The Market Data messages are used as the response to a Market Data Request message.
Added
FIX.4.2
Expand Components | Collapse Components
Field or Component | Field Name | Req'd | Comments | Depr. |
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Component | StandardHeader |
MsgType = W |
262 | MDReqID |
Conditionally required if this message is in response to a Market Data Request. | |||
55 | Symbol | ||||
65 | SymbolSfx | ||||
48 | SecurityID | ||||
22 | IDSource | ||||
167 | SecurityType |
Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear, PutOrCall, and StrikePrice are required. | |||
200 | MaturityMonthYear |
Specifiesthe month and year of maturity. Required if MaturityDay is specified. | |||
205 | MaturityDay |
Can be used in conjunction with MaturityMonthYear to specify a particular maturity date. | |||
201 | PutOrCall |
For Options. | |||
202 | StrikePrice |
For Options. | |||
206 | OptAttribute |
For Options. | |||
231 | ContractMultiplier |
For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be expressed in the "nominal" (e.g. contracts vs. shares) amount. | |||
223 | CouponRate |
For Fixed Income. | |||
207 | SecurityExchange |
Can be used to identify the security. | |||
106 | Issuer | ||||
348 | EncodedIssuerLen |
Must be set if EncodedIssuer field is specified and must immediately precede it. | |||
349 | EncodedIssuer |
Encoded (non-ASCII characters) representation of the Issuer field in the encoded format specified via the MessageEncoding field. | |||
107 | SecurityDesc | ||||
350 | EncodedSecurityDescLen |
Must be set if EncodedSecurityDesc field is specified and must immediately precede it. | |||
351 | EncodedSecurityDesc |
Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded format specified via the MessageEncoding field. | |||
291 | FinancialStatus | ||||
292 | CorporateAction | ||||
387 | TotalVolumeTraded |
Total volume traded in this trading session for this security. |
Repeating Group 268 | NoMDEntries |
Number of entries following. |
269 | MDEntryType |
Must be the first field in this repeating group. | |||
270 | MDEntryPx | ||||
15 | Currency |
Can be used to specify the currency of the quoted price. | |||
271 | MDEntrySize |
Conditionally required if MDEntryType = Bid(0), Offer(1), or Trade(2) | |||
272 | MDEntryDate | ||||
273 | MDEntryTime | ||||
274 | TickDirection | ||||
275 | MDMkt |
Market posting quote / trade. Valid values: See Appendix C | |||
336 | TradingSessionID | ||||
276 | QuoteCondition |
Space-delimited list of conditions describing a quote. | |||
277 | TradeCondition |
Space-delimited list of conditions describing a trade | |||
282 | MDEntryOriginator | ||||
283 | LocationID | ||||
284 | DeskID | ||||
286 | OpenCloseSettleFlag |
Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6). | |||
59 | TimeInForce |
For optional use when this Bid or Offer represents an order | |||
432 | ExpireDate |
For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry. | |||
126 | ExpireTime |
For optional use when this Bid or Offer represents an order. ExpireDate and ExpireTime cannot both be specified in one Market Data Entry. | |||
110 | MinQty |
For optional use when this Bid or Offer represents an order | |||
18 | ExecInst |
Can contain multiple instructions, space delimited. | |||
287 | SellerDays | ||||
37 | OrderID |
For optional use when this Bid, Offer, or Trade represents an order | |||
299 | QuoteEntryID |
For optional use when this Bid, Offer, or Trade represents a quote | |||
288 | MDEntryBuyer |
For optional use in reporting Trades | |||
289 | MDEntrySeller |
For optional use in reporting Trades | |||
346 | NumberOfOrders |
In an Aggregated Book, used to show how many individual orders make up an MDEntry | |||
290 | MDEntryPositionNo |
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1 | |||
58 | Text |
Text to describe the Market Data Entry. Part of repeating group. | |||
354 | EncodedTextLen |
Must be set if EncodedText field is specified and must immediately precede it. | |||
355 | EncodedText |
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field. |
end Repeating Group |
Component | StandardTrailer |
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