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Page History: MarketData Snapshot

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Page Revision: 2013/01/22 16:45

Describing Market Data

The T4 FIX API support streaming of market data with the Market Data Snapshot message (Tag 35=W).

The Market Data Snapshot messages are used as the response to a Market Data Request message. It can be used to transmit a list of quotes, a list of trades, index values, opening, closing, settlement, high, low, the trade volume or open interest for a security, or any combination of these. Market Data Snapshot messages sent as the result of a Market Data Request message will specify the corresponding MDReqID (Tag 262). Unsolicited Market Data Snapshot messages may also be received by a T4 FIX client.

The Market Data message format used for a Snapshot (Tag 263=0) , or a Snapshot + Updates (Tag 263=1) is as follows: For Market Data Requests where a Bid or Offer is added, changed, or deleted, every update to a Market Data Entry results in a new Market Data message that contains the entirety of the data requested for that instrument, not just the changed Market Data Entry. In other words, both sides of the market, or just one side in the case of a request of only bids or offers, for the depth requested, is sent in one Market Data Snapshot message.

Chart Data Responses

The Market Data SnapShot message also carries Chart (Time-and-Sales) Data as requested with the Market Data Request message. Chart Data details are included in the MDEntries repeating group as labeled with the MDEntryType (Tag 269). Compression of Chart Data is optional. It is indicated by the ExecInst field equal to COMPRESSED_TAGS (18=T). Compressed data is carried as a (Base-64) encoded payload in the EncodedText field (Tag 255). Once uncompressed, this payload avails the chart data through the corresponding Tag-Value pairs (Tags 3200 to 3278).


