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.
Поля
- ЯрлыкИмя
Header
ТребованиеYОписаниеStandard header, with 35=W.
- Ярлык262Имя
MDReqID
ТребованиеYОписаниеThe ID of the Market Data Request that triggered sending this snapshot.
- Ярлык55Имя
Symbol
ТребованиеYОписаниеThe instrument symbol.
- Ярлык268Имя
NoMDEntries
ТребованиеYОписаниеThe number of market data entries in this message.
- Begin Repeating Group
- Ярлык269Имя
MDEntryType
ТребованиеYОписаниеSupported values: 0 = Bid 1 = Ask 2 = Trade
- Ярлык270Имя
MDEntryPx
ТребованиеYОписаниеThe market data entry price.
- Ярлык271Имя
MDEntrySize
ТребованиеYОписаниеThe market data entry volume.
- Ярлык64Имя
SettlDate
ТребованиеYОписаниеThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Ярлык278Имя
MDEntryID
ТребованиеYОписаниеThe unique ID for this market data.
- End Repeating Group
- ЯрлыкИмя
Trailer
ТребованиеY
