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.5.0SP2, 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 | ||
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 | ||
ImplicitBlockRepeating | 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 |