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.
Campos
- EtiquetaNombre
Header
RequisitoYDescripciónStandard header, with 35=W.
- Etiqueta262Nombre
MDReqID
RequisitoYDescripciónThe ID of the Market Data Request that triggered sending this snapshot.
- Etiqueta55Nombre
Symbol
RequisitoYDescripciónThe instrument symbol.
- Etiqueta268Nombre
NoMDEntries
RequisitoYDescripciónThe number of market data entries in this message.
- Begin Repeating Group
- Etiqueta269Nombre
MDEntryType
RequisitoYDescripciónSupported values: 0 = Bid 1 = Ask 2 = Trade
- Etiqueta270Nombre
MDEntryPx
RequisitoYDescripciónThe market data entry price.
- Etiqueta271Nombre
MDEntrySize
RequisitoYDescripciónThe market data entry volume.
- Etiqueta64Nombre
SettlDate
RequisitoYDescripciónThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Etiqueta278Nombre
MDEntryID
RequisitoYDescripciónThe unique ID for this market data.
- End Repeating Group
- EtiquetaNombre
Trailer
RequisitoY
