Market Data - Snapshot/Full Refresh (MsgType = W, FIXML = MktDataFull)

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, 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 (V) message will specify 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:

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:

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = W
262 MDReqID @ReqID N Conditionally required if this message is in response to a Market Data Request (V) .
<Instrument> Y
711 NoUnderlyings Undly N Number of underlyings
=> <Underlying Instrument> C Must be provided if Number of underlyings > 0
555 NoLegs Leg N Used for multileg instruments
=> <Instrument Leg> C Used for multileg instruments. For Swaps one leg is Buy and other leg is Sell
291 FinancialStatus @FinclStat N
292 CorporateAction @CorpActn N
451 NetChgPrevDay @NetChgPrevDay N
268 NoMDEntries Full Y Number of entries following.
=> 269 MDEntryType @Typ Y Must be the first field in this repeating group.
=> 270 MDEntryPx @Px C Conditionally required if MDEntryType (269) is not Imbalance(A), Trade Volume (B), or Open Interest(C)
=> 15 Currency @Ccy N Can be used to specify the currency of the quoted price.
=> 271 MDEntrySize @Sz C Conditionally required if MDEntryType (269) = Bid(0), Offer(1), Trade(2), Trade Volume (B), or Open Interest(C)
=> 272 MDEntryDate @Dt N
=> 273 MDEntryTime @Tm N
=> 274 TickDirection @TickDirctn N
=> 275 MDMkt @Mkt N Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C
=> 336 TradingSessionID @SesID N
=> 625 TradingSessionSubID @SesSub N
=> 276 QuoteCondition @QCond N Space-delimited list of conditions describing a quote.
=> 277 TradeCondition @TrdCond N Space-delimited list of conditions describing a trade
=> 282 MDEntryOriginator @Orig N
=> 283 LocationID @LctnID N
=> 284 DeskID @DeskID N
=> 286 OpenCloseSettlFlag @OpenClsSettlFlag N Used if MDEntryType (269) = Opening Price(4), Closing Price(5), or Settlement Price(6).
=> 59 TimeInForce @TmInForce N For optional use when this Bid or Offer represents an order
=> 432 ExpireDate @ExpireDt C 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 @ExpireTm C 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 @MinQty N For optional use when this Bid or Offer represents an order
=> 18 ExecInst @ExecInst N Can contain multiple instructions, space delimited.
=> 287 SellerDays @SellerDays N
=> 37 OrderID @OrdID N For optional use when this Bid, Offer, or Trade represents an order
=> 299 QuoteEntryID @EntryID N For optional use when this Bid, Offer, or Trade represents a quote
=> 288 MDEntryBuyer @Buyer N For optional use in reporting Trades
=> 289 MDEntrySeller @Seller N For optional use in reporting Trades
=> 346 NumberOfOrders @NumOfOrds N In an Aggregated Book, used to show how many individual orders make up an MDEntry
=> 290 MDEntryPositionNo @PosNo N Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
=> 546 Scope @Scope N
=> 811 PriceDelta @PxDelta N
=> 58 Text @Txt N Text to describe the Market Data Entry. Part of repeating group.
=> 354 EncodedTextLen @EncTxtLen C Must be set if EncodedText (355) field is specified and must immediately precede it.
=> 355 EncodedText @EncTxt C Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field.
813 ApplQueueDepth @ApplQuDepth N Depth of application messages queued for transmission as of delivery of this message
814 ApplQueueResolution @ApplQuResolution N Action taken to resolve application queuing
<Standard Message Trailer> Y