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.
字段
- 标签姓名
Header
要求Y描述Standard header, with 35=W.
- 标签262姓名
MDReqID
要求Y描述The ID of the Market Data Request that triggered sending this snapshot.
- 标签55姓名
Symbol
要求Y描述The instrument symbol.
- 标签268姓名
NoMDEntries
要求Y描述The number of market data entries in this message.
- Begin Repeating Group
- 标签269姓名
MDEntryType
要求Y描述Supported values: 0 = Bid 1 = Ask 2 = Trade
- 标签270姓名
MDEntryPx
要求Y描述The market data entry price.
- 标签271姓名
MDEntrySize
要求Y描述The market data entry volume.
- 标签64姓名
SettlDate
要求Y描述The Settlement date expressed as YYYYMMDD. For example, “19701231” ³
- 标签278姓名
MDEntryID
要求Y描述The unique ID for this market data.
- End Repeating Group
- 标签姓名
Trailer
要求Y
