developers:fixapi.marketdataincrementalrefresh

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developers:fixapi.marketdataincrementalrefresh [2025/08/15 12:30] – robdevelopers:fixapi.marketdataincrementalrefresh [2025/08/15 12:37] (current) – rob
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 | 326 | Security Trading Status | N | Market Status of Security. 0 = Undefined; 1 = PreOpen; 2 = Open; 3 = RestrictedOpen; 4 = PreClosed; 5 = Closed; 6 = Suspended; 7 = Halted; 8 = Failed; 9 = PreCross; 10 = Cross; 11 = Expired; 12 = Rejected; 13 = Unavailable | | 326 | Security Trading Status | N | Market Status of Security. 0 = Undefined; 1 = PreOpen; 2 = Open; 3 = RestrictedOpen; 4 = PreClosed; 5 = Closed; 6 = Suspended; 7 = Halted; 8 = Failed; 9 = PreCross; 10 = Cross; 11 = Expired; 12 = Rejected; 13 = Unavailable |
 | Standard Trailer | Y |   | | Standard Trailer | Y |   |
 +
 +====== Sample Messages ======
 +
 +
 +The different stages of a Market Data Incremental Refresh session are shown below. In the first message, the incremental refresh session is requested for both Bid (Tag 269=0) and Offer books (Tag 269=1) with a depth of 10 price levels (Tag 264=10) alongside Trade market data snapshots (Tag 269=4). The first message received (with sequence number 4) is a Market Data Snapshot. This message fully establishes the depth details of all (available) price levels for the Bid and Offer books. As available, the following snapshot carries the settlement, limit and high/low prices for the session. Following are four incremental refresh messages indicating changes to different levels of the Bid and Offer books. These incremental changes would be applied (in sequence) to the latest state of the Bid and Offer books as shown in the initial Market Data Snapshot (of sequence number 4). At the end of the samples, three individual Trade market data snapshots are received as these trades occur in the market.
 +<code>
 +Requesting Incremental Refresh Session
 +1 - MARKETDATAREQUEST
 +34=2|49=T4Example|52=20131125-17:35:50.449|56=T4|146=1|55=ES|48=CME_20131200_ESZ3|207=CME_Eq|262=11-25-2013-11:35:50.4497000-mr|263=7|264=10|265=3|267=8|269=0|269=1|269=4|269=7|269=8|269=K|269=L|269=6|
 +
 +[MsgSeqNum] 34 = 2
 +[SenderCompID] 49 = T4Example
 +[SendingTime] 52 = 20131125-17:35:50.449
 +[TargetCompID] 56 = T4
 +[NoRelatedSym] 146 = 1
 +[Symbol] 55 = ES
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityExchange] 207 = CME_Eq
 +[MDReqID] 262 = 11-25-2013-11:35:50.4497000-mr
 +[SubscriptionRequestType] 263 = 7 (SNAPSHOT_PLUS_UPDATES_INCREMENTAL)
 +[MarketDepth] 264 = 10
 +[MDUpdateType] 265 = 3 (SMART_TRADE)
 +[NoMDEntryTypes] 267 = 8
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
 +[MDEntryType] 269 = 8 (TRADING_SESSION_LOW_PRICE)
 +[MDEntryType] 269 = K (LIMIT_HIGH_PRICE)
 +[MDEntryType] 269 = L (LIMIT_LOW_PRICE)
 +[MDEntryType] 269 = 6 (SETTLEMENT_PRICE)
 +</code>
 +<code>
 +Initial State of Bid and Offer Books
 +2 - MARKETDATASNAPSHOT
 +34=4|49=T4|56=T4Example|52=20131125-17:35:57.272|48=CME_20131200_ESZ3|387=617967|965=2|268=21|269=0|270=180425|271=268|1023=1|269=0|270=180400|271=1049|1023=2|269=0|270=180375|271=1488|1023=3|269=0|270=180350|271=1596|1023=4|269=0|270=180325|271=1192|1023=5|269=0|270=180300|271=1240|1023=6|269=0|270=180275|271=1220|1023=7|269=0|270=180250|271=1413|1023=8|269=0|270=180225|271=1368|1023=9|269=0|270=180200|271=1759|1023=10|269=1|270=180450|271=768|1023=1|269=1|270=180475|271=1316|1023=2|269=1|270=180500|271=1713|1023=3|269=1|270=180525|271=1476|1023=4|269=1|270=180550|271=1760|1023=5|269=1|270=180575|271=1418|1023=6|269=1|270=180600|271=1783|1023=7|269=1|270=180625|271=1226|1023=8|269=1|270=180650|271=1484|1023=9|269=1|270=180675|271=1396|1023=10|269=4|270=180425|271=2|
 +
 +[MsgSeqNum] 34 = 4
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:57.272
