FIX Gateway

Market Data Snapshot/Full Refresh Request (W) Message

Purpose

Used to return a snapshot of market prices

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=W (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: Instrument Y Instrument associated with this message
Component: NoMDEntriesSnapshotGroup 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

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
290 MDEntryPositionNo C int

Position of the MD price level in relation to the best bid / best offer (1 being the best)

TT FIX Price Gateway expects the position of a bid or offer to be numbered from most competitive to least competitive, per market side, beginning with 1.

Condition: Required when Tag 269 (MDEntryType) is either 0 (bid), 1 (offer), Y (implied bid), or Z (implied offer)

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

The Market Data Snapshot Full Refresh (W) message is used by a third-party FIX acceptor to respond to a Market Data Request (V).