Message Dictionary

Tag	Field Name	Req'd	Comments
	Standard Header	Y
262	MDReqID	N	Identifier of Market Data Request. Conditionally required if this message is in response to a Market Data Request.
55	Symbol	N	Security Symbol. T4 Contract ID.
48	SecurityID	N	Security Identifier. T4 Market ID.
27	SecurityExchange	N	Exchange. T4 Exchange ID.
387	TotalVolumeTraded	N	Total quantity of volume traded across all levels.
	Start Repeating Group
268	NoMDEntries	Y	Number of Market Data entries to follow
269	MDEntryType	Y	Market Data Entry Type. Must be the first field in this repeating group. Valid values are:
			0 = Bid
			1 = Offer
			2 = Implied Bid
			3 = Implied Offer
			4 = Last Trade
			6 = Settlement
			7 = Session High
			8 = Session Low
			K = Limit High
			L = Limit Low
			B = Trade Volume
			X = Chart Data (Single day with a sesson time span)
			Y = Chart Data Batch (Mutiple days with a session time span)
			Z = Chart Data Contract (Single day Total Traded Volume for all markets of a contract)
			U = Chart Data Day (Mutiple days with no session time span)
270	MDEntryPx	N	Entry Price.
271	MDEntrySize	N	Entry Size (or Volume).
1023	MDEntryLevel	N	Book level this entry pertains to; an integer value from 1 to 10.
18	ExecInst	N	Execution Instruction as pertaining to the Compression Data Format. Valid Values are:
			T = COMPRESSED_TAGS
			U = UNCOMPRESSED
965	SecurityStatus	N	Status of Market Data Request for Chart Data.
			0 = Success
			1 = Failed
			2 = Exceeds Limit
			3 = No Permission
3200	TradeDateStart	N	Start Date of multiple-day Chart Data request. Used for SubscriptionRequestTypes of TIMEANDSALES_DATA_BATCH (263=4) and TIMEANDSALES_DATA_DAY (263=6).
3201	TradeDateEnd	N	End Date of multiple-day Chart Data request. Used for SubscriptionRequestTypes of TIMEANDSALES_DATA_BATCH (263=4) and TIMEANDSALES_DATA_DAY (263=6).
3202	SessionStartTime	N	Start of Session for a user-defined time-span of a Chart Data request. Used for SubscriptionRequestTypes of TIMEANDSALES_DATA_BATCH (263=4) and TIMEANDSALES_DATA (263=3).
3203	SessionEndTime	N	End of Session for a user-defined time-span of a Chart Data request. Used for SubscriptionRequestTypes of TIMEANDSALES_DATA_BATCH (263=4) and TIMEANDSALES_DATA (263=3).
3204	ChartType	N	Chart Type as pertaining to the (time) granularity of Chart Data Snapshot responses. Valid values are:
			0 = Tick
			1 = Second
			2 = Minute
			3 = Hour
			4 = Day
			5 = TPO
			6 = TickChange
3205	DataFormat	N	Internal Data Format of Chart Data. For development information only. Valid values are:
			0 = CVS
			1 = T4C
			2 = T4Bin
3206	Numerator	N	Price Numerator of security
3207	Denominator	N	Price Denominator of security
3208	PriceCode	N	Internal Price code of security
3209	TickValue	N	Price Tick Value of security
	Start Repeating Group
3210	NoTradeDates	N	Number of Trade Date entries to follow
3211	TradeDate	N	Trade Date for Chart Data Request (in UTC format)
	End Repeating Group
	Start Repeating Group
3212	NoMarketModes	N	Number of Market Mode entries to follow
3213	Time	N	Date-Time pertaining to this Market Mode Entry (in UTC format)
3214	MarketMode	N	Market Mode for Chart Data Request
	End Repeating Group
	Start Repeating Group
3215	NoSettlements	N	Number of Settlement entries to follow
3216	Time	N	Date-Time pertaining to this Settlement Entry (in UTC format)
3217	Settlement	N	Settlement for Chart Data Request
	End Repeating Group
	Start Repeating Group
3218	NoHeldSettlements	N	Number of Held Settlement entries to follow
3219	Time	N	Time pertaining to this Held Settlement Entry (in UTC format)
3220	HeldSettlement	N	Held Settlement for Chart Data Request
	End Repeating Group
	Start Repeating Group
3221	NoOpenInterests	N	Number of Open Interest entries to follow
3222	Time	N	Time pertaining to this Open Interest Entry (in UTC format)
3223	OpenInterest	N	Open Interest for Chart Data Request
	End Repeating Group
	Start Repeating Group
3224	NoClearedVolumes	N	Number of Cleared Volume entries to follow
3225	Time	N	Time pertaining to this Cleared Volume Entry (in UTC format)
3226	ClearedVolume	N	Cleared Volume for Chart Data Request
	End Repeating Group
	Start Repeating Group
3227	NoVWAPs	N	Number of Volume Weighted Average Pricing (VWAP) entries to follow
3228	Time	N	Time pertaining to this VWAP Entry (in UTC format)
3229	VWAP	N	VWAP for Chart Data Request
	End Repeating Group
	Start Repeating Group
3230	NoQuotes	N	Number of Quote entries to follow
3231	Time	N	Time pertaining to this Quote Entry (in UTC format)
3232	BidTicks	N	Bid Price in Ticks
3233	BidRealVolume	N	Bid Real Volume
3234	BidImpliedVolume	N	Bids Implied Volume of Quote
3235	OfferTicks	N	Offer Price in Ticks
3236	OfferRealVolume	N	Offer Real Volume
3237	OfferImpliedVolume	N	Offers Implied Volume of Quote
	End Repeating Group
	Start Repeating Group
3238	NoTPOs	N	Number of TPO (Time Price Opportunity) entries to follow
3239	TPOStartTime	N	Start Time pertaining to this TPO Entry (in UTC format)
3240	TPOTicks	N	Price Ticks of TPO
3241	TPOVolume	N	Volume of TPO
3242	TPOVolumeAtBid	N	Volume at the Bid
3243	TPOVolumeAtOffer	N	Volume at the Offer
3244	TPOIsOpening	N	Transaction is opening for TPO (Y=Yes, N=No)
3245	TPOIsClosing	N	Transaction is closing for TPO (Y=Yes, N=No)
	End Repeating Group
	Start Repeating Group
3238	No Trades	N	Number of Trade entries to follow
3239	Time	N	Start Time pertaining to this Trade Entry (in UTC format)
3240	TickValue	N	Price Tick Value for Chart Data Request
3241	TotalTradedVolume	N	Trade Volume for Chart Data Request
3242	DueToSpread	N	Whether the TPO corresponds to a Spread Strategy (Y=Yes, N=No)
3243	AtBidOrOffer	N	At Bid or Offer Transaction Type. Valid values are:
			1 = Buy
			2 = Sell
	End Repeating Group
	Start Repeating Group
3253	NoTradeBars	N	Number of Trade Bar entries to follow
3254	BarStartTime	N	Start Time for this TradeBar Entry (in UTC format)
3255	BarCloseTime	N	Close Time for this TradeBar Entry (in UTC format)
3256	BarOpenTicks	N	TradeBar Open Price in Ticks
3257	BarHighTicks	N	TradeBar High Price in Ticks
3258	BarLowTicks	N	TradeBar Low Price in Ticks
3259	BarCloseTicks	N	TradeBar Close Price in Ticks
3260	BarVolume	N	TradeBar Total Volume
3261	BarBidVolume	N	TradeBar Bid Volume
3262	BarOfferVolume	N	TradeBar Offer Volume
3263	BarTradeCount	N	Total number of trades for this TradeBar
3264	BarTradesAtBid	N	Number of Trades at Bid for this TradeBar
3265	BarTradesAtOffer	N	Number of Trades at Offer for this TradeBar
	End Repeating Group
	Start Repeating Group
3266	NoTickChanges	N	Number of Tick Change entries to follow
3267	BarStartTime	N	Start Time for this Tick Change Entry (in UTC format)
3268	BarCloseTime	N	Close Time for this Tick Change Entry (in UTC format)
3269	BarVolume	N	TickChange Total Volume
3270	BarBidVolume	N	TickChange Bid Volume
3271	BarOfferVolume	N	TickChange Offer Volume
3272	BarTradeCount	N	Total number of trades for this TickChange
3273	BarTradesAtBid	N	Number of Trades at Bid for this TickChange
3274	BarTradesAtOffer	N	Number of Trades at Offer for this TickChange
	End Repeating Group
	Start Repeating Group
3275	NoTrades	N	Number of RFQ (Request For Quote) entries to follow
3276	Time	N	Start Time pertaining to this RFQ (in UTC format)
3277	BuySell	N	Transaction Type for this RFQ. Valid values are:
			1 = Buy
			2 = Sell
3278	Volume	N	Volume for this RFQ
	End Repeating Group
354	EncodedTextLength	N	Length of Encoded Text.
355	EncodedText	N	Chart Data Only. Base-64 encoded text of compressed Chart Data tags. For the COMPRESSED_TAGS data format (Tag 18=T), it carries the encoded tag-value pairs of all Chart Data tags (Tag 3200 to Tag 3278 above).
	End Repeating Group
	Standard Trailer	Y

