developers:fixapi:marketdatasnapshotfullrefresh

Differences

This shows you the differences between two versions of the page.

Link to this comparison view

Both sides previous revision Previous revision
Next revision		 Previous revision
developers:fixapi:marketdatasnapshotfullrefresh [2025/09/12 01:23] – removed - external edit (Unknown date) 127.0.0.1developers:fixapi:marketdatasnapshotfullrefresh [2025/09/17 01:20] (current) – chad
Line 1: Line 1:
 +====== MARKET DATA SNAPSHOT [35=W] ======
  
 +The Market Data Snapshot message provides complete market state including depth, trades, and statistics.
 +
 +===== Message Structure =====
 +  * Contains entire book state (not just changes)
 +  * Each update sends complete snapshot
 +  * Both bid and offer sides included
 +  * Matched via SecurityID (48) or MDReqID (262)
 +
 +===== Message Specification =====
 +
 +**Message Direction:** T4 → Client
 +
 +^ Tag ^ Field Name ^ Type ^ Req'd ^ Description ^
 +| | **Message Header** | | Y | MsgType = W |
 +| 262 | MDReqID | String | O | Original request ID |
 +| 48 | SecurityID | String | O | T4 Market ID |
 +| 55 | Symbol | String | O | T4 Contract ID |
 +| 207 | SecurityExchange | String | O | T4 Exchange ID |
 +| 387 | TotalVolumeTraded | Int | O | Total volume across all levels |
 +| 965 | SecurityStatus | Int | O | 2=Open, 5=Closed, 6=Suspended |
 +| 268 | NoMDEntries | Int | Y | Number of market data entries |
 +| →269 | MDEntryType | Char | Y | Entry type (see table) |
 +| →270 | MDEntryPx | Float | O | Price |
 +| →271 | MDEntrySize | Int | O | Size/Volume |
 +| →273 | MDEntryTime | UTCTimestamp | O | Entry time |
 +| →274 | TickDirection | Int | O | 0=At offer, 2=At bid |
 +| →277 | TradeCondition | String | O | AA=Due to spread |
 +| →1023 | MDPriceLevel | Int | O | Book level (1-10) |
 +| →1020 | TradeVolume | Int | O | Trade volume |
 +| →75 | TradeDate | LocalMktDate | O | Format: YYYYMMDD |
 +| →3301 | OrderVolumes | String | O | Semicolon-delimited volumes |
 +| | **Message Trailer** | | Y | |
 +
 +===== MDEntryType Values =====
 +^ Type ^ Value ^ Description ^
 +| 0 | Bid | Bid price/size |
 +| 1 | Offer | Offer price/size |
 +| 2 | Implied Bid | Implied bid |
 +| 3 | Implied Offer | Implied offer |
 +| 4 | Trade | Last trade |
 +| 6 | Settlement | Settlement price |
 +| 7 | High | Session high |
 +| 8 | Low | Session low |
 +| B | Volume | Trade volume |
 +| K | Limit High | Price limit high |
 +| L | Limit Low | Price limit low |
 +
 +===== Sample Messages =====
 +
 +**Top of Book Snapshot:**
 +<code>
 +8=FIX.4.2|9=250|35=W|49=T4|56=T4Example|50=T4FIX|52=20121011-19:58:03.971|
 +55=ZT|48=CME_20121200_ZTZ2|207=CME_F|387=4785|268=5|
 +269=0|270=110.203125|271=224|1023=1|
 +269=1|270=110.21875|271=326|1023=1|
 +269=2|270=110.1875|271=1|1023=1|
 +269=3|270=110.21875|271=3|1023=1|
 +269=4|270=110.2109375|271=1|10=123|
 +</code>
 +
 +**Statistics Snapshot:**
 +<code>
 +8=FIX.4.2|9=200|35=W|49=T4|56=T4Example|50=T4FIX|52=20121011-19:58:04.002|
 +55=ZT|48=CME_20121200_ZTZ2|207=CME_F|268=3|
 +269=6|270=110.21875|
 +269=7|270=110.21875|
 +269=8|270=110|10=234|
 +</code>
 +
 +===== Notes =====
 +  * Complete book sent on every update
 +  * Level 1023=0 indicates aggregate volume
 +  * SecurityID or MDReqID present (not both)
 +  * Unsolicited snapshots may be received