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.
Felder
- EtikettName
Header
AnforderungYBeschreibungStandard header, with 35=W.
- Etikett262Name
MDReqID
AnforderungYBeschreibungThe ID of the Market Data Request that triggered sending this snapshot.
- Etikett55Name
Symbol
AnforderungYBeschreibungThe instrument symbol.
- Etikett268Name
NoMDEntries
AnforderungYBeschreibungThe number of market data entries in this message.
- Begin Repeating Group
- Etikett269Name
MDEntryType
AnforderungYBeschreibungSupported values: 0 = Bid 1 = Ask 2 = Trade
- Etikett270Name
MDEntryPx
AnforderungYBeschreibungThe market data entry price.
- Etikett271Name
MDEntrySize
AnforderungYBeschreibungThe market data entry volume.
- Etikett64Name
SettlDate
AnforderungYBeschreibungThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Etikett278Name
MDEntryID
AnforderungYBeschreibungThe unique ID for this market data.
- End Repeating Group
- EtikettName
Trailer
AnforderungY
