TT® FIX

Market Data Snapshot (W) message

Purpose

Used to return a snapshot of market prices

Message Direction

From TT FIX to FIX client

Supported Tags

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

Unique ID matching the incoming request ID, sent in Tag 262 (MDReqID) in the Market Data Request (V) message. TT FIX returns this ID in all responses corresponding to the Market Data Request (V) request.

55 Symbol N String

Exchange-provided product symbol for the tradable product.

167 SecurityType N String

Asset class of the instrument.

Possible values include:

  • FUT: future
  • MLEG: multi-leg
  • OPT: option
  • SPOT: EEX spot products
  • CUR: currency
  • TBOND: treasury bond
  • NONE: No security type
200 MaturityMonthYear N MonthYear

Month and year the instrument reaches maturity in the format YYYYMM.

541 MaturityDate N LocalMktDate

Maturity date in format YYYYMMDD.

205 MaturityDay N DayOfMonth

Day of expiration for the instrument.

201 PutOrCall C int

Whether the option represents a put or call

Possible values include:

  • 0: Put
  • 1: Call

Condition: Sent when Tag 167 (SecurityType) is OPT.

202 StrikePrice C Price

Strike price for an option

Condition: Sent when Tag 167 (SecurityType) is OPT.

206 OptAttribute N char

Additional information about the option contract.

18211 DeliveryTerm C char

Term of delivery for the instrument.

TT FIX uses this value to identify contracts that do not have a monthly delivery term.

Possible values include:

  • A: Same day
  • B: Balance of month
  • D: Day
  • E: Weekly
  • L: Balance of week
  • M: Month
  • N: Next day
  • P: Pack
  • Q: Quarterly
  • S: Seasonal
  • T: Weekend
  • U: Bundle
  • V: Variable
  • W: Week
  • X: Custom
  • Y: Year

Condition: Sent when the delivery term is not monthly.

743 DeliveryDate N LocalMktDate

Date for contract delivery

48 SecurityID N String

TT security ID that uniquely identifies the instrument in the TT platform.

207 SecurityExchange N Exchange

Name of the market where the instrument trades.

TT FIX uses this value to identify a security.

Possible values include:

  • AGGREGATOR
  • ASE
  • ASX
  • BrokerTec
  • B3
  • CFE
  • CME
  • CurveGlobal
  • EEX
  • Eris
  • eSpeed
  • Eurex
  • Euronext
  • ICE
  • ICE_L
  • KCG
  • MEFF
  • MX
  • NDAQ_EU
  • NFX
  • NLX
  • OSE
  • SGX
  • TFX
  • TOCOM
100 ExDestination N Exchange

New tag for TT

Name of the sub-market where the instrument trades.

TT FIX uses this value to identify a security.

ISO 10383 defines a comprehensive list of MIC codes.

15 Currency N Currency

ISO-standard symbol for the instrument’s trading currency.

18210 PriceFeedStatus N int

Current state of the price feed.

Possible values include:

  • 0: Price feed is unavailable
  • 1: Price feed is available

Condition: Sent only when the status of the price feed changes.

268 NoMDEntries Y NumInGroup

Number of market data entries in the message. Starts the repeating group.

269 MDEntryType Y char

Type of market data in this entry.

Possible values include:

  • 0: Bid
  • 1: Ask
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session Low price
  • B: Trade volume
  • J: Empty book
  • Y: Implied bid
  • Z: Implied ask
  • m: OTC trade (New for TT FIX)
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask
  • t: Indicative settlement
  • u: Exchange sending time
  • v: Exchange transaction time
  • w: Exchange sequence number (TT internal only)
  • x: Last traded
270 MDEntryPx C Price

Price of the instrument associated with this entry. Interpret the value based on the entry type.

Condition: Sent unless Tag 269 (MDEntryType)= A (Imbalance), n (Market bid), or o (Market ask).

Note: When tag 269 (MDEntryType) = x (Last traded), this value contains the last traded price (LTP).

271 MDEntrySize C Qty

Quantity associated with the related instrument.

Condition: Sent when tag 269 (MDEntryType) is:

  • 0: Bid
  • 1: Ask
  • 2: Trade
  • A: Imbalance
  • Y: Implied bid
  • Z: Implied ask
  • n: Market bid
  • o: Market ask
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask
  • x: Last traded price

Notes:

  • Some exchanges do not send this tag when Tag 269 (MDEntryType) = 2 (Trade), p (Indicative Open), q (Indicative close), r (Indicative bid), or s (Indicative ask). For more information, refer to the appropriate exchange documentation.
  • When tag 269 (MDEntryType) = x (Last traded), this value contains the last traded quantity (LTQ).
272 MDEntryDate C UCDateOnly

Settlement, or Indicative Settle, date.

Condition: Sent when tag 269 (MDEntryType) is:

  • 6: Settlement
  • t: Indicative settlement
273 MDEntryTime C UCTimeOnly

Settlement, or Indicative Settle, time.

Condition: Sent when tag 269 (MDEntryType) is:

  • 6: Settlement
  • t: Indicative settlement
290 MDEntryPositionNo C int

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1. The FIX client must determine where the new price belongs based on Tag 270 (MDEntryPx).

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

16486 MDEntryState C int

Current state of a workup order.

Possible values include:

  • 0: Open workup
  • 1: Public workup where the aggressor hit the bid
  • 3: Public workup where the aggressor took the ask
  • 4: Private workup where the aggressor hit the bid
  • 5: Private workup where the aggressor took the ask

Condition: Sent only for BrokerTec workup markets

346 NumberOfOrders C int

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

Condition: Sent only when all of the following are true:

  • Tag 18214 (IncludeNumberOfOrders) was set to Y on the Market Data Request (V) message.
  • Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).
  • The exchange provides this information.
Component: <Standard Trailer> Y

Message Notes

The Market Data Snapshot Full Refresh (W) message is used by TT FIX to respond to a Market Data Request (V) in the following cases:

  • One time, immediately after an incremental subscription before getting the initial incremental updates.
  • Tag 263 (SubscriptionRequestType) in the request is 0, indicating the client wants a single market snapshot.
  • Tag 263 (SubscriptionRequestType) in the request is 1 and Tag 265 (MDUpdateType) is 0, indicating the client subscribed to full market updates.