====== 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