TT® FIX Market Data

Market Data Snapshot (W) Message

Market Data Snapshot (W) Message

Market Data Snapshot (W) message

Purpose

Used to return a snapshot of market prices

Message Direction

From TT FIX to FIX client

Tag Directory

Click the links below to navigate to the documentation for that tag.

Supported Tags

>
Tag # Field Name Req’d Data type Comments
Component: <Standard Header>
Y 35=W (MsgType)
For additional information about this component group, consult the full documentation.
Tag # Field name Req’d Data type Comments
8 BeginString Y String

FIX protocol version

The tag indicates the beginning of a new message. This tag is always the first tag in the message.

The value is either FIX.4.2 or FIX.4.4.
9 BodyLength Y int

Message length (in characters)

The value represents number of characters in the message following this tag up to, and including, the delimiter immediately preceding Tag 10 (CheckSum). This tag must be the second field in a message.
35 MsgType Y String

Type of message contained in the message body

This tag must appear third in the list of header tags.

Possible values include:

  • 0: Heartbeat
  • 1: Test Request
  • 2: Resend Request
  • 3: Reject
  • 4: Sequence Reset
  • 5: Logout
  • 8: Execution Report
  • 9: Order Cancel Reject
  • A: Logon
  • B: News
  • c: Security Definition Request
  • D: Order Single
  • d: Security Definition
  • e: Security Status Request
  • f: Security Status
  • F: Order Cancel Request
  • G: Order Cancel Replace Request
  • H: Order Status Request
  • Q: Don't Know Trade (Inbound Drop Copy only)
  • R: Quote Request
  • V: Market Data Request
  • W: Market Data Snapshot Full Refresh
  • X: Market Data Incremental Refresh
  • Y: Market Data Request Reject
  • AD: Trade Capture Report Request
  • AE: Trade Capture Report
  • AQ: Trade Capture Report Request Ack
49 SenderCompID Y String

ID of the FIX session

The value will be the same value the FIX client sends in tag 56 (TargetCompID) in its requests to TT FIX.
56 TargetCompID Y String

FIX client ID, corresponding to the SenderCompID specified for the user in TT User Setup

The value is the same as sent in tag 49 (SenderCompID) in FIX client requests.
50 SenderSubID C String

Unique ID for the message sender

For CME, the value corresponds to the Operator ID.

Condition: Sent if TT User Setup specifies an exchange operator ID
142 SenderLocationID N string Specific message originator's location (i.e. geographic location and/or desk, trader)
116 OnBehalfOfSubID N Data type: String

Unique Trader ID (can also be provided in Tag 50 (SenderSubID))

The value maps to the Alias field configured for a user in Setup.
129 DeliverToSubID C String

Value of Tag 116 (OnBehalfOfSubID) in the FIX client request.

Condition: Sent in Execution Report (8) and Order Cancel Reject (9) messages.
34 MsgSeqNum Y SeqNum

Message sequence number.
43 PossDupFlag C Boolean

Whether the sequence number for this message is already used

Possible values include:

  • Y: Possible duplicate
  • N: Original transmission

Condition: Sent when TT FIX resends messages
97 PossResend C Boolean

Whether the message might contain information that has been sent under another sequence numbe

Possible values include:

  • Y: Possible resend
  • N: Original transmission

Condition: Sent when TT FIX restarts after encountering a corrupt FIX message cache, and only until it completes the initial download.
122 OrigSendingTime C UTCTimestamp

Original time of message transmission, when transmitting orders as the result of a resend request

Always expressed in UTC.

Condition: Sent when TT FIX resends a message
52

SendingTime

Y UTCTimestamp

Time, in UTC, the message was sent.
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
  • CS: common stock
  • NONE: No security type (Not valid for 35=c, e or V)
107 SecurityDesc N String

Security description.
460 Product N int Product type associated with the security.

Possible values include:

  • 1: Agency
  • 2: Commodity
  • 3: Corporate
  • 4: Currency
  • 5: Equity
  • 6: Government
  • 7: Index
  • 8: Loan
  • 9: Money market
  • 10: Mortgage
  • 11: Municipal
  • 12: Other
  • 13: Financing
  • 14: Energy
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
  • C: End of Month
  • D: Day
  • E: Weekly
  • H: Hour
  • 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

Note When Tag 18211 DeliveryTerm equals any value except 'M', 'Y' or 'Q', then you must specify the delivery day/date in Tag 205 MaturityDay or Tag 541 MaturityDate.

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
  • ALGO
  • ASE
  • ASX
  • B3
  • BitMEX
  • BrokerTec
  • CBOE
  • CBOT
  • CFE
  • CME
  • Coinbase
  • CoinFLEX
  • CurveGlobal
  • CZCE
  • DCE
  • DGCX
  • EEX
  • Eurex
  • Euronext
  • Fenics
  • FEX
  • HKEX
  • ICE
  • ICE_L
  • IDEM
  • INE
  • KCG
  • KRK
  • LME
  • LSE
  • MEFF
  • MEXDER
  • MX
  • MX
  • NDAQ_EU
  • NFI
  • NFX
  • OSE
  • SGX
  • TFEX
  • TFX
  • TOCOM
100 ExDestination N Exchange

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
  • A: Imbalance (B3 Auction and Pre-Open market states only)
  • B: Trade volume
  • J: Empty book
  • L: Leg trade
  • Y: Implied bid
  • Z: Implied ask
  • m: OTC trade (New for TT FIX)
  • n: Market bid (B3 Auction and Pre-Open market states only)
  • o: Market ask (B3 Auction and Pre-Open market states only)
  • 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

Note: When Tag 35 (MsgType) = V, (i.e., Market Data Request) or Tag 35 (MsgType) = X, (i.e., Market Data Snapshot), Tag 269 must be the first tag in each MDEntry repeating group.
> 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), s (Indicative ask) or B (Trade volume). 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.
16052 ExchangeSendingTime C String

UTC time the market data message was transmitted from the exchange, expressed as number of microseconds since Unix epoch.

Condition: Only sent when the following are true:
16060 ExchangeTransactTime C String

UTC time of the execution/order creation that resulted in this market data message from the exchange, expressed as number of microseconds since Unix epoch.

Condition: Only sent when the following are true:
Component: <Standard Trailer>
Y For additional information about this component group, consult the full documentation.
Tag # Field Name Req’d Data type Comments
10 Checksum Y String

Unencrypted three-character checksum

This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).

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.