FIX Gateway

Market Data Incremental Refresh (X) Message

Purpose

Used to send updated market data for an instrument

Message Direction

From a third-party FIX acceptor to the TT FIX Price Gateway

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: Standard Header Y 35=X (MsgType)
262 MDReqID Y String

Unique ID sent in the Market Data Request (V) message

The third party FIX acceptor must return this value in all responses associated with the initial request.

Component: NoMDEntriesIncrementalGroup Y Market data entries returned
387 TotalVolumeTraded Y Qty

Total volume traded during the current trading session for this instrument

Note: Include only in the first item in the repeating group

268 NoMDEntries Y int

Number of entries in this market data message

279 MDUpdateAction Y char

Type of market data update associated with this repeating group

Valid values include:

  • 0: New
  • 1: Change
  • 2: Delete
Component: Instrument Y Instrument associated with this message
269 MDEntryType Y char

Type of market data returned

Values that will be sent are:

  • 0: Bid
  • 1: Offer
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session low price
  • Y: Implied bid
  • Z: Implied ask
270 MDEntryPx Y Price

Price of the instrument associated with this entry

Interpret the value based on the entry type.

271 MDEntrySize C Qty

Quantity associated with the related instrument

Condition: Required when Tag 269 (MDEntryType) contains:

  • 0: Bid
  • 1: Offer
  • 2: Trade
  • Y: Implied bid
  • Z: Implied ask
346 NumberOfOrders O int

Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.

Condition: Send when both of the following are true:

  • Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).
  • The data is available.
Component: Standard Trailer Y

Message Notes

Market Data Incremental Refresh (X) messages can contain multiple New, Delete and Change actions for the same contract and MDEntryType. The TT FIX Price Gateway processes all actions in the order in which they exist in the message. Third party FIX acceptors should ensure that they logically arrange actions for processing in this manner.