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 EP240.

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 indentifier for 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
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 Market Data Request. FIX.4.2
1500 MDStreamID FIX.5.0SP1 (EP 93)
Block Instrument Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages" Y FIX.4.3
OptimisedImplicitBlockRepeating UndInstrmtGrp Number of underlyings FIX.4.4
OptimisedImplicitBlockRepeating InstrmtLegGrp Required for multileg quotes FIX.4.4
291 FinancialStatus FIX.4.2
292 CorporateAction FIX.4.2
451 NetChgPrevDay FIX.4.3
ImplicitBlockRepeating MDFullGrp Number of entries following. 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