Market Data Snapshot (W)
Market Data Snapshots (W) represent a full snapshot of the market for a given MDReqID (252). Each snapshot replaces all the market data related to that MDReqID, regardless of whether it was sent by a Market Data Snapshot or by a Market Data Incremental Refresh (X).
Market data within the snapshot is identified by MDEntryID (278). Previously published market data (such as quotes) not included in the snapshot are implicitly deleted.
الحقول
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Header
طلبYوصفStandard header, with 35=W.
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MDReqID
طلبYوصفThe ID of the Market Data Request that triggered sending this snapshot.
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Symbol
طلبYوصفThe instrument symbol.
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NoMDEntries
طلبYوصفThe number of market data entries in this message.
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MDEntryType
طلبYوصفSupported values: 0 = Bid 1 = Ask 2 = Trade
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MDEntryPx
طلبYوصفThe market data entry price.
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MDEntrySize
طلبYوصفThe market data entry volume.
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SettlDate
طلبYوصفThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
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MDEntryID
طلبYوصفThe unique ID for this market data.
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Trailer
طلبY
