Added
FIX.4.4
Expand Components | Collapse Components
Field or Component | Field Name | FIXML name | Req'd | Comments | Depr. |
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Repeating Group 268 | NoMDEntries |
Number of entries following. |
269 | MDEntryType | @Typ |
Must be the first field in this repeating group. | |||
278 | MDEntryID | @ID |
Conditionally required when maintaining an order-depth book, that is, when AggregatedBook (266) is "N". allows subsequent Incremental changes to be applied using MDEntryID. | |||
270 | MDEntryPx | @Px |
Conditionally required if MDEntryType is not Imbalance(A) ), Trade Volume (B), or Open Interest(C); Conditionally required when MDEntryType = "auction clearing price" | |||
423 | PriceType | @PxTyp |
Component | YieldData | Yield |
Insert here the set of YieldData (yield-related) fields defined in "Common Components of Application Messages |
Component | SpreadOrBenchmarkCurveData | SprdBnchmkCurve |
Insert here the set of SpreadOrBenchmarkCurveData (Fixed Income spread or benchmark curve) fields defined in Common Components of Application Messages |
40 | OrdType | @OrdTyp |
Used to support market mechanism type; limit order, market order, committed principal order | |||
15 | Currency | @Ccy |
Can be used to specify the currency of the quoted price. | |||
120 | SettlCurrency | @SettlCcy |
Required for NDFs to specify the settlement currency (fixing currency). |
Component | RateSource | RtSrc |
271 | MDEntrySize | @Sz |
Conditionally required if MDEntryType = Bid(0), Offer(1), Trade(2) ), Trade Volume (B), or Open Interest(C) conditionally required when MDEntryType = "auction clearing price" |
Component | SecSizesGrp | SecSizesGrp |
1093 | LotType | @LotTyp |
Can be used to specify the lot type of the quoted size in order depth books. | |||
272 | MDEntryDate | @Dt | ||||
273 | MDEntryTime | @Tm | ||||
274 | TickDirection | @TickDirctn | ||||
275 | MDMkt | @Mkt |
Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C | Depr FIX.5.0 | ||
336 | TradingSessionID | @SesID | ||||
625 | TradingSessionSubID | @SesSub | ||||
326 | SecurityTradingStatus | @TrdgStat | ||||
327 | HaltReason | @HaltRsn | ||||
276 | QuoteCondition | @QCond |
Space-delimited list of conditions describing a quote. | |||
277 | TradeCondition | @TrdCond |
Space-delimited list of conditions describing a trade | |||
282 | MDEntryOriginator | @Orig | Depr FIX.5.0 | |||
283 | LocationID | @LctnID | Depr FIX.5.0 | |||
284 | DeskID | @DeskID | Depr FIX.5.0 | |||
286 | OpenCloseSettlFlag | @OpenClsSettlFlag |
Used if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6). | |||
59 | TimeInForce | @TmInForce |
For optional use when this Bid or Offer represents an order | |||
432 | ExpireDate | @ExpireDt |
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 | @ExpireTm |
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 | @MinQty |
For optional use when this Bid or Offer represents an order | |||
18 | ExecInst | @ExecInst |
Can contain multiple instructions, space delimited. | |||
287 | SellerDays | @SellerDays | ||||
37 | OrderID | @OrdID |
For optional use when this Bid, Offer, or Trade represents an order | |||
198 | SecondaryOrderID | @OrdID2 |
For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id. | |||
299 | QuoteEntryID | @EntryID |
For optional use when this Bid, Offer, or Trade represents a quote | |||
288 | MDEntryBuyer | @Buyer |
For optional use in reporting Trades | |||
289 | MDEntrySeller | @Seller |
For optional use in reporting Trades | |||
346 | NumberOfOrders | @NumOfOrds |
In an Aggregated Book, used to show how many individual orders make up an MDEntry | |||
290 | MDEntryPositionNo | @PosNo |
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1 | |||
546 | Scope | @Scope | ||||
811 | PriceDelta | @PxDelta | ||||
828 | TrdType | @TrdTyp |
Specifies trade type when a trade is being reported. Must be used when MDEntryType(269) = Trade(2). | |||
58 | Text | @Txt |
Text to describe the Market Data Entry. Part of repeating group. | |||
354 | EncodedTextLen | @EncTxtLen |
Must be set if EncodedText field is specified and must immediately precede it. | |||
355 | EncodedText | @EncTxt |
Encoded (non-ASCII characters) representation of the Text field in the encoded format specified via the MessageEncoding field. | |||
1023 | MDPriceLevel | @MDPxLvl |
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1 | |||
528 | OrderCapacity | @Cpcty |
Designates the capacity of the firm placing the order | |||
1024 | MDOriginType | @MDOrigTyp | ||||
332 | HighPx | @HighPx |
Used to report high price in association with trade, bid or ask rather than a separate entity | |||
333 | LowPx | @LowPx |
Used to report low price in association with trade, bid or ask rather than a separate entitty | |||
1025 | FirstPx | @FirstPx |
Indicates the first price of a trading session; can be a bid, ask, or trade price. | |||
31 | LastPx | @LastPx |
Indicates the last price of a trading session; can be a bid, ask, or trade price. | |||
1020 | TradeVolume | @TrdVol |
Used to report trade volume in association with trade, bid or ask rather than a separate entity | |||
63 | SettlType | @SettlTyp | ||||
64 | SettlDate | @SettlDt |
Indicates date on which instrument will settle. For NDFs required for specifying the "value date". | |||
1070 | MDQuoteType | @MDQteTyp | ||||
83 | RptSeq | @RptSeq |
Used to identify the sequence number within a feed type | |||
1048 | DealingCapacity | @DealingCpcty |
Identifies role of dealer; Agent, Principal, RisklessPrincipal | |||
1026 | MDEntrySpotRate | @MDEntrySpotRt | ||||
1027 | MDEntryForwardPoints | @MDEntryFwdPnts |
Component | Parties | Pty |
end Repeating Group |
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