Sample Messages

Market Data Snapshot of Market with a 1 book level (Top of Book)

<< 10/11/2012 2:58:04 PM  [fixmarketdatasnapshot] 34=11479|49=T4|56=T4Example|50=T4FIX|52=20121011-19:58:03.971|55=ZT|48=CME_20121200_ZTZ2|207=CME_F|387=4785|268=5|269=0|270=110.203125|271=224|1023=1|269=1|270=110.21875|271=326|1023=1|269=2|270=110.1875|271=1|1023=1|269=3|270=110.21875|271=3|1023=1|269=4|270=110.2109375|271=1|
[FIXMARKETDATASNAPSHOT]
[MsgSeqNum] 34 = 11479
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121011-19:58:03.971
[Symbol] 55 = ZT
[SecurityID] 48 = CME_20121200_ZTZ2
[SecurityExchange] 207 = CME_F
[TotalVolumeTraded] 387 = 4785
[NoMDEntries] 268 = 5
[MDEntryType] 269 = 0 (BID)
[MDEntryPx] 270 = 110.203125
[MDEntrySize] 271 = 224
[MDPriceLevel] 1023 = 1
[MDEntryType] 269 = 1 (OFFER)
[MDEntryPx] 270 = 110.21875
[MDEntrySize] 271 = 326
[MDPriceLevel] 1023 = 1
[MDEntryType] 269 = 2 (IMPLIED_BID)
[MDEntryPx] 270 = 110.1875
[MDEntrySize] 271 = 1
[MDPriceLevel] 1023 = 1
[MDEntryType] 269 = 3 (IMPLIED_OFFER)
[MDEntryPx] 270 = 110.21875
[MDEntrySize] 271 = 3
[MDPriceLevel] 1023 = 1
[MDEntryType] 269 = 4 (TRADE)
[MDEntryPx] 270 = 110.2109375
[MDEntrySize] 271 = 1

