Table of Contents

MARKET DATA SNAPSHOT [35=W]

The Market Data Snapshot message provides complete market state including depth, trades, and statistics.

Message Structure

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: 

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|

Statistics Snapshot: 

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|

Notes