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
- ТегІм'я
Header
Вим.YОписStandard header, with 35=W.
- Тег262Ім'я
MDReqID
Вим.YОписThe ID of the Market Data Request that triggered sending this snapshot.
- Тег55Ім'я
Symbol
Вим.YОписThe instrument symbol.
- Тег268Ім'я
NoMDEntries
Вим.YОписThe number of market data entries in this message.
- Begin Repeating Group
- Тег269Ім'я
MDEntryType
Вим.YОписSupported values: 0 = Bid 1 = Ask 2 = Trade
- Тег270Ім'я
MDEntryPx
Вим.YОписThe market data entry price.
- Тег271Ім'я
MDEntrySize
Вим.YОписThe market data entry volume.
- Тег64Ім'я
SettlDate
Вим.YОписThe Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- Тег278Ім'я
MDEntryID
Вим.YОписThe unique ID for this market data.
- End Repeating Group
- ТегІм'я
Trailer
Вим.Y