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[TotalVolumeTraded] 387 = 617967
 +[SecurityStatus] 965 = 2 (OPEN)
 +[NoMDEntries] 268 = 21
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180425
 +[MDEntrySize] 271 = 268
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180400
 +[MDEntrySize] 271 = 1049
 +[MDPriceLevel] 1023 = 2
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180375
 +[MDEntrySize] 271 = 1488
 +[MDPriceLevel] 1023 = 3
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180350
 +[MDEntrySize] 271 = 1596
 +[MDPriceLevel] 1023 = 4
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180325
 +[MDEntrySize] 271 = 1192
 +[MDPriceLevel] 1023 = 5
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180300
 +[MDEntrySize] 271 = 1240
 +[MDPriceLevel] 1023 = 6
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180275
 +[MDEntrySize] 271 = 1220
 +[MDPriceLevel] 1023 = 7
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180250
 +[MDEntrySize] 271 = 1413
 +[MDPriceLevel] 1023 = 8
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180225
 +[MDEntrySize] 271 = 1368
 +[MDPriceLevel] 1023 = 9
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 180200
 +[MDEntrySize] 271 = 1759
 +[MDPriceLevel] 1023 = 10
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180450
 +[MDEntrySize] 271 = 768
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180475
 +[MDEntrySize] 271 = 1316
 +[MDPriceLevel] 1023 = 2
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180500
 +[MDEntrySize] 271 = 1713
 +[MDPriceLevel] 1023 = 3
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180525
 +[MDEntrySize] 271 = 1476
 +[MDPriceLevel] 1023 = 4
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180550
 +[MDEntrySize] 271 = 1760
 +[MDPriceLevel] 1023 = 5
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180575
 +[MDEntrySize] 271 = 1418
 +[MDPriceLevel] 1023 = 6
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180600
 +[MDEntrySize] 271 = 1783
 +[MDPriceLevel] 1023 = 7
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180625
 +[MDEntrySize] 271 = 1226
 +[MDPriceLevel] 1023 = 8
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180650
 +[MDEntrySize] 271 = 1484
 +[MDPriceLevel] 1023 = 9
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 180675
 +[MDEntrySize] 271 = 1396
 +[MDPriceLevel] 1023 = 10
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryPx] 270 = 180425
 +[MDEntrySize] 271 = 2
 +</code>
 +<code>
 +Snapshot of Settlement and Session limits
 +- Snapshot of Settlement and Session limits -
 +3 - MARKETDATASNAPSHOT
 +34=5|49=T4|56=T4Example|52=20131125-17:35:57.272|48=CME_20131200_ESZ3|965=2|268=4|269=6|270=180125|271=2775739|269=7|270=180925|269=8|270=180100|269=L|270=167650|
 +
 +[MsgSeqNum] 34 = 5
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:57.272
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityStatus] 965 = 2 (OPEN)
 +[NoMDEntries] 268 = 4
 +[MDEntryType] 269 = 6 (SETTLEMENT_PRICE)
 +[MDEntryPx] 270 = 180125
 +[MDEntrySize] 271 = 2775739
 +[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
 +[MDEntryPx] 270 = 180925
 +[MDEntryType] 269 = 8 (TRADING_SESSION_LOW_PRICE)
 +[MDEntryPx] 270 = 180100
 +[MDEntryType] 269 = L (LIMIT_LOW_PRICE)
 +[MDEntryPx] 270 = 167650
 +</code>
 +<code>
 +Incremental Refreshes on Bid Levels 1 and 8 and Offer Levels 1 and 5
 +4 - MARKETDATAINCREMENTAL
 +34=6|49=T4|56=T4Example|52=20131125-17:35:57.944|268=4|279=1|269=0|1023=1|271=287|48=CME_20131200_ESZ3|326=2|279=1|269=0|1023=8|271=1407|279=1|269=1|1023=1|271=783|279=1|269=1|1023=5|271=1759|
 +
 +[MsgSeqNum] 34 = 6
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:57.944
 +[NoMDEntries] 268 = 4
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 0 (BID)
 +[MDPriceLevel] 1023 = 1
 +[MDEntrySize] 271 = 287
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityTradingStatus] 326 = 2 (OPEN)
