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.
Des champs
- ÉtiqueterNom
Header
DemandeYDescriptionStandard header, with 35=W.
- Étiqueter262Nom
MDReqID
DemandeYDescriptionThe ID of the Market Data Request that triggered sending this snapshot.
- Étiqueter55Nom
Symbol
DemandeYDescriptionThe instrument symbol.
- Étiqueter268Nom
NoMDEntries
DemandeYDescriptionThe number of market data entries in this message.
- Begin Repeating Group
- Étiqueter269Nom
MDEntryType
DemandeYDescriptionSupported values: 0 = Bid 1 = Ask 2 = Trade
- Étiqueter270Nom
MDEntryPx
DemandeYDescriptionThe market data entry price.
- Étiqueter271Nom
MDEntrySize
DemandeYDescriptionThe market data entry volume.
- Étiqueter64Nom
SettlDate
DemandeYDescriptionThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Étiqueter278Nom
MDEntryID
DemandeYDescriptionThe unique ID for this market data.
- End Repeating Group
- ÉtiqueterNom
Trailer
DemandeY
