSource N
Component Block - <RateSource> N
271 MDEntrySize N

Conditionally required when MDUpdateAction <279>='0'(New) and MDEntryType <269>='0'(Bid), '1'(Offer), '2'(Trade), 'B'(Trade Volume), or 'C'(Open Interest).

Conditionally required when MDEntryType = "auction clearing price"

Component Block - <SecSizesGrp> N
1093 LotType N Can be used to specify the lot type of the quoted size in order depth books.
272 MDEntryDate N
273 MDEntryTime N
274 TickDirection N
275 MDMkt N

Market posting quote / trade. Valid values:

See Volume 6: Appendix 6-C

336 TradingSessionID N
625 TradingSessionSubID N
326 SecurityTradingStatus N
327 HaltReason N
2447 FastMarketIndicator N
2705 MarketCondition N
276 QuoteCondition N Space-delimited list of conditions describing a quote.
277 TradeCondition N Space-delimited list of conditions describing a trade
Component Block - <TradePriceConditionGrp> N
2961 AnonymousTradeIndicator N
2667 AlgorithmicTradeIndicator N
1934 RegulatoryReportType N

Used only when reporting a trade (MDEntryType <269>=2 (Trade)) that is a regulatory trade report.

2963 MultiJurisdictionReportingIndicator N

For optional use in reporting trades.

828 TrdType N For optional use in reporting Trades
829 TrdSubType N

For optional use in reporting trades.

855 SecondaryTrdType N

For optional use in reporting trades. Conditionally requires presence of TrdType <828>.

2896 TertiaryTrdType N

For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType <855>.

Component Block - <TradeTypeGrp> N

For optional use in reporting trades as alternative to the use of individual fields.

2405 ExecMethod N
574 MatchType N For optional use in reporting Trades
1115 OrderCategory N
1390 TradePublishIndicator N

For optional use in reporting trades.

Component Block - <TrdRegPublicationGrp> N
2373 IntraFirmTradeIndicator N
570 PreviouslyReported N
Component Block - <RelatedTradeGrp> N

For optional use when reporting trades. List of trades related to the current market data entry, e.g. leg trades of a multi-leg trade.

282 MDEntryOriginator N
283 LocationID N
284 DeskID N
286 OpenCloseSettlFlag N Used if MDEntryType <269> = '4'(Opening Price), '5'(Closing Price), or '6'(Settlement Price).
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 and ExpireTime cannot both be specified in one Market Data Entry.
126 ExpireTime N For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
1629 ExposureDuration N

Conditionally required when TimeInForce <59>= 10 (Good for Time).

1916 ExposureDurationUnit N
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
198 SecondaryOrderID N For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.
299 QuoteEntryID N For optional use when this Bid, Offer, or Trade represents a quote
1003 TradeID N For optional use in reporting Trades
1851 StrategyLinkID N

For optional use in reporting Trades.

May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.

288 MDEntryBuyer N For optional use in reporting Trades
289 MDEntrySeller N For optional use in reporting Trades
2449 NumberOfBuyOrders N

For optional use when reporting trades

2450 NumberOfSellOrders N

For optional use when 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
546 Scope N
811 PriceDelta N
451 NetChgPrevDay N
58 Text N Text to describe the Market Data Entry. Part of repeating group.
354 EncodedTextLen N Must be set if EncodedText field is specified and must immediately precede it.
355 EncodedText N Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
1023 MDPriceLevel N
528 OrderCapacity N
1024 MDOriginType N
332 HighPx N
333 LowPx N
1025 FirstPx N Indicates the first price of a trading session; can be a bid, ask, or a trade price.
31 LastPx N Indicates the last price of a trading session; can be a bid, ask, or a trade price.
1592 DiscountFactor N
1020 TradeVolume N
Component Block - <PriceLimits> N
1143 MaxPriceVariation N
731 SettlPriceType N
2451 SettlPriceDeterminationMethod N
63 SettlType N
64 SettlDate N

Indicates date on which instrument will settle.

For NDFs required for specifying the "value date".

483 TransBkdTime N For optional use in reporting Trades. Used to specify the time of trade agreement for privately negotiated trades.
60 TransactTime N For optional use in reporting Trades. Used to specify the time of matching.
2445 AggressorTime N

Entry time of the incoming order that triggered the trade

2446 AggressorSide N
1070 MDQuoteType N
83 RptSeq N Allows sequence number to be specified within a feed type
1048 DealingCapacity N Identifies role of dealer; Agent, Principal, RisklessPrincipal
1026 MDEntrySpotRate N
1027 MDEntryForwardPoints N
Component Block - <StatsIndGrp> N
Component Block - <Parties> N

Used In