developers:fixapi.marketdatasnapshotfullrefresh

Differences

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

Link to this comparison view

Next revision		 Previous revision
developers:fixapi.marketdatasnapshotfullrefresh [2025/08/14 12:31] – created robdevelopers:fixapi.marketdatasnapshotfullrefresh [2025/08/14 12:33] (current) – rob
Line 39: Line 39:
 | 3301 | OrderVolumes | N | Order Volumes that make up a trade (if available). Only applicable to MDEntryType = 4. Volumes separated by semicolon (";"). | | 3301 | OrderVolumes | N | Order Volumes that make up a trade (if available). Only applicable to MDEntryType = 4. Volumes separated by semicolon (";"). |
 | Standard Trailer | Y |   | | Standard Trailer | Y |   |
 +
 +Sample Messages
 +
 +Market Data Snapshot of Market with a 1 book level (Top of Book)
 +<code>
 +<< 10/11/2012 2:58:04 PM  [fixmarketdatasnapshot] 34=11479|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|
 +[FIXMARKETDATASNAPSHOT]
 +[MsgSeqNum] 34 = 11479
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20121011-19:58:03.971
 +[Symbol] 55 = ZT
 +[SecurityID] 48 = CME_20121200_ZTZ2
 +[SecurityExchange] 207 = CME_F
 +[TotalVolumeTraded] 387 = 4785
 +[NoMDEntries] 268 = 5
 +[MDEntryType] 269 = 0 (BID)
 +[MDEntryPx] 270 = 110.203125
 +[MDEntrySize] 271 = 224
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 1 (OFFER)
 +[MDEntryPx] 270 = 110.21875
 +[MDEntrySize] 271 = 326
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 2 (IMPLIED_BID)
 +[MDEntryPx] 270 = 110.1875
 +[MDEntrySize] 271 = 1
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 3 (IMPLIED_OFFER)
 +[MDEntryPx] 270 = 110.21875
 +[MDEntrySize] 271 = 3
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = 4 (TRADE)
 +[MDEntryPx] 270 = 110.2109375
 +[MDEntrySize] 271 = 1
 +</code>
 +Market Data Snapshot for non-book entries
 +<code>
 +<< 10/11/2012 2:58:04 PM  [fixmarketdatasnapshot] 34=11480|49=T4|56=T4Example|50=T4FIX|52=20121011-19:58:04.002|55=ZT|48=CME_20121200_ZTZ2|207=CME_F|268=22|269=6|270=110.21875|269=7|270=110.21875|269=7|270=110|269=B|270=0|271=4785|1023=0|269=B|270=110|271=260|1023=1|269=B|270=110.0078125|271=10|1023=2|269=B|270=110.0234375|271=10|1023=3|269=B|270=110.0390625|271=80|1023=4|269=B|270=110.0546875|271=10|1023=5|269=B|270=110.0703125|271=10|1023=6|269=B|270=110.0859375|271=10|1023=7|269=B|270=110.1015625|271=10|1023=8|269=B|270=110.1171875|271=10|1023=9|269=B|270=110.1328125|271=25|1023=10|269=B|270=110.1484375|271=20|1023=11|269=B|270=110.15625|271=50|1023=12|269=B|270=110.1640625|271=35|1023=13|269=B|270=110.1796875|271=25|1023=14|269=B|270=110.1953125|271=156|1023=15|269=B|270=110.203125|271=21|1023=16|269=B|270=110.2109375|271=4012|1023=17|269=B|270=110.21875|271=31|1023=18|
 +[FIXMARKETDATASNAPSHOT]
 +[MsgSeqNum] 34 = 11480
 +[SenderCompID] 49 = T4
 +[TargetCompID] 56 = T4Example
 +[SenderSubID] 50 = T4FIX
 +[SendingTime] 52 = 20121011-19:58:04.002
 +[Symbol] 55 = ZT
 +[SecurityID] 48 = CME_20121200_ZTZ2
 +[SecurityExchange] 207 = CME_F
 +[NoMDEntries] 268 = 22
 +[MDEntryType] 269 = 6 (SETTLEMENT_PRICE)
 +[MDEntryPx] 270 = 110.21875
 +[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
 +[MDEntryPx] 270 = 110.21875
 +[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
 +[MDEntryPx] 270 = 110
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 0
 +[MDEntrySize] 271 = 4785
 +[MDPriceLevel] 1023 = 0
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110
 +[MDEntrySize] 271 = 260
 +[MDPriceLevel] 1023 = 1
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0078125
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 2
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0234375
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 3
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0390625
 +[MDEntrySize] 271 = 80
 +[MDPriceLevel] 1023 = 4
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0546875
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 5
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0703125
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 6
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.0859375
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 7
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1015625
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 8
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1171875
 +[MDEntrySize] 271 = 10
 +[MDPriceLevel] 1023 = 9
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1328125
 +[MDEntrySize] 271 = 25
 +[MDPriceLevel] 1023 = 10
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1484375
 +[MDEntrySize] 271 = 20
 +[MDPriceLevel] 1023 = 11
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.15625
 +[MDEntrySize] 271 = 50
 +[MDPriceLevel] 1023 = 12
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1640625
 +[MDEntrySize] 271 = 35
 +[MDPriceLevel] 1023 = 13
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1796875
 +[MDEntrySize] 271 = 25
 +[MDPriceLevel] 1023 = 14
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.1953125
 +[MDEntrySize] 271 = 156
 +[MDPriceLevel] 1023 = 15
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.203125
 +[MDEntrySize] 271 = 21
 +[MDPriceLevel] 1023 = 16
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.2109375
 +[MDEntrySize] 271 = 4012
 +[MDPriceLevel] 1023 = 17
 +[MDEntryType] 269 = B (TRADE_VOLUME)
 +[MDEntryPx] 270 = 110.21875
 +[MDEntrySize] 271 = 31
 +[MDPriceLevel] 1023 = 18
 +</code>
 +
 +
 +[[developers:legacy_fix_api|T4 FIX API Home]]
  
  • developers/fixapi.marketdatasnapshotfullrefresh.1755174667.txt.gz
  • Last modified: 2025/08/14 12:31
  • by rob