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 (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 |