Market Data Snapshot for non-book entries

<< 10/11/2012 2:58:04 PM  [fixmarketdatasnapshot] 34=11480|49=T4Example|56=T4|50=T4FIX|52=20121011-19:58:04.002|55=ZT|48=CME_20121200_ZTZ2|207=CME_F|268=22|269=6|270=110.21875|269=7|270=110.21875|269=7|270=110|269=B|270=0|271=4785|1023=0|269=B|270=110|271=260|1023=1|269=B|270=110.0078125|271=10|1023=2|269=B|270=110.0234375|271=10|1023=3|269=B|270=110.0390625|271=80|1023=4|269=B|270=110.0546875|271=10|1023=5|269=B|270=110.0703125|271=10|1023=6|269=B|270=110.0859375|271=10|1023=7|269=B|270=110.1015625|271=10|1023=8|269=B|270=110.1171875|271=10|1023=9|269=B|270=110.1328125|271=25|1023=10|269=B|270=110.1484375|271=20|1023=11|269=B|270=110.15625|271=50|1023=12|269=B|270=110.1640625|271=35|1023=13|269=B|270=110.1796875|271=25|1023=14|269=B|270=110.1953125|271=156|1023=15|269=B|270=110.203125|271=21|1023=16|269=B|270=110.2109375|271=4012|1023=17|269=B|270=110.21875|271=31|1023=18|
[FIXMARKETDATASNAPSHOT]
[MsgSeqNum] 34 = 11480
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20121011-19:58:04.002
[Symbol] 55 = ZT
[SecurityID] 48 = CME_20121200_ZTZ2
[SecurityExchange] 207 = CME_F
[NoMDEntries] 268 = 22
[MDEntryType] 269 = 6 (SETTLEMENT_PRICE)
[MDEntryPx] 270 = 110.21875
[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
[MDEntryPx] 270 = 110.21875
[MDEntryType] 269 = 7 (TRADING_SESSION_HIGH_PRICE)
[MDEntryPx] 270 = 110
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 0
[MDEntrySize] 271 = 4785
[MDPriceLevel] 1023 = 0
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110
[MDEntrySize] 271 = 260
[MDPriceLevel] 1023 = 1
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0078125
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 2
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0234375
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 3
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0390625
[MDEntrySize] 271 = 80
[MDPriceLevel] 1023 = 4
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0546875
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 5
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0703125
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 6
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.0859375
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 7
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1015625
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 8
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1171875
[MDEntrySize] 271 = 10
[MDPriceLevel] 1023 = 9
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1328125
[MDEntrySize] 271 = 25
[MDPriceLevel] 1023 = 10
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1484375
[MDEntrySize] 271 = 20
[MDPriceLevel] 1023 = 11
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.15625
[MDEntrySize] 271 = 50
[MDPriceLevel] 1023 = 12
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1640625
[MDEntrySize] 271 = 35
[MDPriceLevel] 1023 = 13
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1796875
[MDEntrySize] 271 = 25
[MDPriceLevel] 1023 = 14
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.1953125
[MDEntrySize] 271 = 156
[MDPriceLevel] 1023 = 15
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.203125
[MDEntrySize] 271 = 21
[MDPriceLevel] 1023 = 16
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.2109375
[MDEntrySize] 271 = 4012
[MDPriceLevel] 1023 = 17
[MDEntryType] 269 = B (TRADE_VOLUME)
[MDEntryPx] 270 = 110.21875
[MDEntrySize] 271 = 31
[MDPriceLevel] 1023 = 18

Chart Data Response (UnCompressed)

