The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.
Added in protocol FIX.4.2
See in: FIX.4.2, FIX.4.3, FIX.4.4, FIX.5.0, FIX.5.0SP1, FIX.5.0SP2.
| Field or Component | Name | Description | Is Required | Added | Is Deprecated |
|---|---|---|---|---|---|
| Block | StandardHeader | MsgType = W | Y | FIX.4.2 | |
| Block | ApplicationSequenceControl | FIX.5.0 | |||
| 911 | TotNumReports | Total number or reports returned in response to a request. | FIX.5.0 | ||
| 963 | MDReportID | Unique identifier for the market data report. | FIX.4.4 | ||
| 715 | ClearingBusinessDate | FIX.4.4 | |||
| 1021 | MDBookType | Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection | FIX.4.4 | ||
| 1173 | MDSubBookType | Can be used to define a subordinate book. | FIX.5.0 | ||
| 264 | MarketDepth | Can be used to define the current depth of the book. | FIX.5.0 | ||
| 1022 | MDFeedType | Describes a class of service for a given data feed, ie Regular and Market Maker | FIX.4.4 | ||
| 1683 | MDSubFeedType | FIX.5.0SP2 (EP 106) | |||
| 1187 | RefreshIndicator | FIX.5.0 | |||
| 75 | TradeDate | Used to specify the trading date for which a set of market data applies | FIX.4.4 | ||
| 262 | MDReqID | Conditionally required if this message is in response to a MarketDataRequest (V). | FIX.4.2 | ||
| 1500 | MDStreamID | FIX.5.0SP1 (EP 93) | |||
| 1301 | MarketID | FIX.5.0SP2 (EP 106) | |||
| 1300 | MarketSegmentID | FIX.5.0SP2 (EP 106) | |||
| Block | Instrument | Y | FIX.4.3 | ||
| Block | InstrumentExtension | FIX.5.0SP2 (EP 201) | |||
| Block | FinancingDetails | FIX.5.0SP2 (EP 201) | |||
| BlockRepeating | UndInstrmtGrp | FIX.4.4 | |||
| BlockRepeating | InstrmtLegGrp | Required for multileg quotes | FIX.4.4 | ||
| BlockRepeating | RelatedInstrumentGrp | FIX.5.0SP2 (EP 201) | |||
| 779 | LastUpdateTime | Y | FIX.5.0SP2 (EP 190) | ||
| 291 | FinancialStatus | FIX.4.2 | |||
| 292 | CorporateAction | FIX.4.2 | |||
| 451 | NetChgPrevDay | FIX.4.3 | |||
| 1682 | MDSecurityTradingStatus | FIX.5.0SP2 (EP 106) | |||
| 1684 | MDHaltReason | FIX.5.0SP2 (EP 106) | |||
| ImplicitBlockRepeating | MDFullGrp | Y | FIX.4.4 | ||
| 813 | ApplQueueDepth | Depth of application messages queued for transmission as of delivery of this message | FIX.4.4 | ||
| 814 | ApplQueueResolution | Action taken to resolve application queuing | FIX.4.4 | ||
| ImplicitBlockRepeating | RoutingGrp | FIX.4.4 | |||
| Block | StandardTrailer | Y | FIX.4.2 |