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
- EtiquetaNome
Header
RequeridoYDescriçãoStandard header, with 35=W.
- Etiqueta262Nome
MDReqID
RequeridoYDescriçãoThe ID of the Market Data Request that triggered sending this snapshot.
- Etiqueta55Nome
Symbol
RequeridoYDescriçãoThe instrument symbol.
- Etiqueta268Nome
NoMDEntries
RequeridoYDescriçãoThe number of market data entries in this message.
- Begin Repeating Group
- Etiqueta269Nome
MDEntryType
RequeridoYDescriçãoSupported values: 0 = Bid 1 = Ask 2 = Trade
- Etiqueta270Nome
MDEntryPx
RequeridoYDescriçãoThe market data entry price.
- Etiqueta271Nome
MDEntrySize
RequeridoYDescriçãoThe market data entry volume.
- Etiqueta64Nome
SettlDate
RequeridoYDescriçãoThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Etiqueta278Nome
MDEntryID
RequeridoYDescriçãoThe unique ID for this market data.
- End Repeating Group
- EtiquetaNome
Trailer
RequeridoY