<< 01/22/2013 04:28:54.420 PM  [fixmarketdatasnapshot] 34=403|49=T4Example|56=T4|50=T4FIX|52=20130122-22:28:54.420|262=mdc-1/22/2013 4:28:54 PM-0|55=ZC|48=LVCME_20130700_ZCN3|207=LVCME_C|965=0|3200=20120926-05:00:00.000|3201=20120926-05:00:00.000|3202=20120926-16:12:00.000|3203=20120926-16:14:00.000|3204=2|3205=2|268=1|269=Y|75=20120926-05:00:00.000|3206=25|3207=100|3208=MC|3209=12.5|3210=1|3211=20120926-05:00:00.000|3212=6|3213=20120925-21:59:30.005|3214=6|3213=20120925-22:00:00.145|3214=2|3213=20120926-19:00:00.002|3214=7|3213=20120926-19:30:00.018|3214=1|3213=20120926-21:00:00.014|3214=5|3213=20120926-21:45:00.037|3214=1|3215=1|3216=20120926-19:15:05.458|3217=72150|3218=1|3219=20120926-19:15:05.458|3220=72150|3221=2|3222=20120926-06:08:57.601|3223=111873|3222=20120926-13:30:49.811|3223=111854|3224=1|3225=20120926-06:08:57.601|3226=9310|3253=2|3254=20120926-16:12:00.000|3255=20120926-16:12:58.488|3256=72125|3257=72125|3258=72125|3259=72125|3260=2|3261=0|3262=2|3263=2|3264=0|3265=2|3254=20120926-16:13:00.000|3255=20120926-16:13:48.918|3256=72125|3257=72125|3258=72100|3259=72125|3260=29|3261=12|3262=17|3263=28|3264=11|3265=17|
[FIXMARKETDATASNAPSHOT]
[MsgSeqNum] 34 = 403
[SenderCompID] 49 = T4Example
[TargetCompID] 56 = T4
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130122-22:28:54.420
[MDReqID] 262 = mdc-1/22/2013 4:28:54 PM-0
[Symbol] 55 = ZC
[SecurityID] 48 = LVCME_20130700_ZCN3
[SecurityExchange] 207 = LVCME_C
[SecurityStatus] 965 = 0 (SUCCESS)
[TradeDateStart] 3200 = 20120926-05:00:00.000
[TradeDateEnd] 3201 = 20120926-05:00:00.000
[SessionStartTime] 3202 = 20120926-16:12:00.000
[SessionEndTime] 3203 = 20120926-16:14:00.000
[ChartType] 3204 = 2 (MINUTE)
[DataFormat] 3205 = 2 (T4BIN)
[NoMDEntries] 268 = 1
[MDEntryType] 269 = Y (CHART_DATA_BATCH)
[TradeDate] 75 = 20120926-05:00:00.000
[Numerator] 3206 = 25
[Denominator] 3207 = 100
[PriceCode] 3208 = MC
[TickValue] 3209 = 12.5
[NoTradeDates] 3210 = 1
[TradeDate] 3211 = 20120926-05:00:00.000
[NoMarketModes] 3212 = 6
[MarketModeTime] 3213 = 20120925-21:59:30.005
[MarketMode] 3214 = 6 (SUSPENDED)
[MarketModeTime] 3213 = 20120925-22:00:00.145
[MarketMode] 3214 = 2 (OPEN)
[MarketModeTime] 3213 = 20120926-19:00:00.002
[MarketMode] 3214 = 7 (HALTED)
[MarketModeTime] 3213 = 20120926-19:30:00.018
[MarketMode] 3214 = 1 (PRE_OPEN)
[MarketModeTime] 3213 = 20120926-21:00:00.014
[MarketMode] 3214 = 5 (CLOSED)
[MarketModeTime] 3213 = 20120926-21:45:00.037
[MarketMode] 3214 = 1 (PRE_OPEN)
[NoSettlement] 3215 = 1
[SettlementTime] 3216 = 20120926-19:15:05.458
[Settlement] 3217 = 72150
[NoHeldSettlement] 3218 = 1
[HeldSettlementTime] 3219 = 20120926-19:15:05.458
[HeldSettlement] 3220 = 72150
[NoOpenInterest] 3221 = 2
[OpenInterestTime] 3222 = 20120926-06:08:57.601
[OpenInterest] 3223 = 111873
[OpenInterestTime] 3222 = 20120926-13:30:49.811
[OpenInterest] 3223 = 111854
[NoClearedVolume] 3224 = 1
[ClearedVolumeTime] 3225 = 20120926-06:08:57.601
[ClearedVolume] 3226 = 9310
[NoTradeBar] 3253 = 2
[BarStartTime] 3254 = 20120926-16:12:00.000
[BarCloseTime] 3255 = 20120926-16:12:58.488
[BarOpenTicks] 3256 = 72125
[BarHighTicks] 3257 = 72125
[BarLowTicks] 3258 = 72125
[BarCloseTicks] 3259 = 72125
[BarVolume] 3260 = 2
[BarBidVolume] 3261 = 0
[BarOfferVolume] 3262 = 2
[BarTradeCount] 3263 = 2
[BarTradesAtBid] 3264 = 0
[BarTradesAtOffer] 3265 = 2
[BarStartTime] 3254 = 20120926-16:13:00.000
[BarCloseTime] 3255 = 20120926-16:13:48.918
[BarOpenTicks] 3256 = 72125
[BarHighTicks] 3257 = 72125
[BarLowTicks] 3258 = 72100
[BarCloseTicks] 3259 = 72125
[BarVolume] 3260 = 29
[BarBidVolume] 3261 = 12
[BarOfferVolume] 3262 = 17
[BarTradeCount] 3263 = 28
[BarTradesAtBid] 3264 = 11
[BarTradesAtOffer] 3265 = 17

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