MarketDataSnapshotFullRefresh/FIX.4.3
From FIXwiki
Message Content of MarketDataSnapshotFullRefresh (MsgType=W)
| TagText | FieldName or ComponentName | Required | Description |
|---|---|---|---|
| StandardHeader | x | MsgType = W
| |
| 262 | MDReqID | Conditionally required if this message is in response to a Market Data Request.
| |
| Instrument | x | Insert here the set of "Instrument" (symbology) fields defined in "COMMON COMPONENTS OF APPLICATION MESSAGES"
| |
| 291 | FinancialStatus | ||
| 292 | CorporateAction | ||
| 387 | TotalVolumeTraded | Total volume traded in this trading session for this security.
| |
| 449 | TotalVolumeTradedDate | ||
| 450 | TotalVolumeTradedTime | ||
| 451 | NetChgPrevDay | ||
| 268 | NoMDEntries | x | Number of entries following.
|
| 269 | MDEntryType | x | Must be the first field in this repeating group.
|
| 270 | MDEntryPx | Conditionally required if MDEntryType is not Imbalance(A)
| |
| 15 | Currency | Can be used to specify the currency of the quoted price.
| |
| 271 | MDEntrySize | Conditionally required if MDEntryType = Bid(0), Offer(1), or Trade(2)
| |
| 272 | MDEntryDate | ||
| 273 | MDEntryTime | ||
| 274 | TickDirection | ||
| 275 | MDMkt | Market posting quote / trade. Valid values:
See Appendix 6-C
| |
| 336 | TradingSessionID | ||
| 625 | TradingSessionSubID | ||
| 276 | QuoteCondition | Space-delimited list of conditions describing a quote.
| |
| 277 | TradeCondition | Space-delimited list of conditions describing a trade
| |
| 282 | MDEntryOriginator | ||
| 283 | LocationID | ||
| 284 | DeskID | ||
| 286 | OpenCloseSettleFlag | Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6).
| |
| 59 | TimeInForce | For optional use when this Bid or Offer represents an order
| |
| 432 | ExpireDate | 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 | For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry.
| |
| 110 | MinQty | For optional use when this Bid or Offer represents an order
| |
| 18 | ExecInst | Can contain multiple instructions, space delimited.
| |
| 287 | SellerDays | ||
| 37 | OrderID | For optional use when this Bid, Offer, or Trade represents an order
| |
| 299 | QuoteEntryID | For optional use when this Bid, Offer, or Trade represents a quote
| |
| 288 | MDEntryBuyer | For optional use in reporting Trades
| |
| 289 | MDEntrySeller | For optional use in reporting Trades
| |
| 346 | NumberOfOrders | In an Aggregated Book, used to show how many individual orders make up an MDEntry
| |
| 290 | MDEntryPositionNo | Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
| |
| 546 | Scope | ||
| 58 | Text | Text to describe the Market Data Entry. Part of repeating group.
| |
| 354 | EncodedTextLen | Must be set if EncodedText field is specified and must immediately precede it.
| |
| 355 | EncodedText | Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field.
| |
| StandardTrailer | x |
Notes
Please post comments, clarifications, examples here. Click on the edit button on the right and away you go!
Don't forget to refer to the FPL Discussion Groups to back up anything you write. You will often find the authoritative statements on matters of FIX specification interpretation there. Links from FIXwiki pages to relevant discussions on the FPL site are very valuable.
For example if you were writing a clarification on how to specify the "quantity" of an order in FIX, you might add the following relevant link, http://www.fixprotocol.org/discuss/read/f5014573, to back up your points.