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 0 (BID)
 +[MDPriceLevel] 1023 = 8
 +[MDEntrySize] 271 = 1407
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDPriceLevel] 1023 = 1
 +[MDEntrySize] 271 = 783
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDPriceLevel] 1023 = 5
 +[MDEntry
 +</code>
 +<code>
 +Incremental Refresh on Bid Level 1
 +5 - MARKETDATAINCREMENTAL
 +34=7|49=T4|56=T4Example|52=20131125-17:35:57.991|268=1|279=1|269=0|1023=1|271=294|48=CME_20131200_ESZ3|326=2|
 +
 +[MsgSeqNum] 34 = 7
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:57.991
 +[NoMDEntries] 268 = 1
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 0 (BID)
 +[MDPriceLevel] 1023 = 1
 +[MDEntrySize] 271 = 294
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityTradingStatus] 326 = 2 (OPEN)
 +</code>
 +<code>
 +Incremental Refresh on Offer Level 2
 +6 - MARKETDATAINCREMENTAL
 +34=8|49=T4|56=T4Example|52=20131125-17:35:58.303|268=1|279=1|269=1|1023=2|271=1319|48=CME_20131200_ESZ3|326=2|
 +
 +[MsgSeqNum] 34 = 8
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:58.303
 +[NoMDEntries] 268 = 1
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDPriceLevel] 1023 = 2
 +[MDEntrySize] 271 = 1319
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityTradingStatus] 326 = 2 (OPEN)
 +</code>
 +<code>
 +Incremental Refresh on Offer Level 2
 +7 - MARKETDATAINCREMENTAL
 +34=9|49=T4|56=T4Example|52=20131125-17:35:59.366|268=1|279=1|269=1|1023=2|271=1831|48=CME_20131200_ESZ3|326=2|
 +
 +[MsgSeqNum] 34 = 9
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:35:59.366
 +[NoMDEntries] 268 = 1
 +[MDUpdateAction] 279 = 1 (CHANGE)
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDPriceLevel] 1023 = 2
 +[MDEntrySize] 271 = 1831
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[SecurityTradingStatus] 326 = 2 (OPEN)
 +</code>
 +<code>
 +Trade Snapshot. 8 contracts at 180425
 +8 - MARKETDATASNAPSHOT
 +34=10|49=T4|56=T4Example|52=20131125-17:36:00.163|48=CME_20131200_ESZ3|387=617975|268=1|269=4|270=180425|271=8|273=20131125-17:36:00.235|274=2|
 +
 +[MsgSeqNum] 34 = 10
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:36:00.163
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[TotalVolumeTraded] 387 = 617975
 +[NoMDEntries] 268 = 1
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryPx] 270 = 180425
 +[MDEntrySize] 271 = 8
 +[MDEntryTime] 273 = 20131125-17:36:00.235
 +[TickDirection] 274 = 2 (MINUS_TICK)
 +</code>
 +<code>
 +Trade Snapshot. 3 contracts at 180425
 +9 - MARKETDATASNAPSHOT
 +34=11|49=T4|56=T4Example|52=20131125-17:36:00.163|48=CME_20131200_ESZ3|387=617978|268=1|269=4|270=180425|271=3|273=20131125-17:36:00.235|274=2|
 +
 +[MsgSeqNum] 34 = 11
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:36:00.163
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[TotalVolumeTraded] 387 = 617978
 +[NoMDEntries] 268 = 1
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryPx] 270 = 180425
 +[MDEntrySize] 271 = 3
 +[MDEntryTime] 273 = 20131125-17:36:00.235
 +[TickDirection] 274 = 2 (MINUS_TICK)
 +</code>
 +<code>
 +Trade Snapshot. 1 contracts at 180425
 +10 - MARKETDATASNAPSHOT
 +34=12|49=T4|56=T4Example|52=20131125-17:36:00.163|48=CME_20131200_ESZ3|387=617979|268=1|269=4|270=180425|271=1|273=20131125-17:36:00.235|274=2|
 +
 +[MsgSeqNum] 34 = 12
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SendingTime] 52 = 20131125-17:36:00.163
 +[SecurityID] 48 = CME_20131200_ESZ3
 +[TotalVolumeTraded] 387 = 617979
 +[NoMDEntries] 268 = 1
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryPx] 270 = 180425
 +[MDEntrySize] 271 = 1
 +[MDEntryTime] 273 = 20131125-17:36:00.235
 +[TickDirection] 274 = 2 (MINUS_TICK)
 +</code>
 +
 +[[developers:legacy_fix_api|T4 FIX API Home]]
  
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  • Last modified: 2025/08/15 12:30
  • by rob