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.
Fält
- MärkaNamn
Header
KravYBeskrivningStandard header, with 35=W.
- Märka262Namn
MDReqID
KravYBeskrivningThe ID of the Market Data Request that triggered sending this snapshot.
- Märka55Namn
Symbol
KravYBeskrivningThe instrument symbol.
- Märka268Namn
NoMDEntries
KravYBeskrivningThe number of market data entries in this message.
- Begin Repeating Group
- Märka269Namn
MDEntryType
KravYBeskrivningSupported values: 0 = Bid 1 = Ask 2 = Trade
- Märka270Namn
MDEntryPx
KravYBeskrivningThe market data entry price.
- Märka271Namn
MDEntrySize
KravYBeskrivningThe market data entry volume.
- Märka64Namn
SettlDate
KravYBeskrivningThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Märka278Namn
MDEntryID
KravYBeskrivningThe unique ID for this market data.
- End Repeating Group
- MärkaNamn
Trailer
KravY
