The Market Data messages are used as the response to a Market Data Request message.
Added in protocol FIX.4.2
See in: FIX.4.2, FIX.4.4, FIX.5.0, FIX.5.0SP1, FIX.5.0SP2, FIX.5.0SP2 EP240.
| Field or Component | Name | Description | Is Required | Added | Is Deprecated |
|---|---|---|---|---|---|
| Block | StandardHeader | MsgType = W | Y | FIX.4.2 | |
| 262 | MDReqID | Conditionally required if this message is in response to a Market Data Request. | FIX.4.2 | ||
| Block | Instrument | Insert here the set of “Instrument” (symbology) fields defined in “COMMON COMPONENTS OF APPLICATION MESSAGES” | Y | FIX.4.3 | |
| 291 | FinancialStatus | FIX.4.2 | |||
| 292 | CorporateAction | FIX.4.2 | |||
| 387 | TotalVolumeTraded | Total volume traded in this trading session for this security. | FIX.4.2 | ||
| 449 | TotalVolumeTradedDate | FIX.4.3 | |||
| 450 | TotalVolumeTradedTime | FIX.4.3 | |||
| 451 | NetChgPrevDay | FIX.4.3 | |||
| 268 | NoMDEntries | Number of entries following. | Y | FIX.4.2 | |
| 269 | MDEntryType | Must be the first field in this repeating group. | Y | FIX.4.2 | |
| 270 | MDEntryPx | Conditionally required if MDEntryType is not Imbalance(A) | FIX.4.2 | ||
| 15 | Currency | Can be used to specify the currency of the quoted price. | FIX.4.2 | ||
| 271 | MDEntrySize | Conditionally required if MDEntryType = Bid(0), Offer(1), or Trade(2) | FIX.4.2 | ||
| 272 | MDEntryDate | FIX.4.2 | |||
| 273 | MDEntryTime | FIX.4.2 | |||
| 274 | TickDirection | FIX.4.2 | |||
| 275 | MDMkt | Market posting quote / trade. Valid values: See Appendix 6-C |
FIX.4.2 | ||
| 336 | TradingSessionID | FIX.4.2 | |||
| 625 | TradingSessionSubID | FIX.4.3 | |||
| 276 | QuoteCondition | Space-delimited list of conditions describing a quote. | FIX.4.2 | ||
| 277 | TradeCondition | Space-delimited list of conditions describing a trade | FIX.4.2 | ||
| 282 | MDEntryOriginator | FIX.4.2 | |||
| 283 | LocationID | FIX.4.2 | |||
| 284 | DeskID | FIX.4.2 | |||
| 286 | OpenCloseSettleFlag | Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6). | FIX.4.2 | ||
| 59 | TimeInForce | For optional use when this Bid or Offer represents an order | FIX.4.2 | ||
| 432 | ExpireDate | For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry. | FIX.4.2 | ||
| 126 | ExpireTime | For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry. | FIX.4.2 | ||
| 110 | MinQty | For optional use when this Bid or Offer represents an order | FIX.4.2 | ||
| 18 | ExecInst | Can contain multiple instructions, space delimited. | FIX.4.2 | ||
| 287 | SellerDays | FIX.4.2 | |||
| 37 | OrderID | For optional use when this Bid, Offer, or Trade represents an order | FIX.4.2 | ||
| 299 | QuoteEntryID | For optional use when this Bid, Offer, or Trade represents a quote | FIX.4.2 | ||
| 288 | MDEntryBuyer | For optional use in reporting Trades | FIX.4.2 | ||
| 289 | MDEntrySeller | For optional use in reporting Trades | FIX.4.2 | ||
| 346 | NumberOfOrders | In an Aggregated Book, used to show how many individual orders make up an MDEntry | FIX.4.2 | ||
| 290 | MDEntryPositionNo | Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1 | FIX.4.2 | ||
| 546 | Scope | FIX.4.3 | |||
| 58 | Text | Text to describe the Market Data Entry. Part of repeating group. | FIX.4.2 | ||
| 354 | EncodedTextLen | Must be set if EncodedText (355) field is specified and must immediately precede it. | FIX.4.2 | ||
| 355 | EncodedText | Encoded (non-ASCII characters) representation of the Text (58) field in the encoded format specified via the MessageEncoding (347) field. | FIX.4.2 | ||
| Block | StandardTrailer | Y | FIX.4.2 |