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FIX Adapter Reference

Market Data Snapshot/Full Refresh (W)

Purpose

Used to return a snapshot of market prices

Message Direction

From TT FIX Adapter to FIX client

Message Availability

Use CasePrice SessionOrder Session

Drop Copy

Yes No

Order Routing

Yes No

Supported Tags

Tag # Field Name Req’d Comments
Component Block <Standard Header> Y 35=W (MsgType)
262 MDReqID Y

Unique ID matching the incoming request ID, sent in Tag 262 (MDReqID) in the Market Data Request (V) request.

TT FIX Adapter returns this ID in all responses corresponding to the Market Data Request (V) request.

Data type: String

Component Block <Instrument> Y

For tags that you include in the Instrument Component Block and any restrictions in their use, refer to Component block: Instrument (TT FIX Adapter response).

387 TotalVolumeTraded C

Total volume traded during the current trading session for this instrument.

Data type: Qty

Condition:Sent if available

18210 PriceFeedStatus C

Current state of the price feed. Valid values include:

  • 0: Price feed is unavailable
  • 1: Price feed is available

Data type: int

Condition: Sent only when all of the following are true:

  • TT FIX Adapter retrieves the market data from a price proxy environment.
  • The status of the Price Feed changes.
268 NoMDEntries Y

Number of market data entries in the message. Starts the repeating group.

Data type: NumInGroup

 

Market data entries repeating group

  269 MDEntryType Y

Type of market data to request. Valid values include:

  • 0: Bid
  • 1: Ask
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session low price
  • A: Imbalance
  • P: Workup state
  • Y: Implied bid
  • Z: Implied ask
  • m: OTC trade
  • n: Market bid
  • o: Market ask
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask
  • t: Indicative settlement

Data type: char

  270 MDEntryPx C

Price of the instrument associated with this entry. Interpret the value based on the entry type.

Data type: Price

Condition: Required unless Tag 269 (MDEntryType)= A (Imbalance), n (Market bid), or o (Market ask).

  271 MDEntrySize C

Quantity associated with the related instrument.

Data type: Qty

Condition: Sent when Tag 269 (MDEntryType) contains:

  • 0: Bid
  • 1: Offer
  • 2: Trade
  • A: Imbalance
  • Y: Implied bid
  • Z: Implied ask
  • n: Market bid
  • o: Market ask
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask

Note: Some gateways do not send this tag when Tag 269 (MDEntryType) = 2 (Trade), p (Indicative Open), q (Indicative close), r (Indicative bid), or s (Indicative ask). For more information, refer to the appropriate TT Gateway System Administration Manual.

  290 MDEntryPositionNo C

Position of the MD price level in relation to the best bid / best offer (1 being the best).

Data type: int

Condition: Tag 269 (MDEntryType) is either 0 (bid), 1 (offer), Y (implied bid), or Z (implied offer)

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1. The FIX client must determine where the new price belongs based on Tag 270 (MDEntryPx).

  198 SecondaryOrderID C

Unique identifier for the order (assigned by the exchange), based on the following:

  • When Tag 16486 (MDEntryState) = 1 (Open Workup) and Tag 269 (MDEntryType) = 0 (Bid), the value represents the order ID of the best bid at the top of the queue.
  • When Tag 16486 (MDEntryState) = 1 (Open Workup) and Tag 269 (MDEntryType) = 1 (Offer), the value represents the order ID of the best offer at the top of the queue.
  • When Tag 16486 (MDEntryState) = (2,4), the value represents the order ID of the workup owner of the ask side. In this situation, the order ID of the work owner on the bid side is the one that was provided in a prior update as the order ID at the top of the queue. (Note: if all offers at the workup price are fully filled, this tag contains the order ID of the best offer at the top of the queue.)
  • When Tag 16486 (MDEntryState) = (3,5), the value represents the order ID of the workup owner on the bid side. In this situation, the order ID of the workup owner on the ask side is the one that was provided as the order ID of the best ask at the top of the queue. (Note: if all bids at the workup price are fully filled, this tag contains the order ID of the best bid at the top of the queue.)

Data type: string

Condition: Sent only when Tag 16486 (MDEntryState) is provided.

Note: Only the TT BrokerTec Gateway supports this tag.

  16486 MDEntryState C

Current state of a workup order. Valid values include:

  • 1: Open workup
  • 2: Public workup where the aggressor hit the bid
  • 3: Public workup where the aggressor took the ask
  • 4: Private workup where the aggressor hit the bid
  • 5: Private workup where the aggressor took the ask

Data type: int

Condition: Sent only for workup markets

Note: Currently TT FIX Adapter supports BrokerTec workup markets.

  277 TradeCondition C

Whether the quantity represented in Tag 271 (MDEntrySize) represents an imbalance with more buyers or an imbalance with more sellers. Valid values include:

  • P: Imbalance More Buyers (Cannot be used in combination with Q)
  • Q: Imbalance More Sellers (Cannot be used in combination with P)

Data type: MultipleValueString

Condition: Sent when Tag 269 (MDEntryType) = A (Imbalance).

 

346

NumberOfOrders

C

Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.

Data type: int

Condition: Sent only when all of the following are true:

  • Tag 18214 (IncludeNumberOfOrders) was set to Y on the Market Data Request (V) message.
  • Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).
  • The TT Gateway provides this information.
Note: Supported only for the TT OSE Gateway.
 

16489

ExactNumOrdersIndicator

C

Whether the number of orders specified in Tag 346 (NumberOfOrders) represents an exact or inexact value.

  • Y: Exact
  • N: Inexact

Data type: Boolean

Condition: Sent only when all of the following are true:

  • Tag 18214 (IncludeNumberOfOrders) was set to Y on the Market Data Request (V) message.
  • Tag 346 (NumberOfOrders) is provided.
  • The TT Gateway provides this information.
Note: Supported only for the TT OSE Gateway.
Component Block <Standard Trailer> Y  

Message Notes

The Market Data Snapshot Full Refresh (W) message is used by TT FIX Adapter to respond to a Market Data Request (V) in the following cases:

  • One time, immediately after an incremental subscription before getting the initial incremental updates.
  • Tag 263 (SubscriptionRequestType) in the request is 0, indicating the client wants a single market snapshot.
  • Tag 263 (SubscriptionRequestType) in the request is 1 and Tag 265 (MDUpdateType) is 0, indicating the client subscribed to full market updates.

Related Information

Market Data - Incremental Refresh (X)

Market Data Request (V)

Market Data Request Reject (Y)