Page History: MarketData Snapshot
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Page Revision: 2013/01/22 12:40
Describing MarketsThe 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.
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. |
| 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 |
| 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 Ticks for Chart Data Request |
| 3233 | BidRealVolume | N | Bid Reak Volume for Chart Data Request |
| 3234 | BidImpliedVolume | N | Bid Implied Volume for Chart Data Request |
| 3235 | OfferTicks | N | Offer Ticks for Chart Data Request |
| 3236 | OfferRealVolume | N | Offer Real Volume for Chart Data Request |
| 3237 | OfferImpliedVolume | N | Offer Implied Volume for Chart Data Request |
| | End Repeating Group | |
| | Start Repeating Group | |
| 3238 | NoTPOs | N | Number of TPO entries to follow |
| 3239 | TPOStartTime | N | Start Time pertaining to this TPO Entry (in UTC format) |
| 3240 | TPOTicks | N | TPO Ticks for Chart Data Request |
| 3241 | TPOVolume | N | TPO Volume for Chart Data Request |
| 3242 | TPOVolumeAtBid | N | TPO Volume AtBid for Chart Data Request |
| 3243 | TPOVolumeAtOffer | N | TPO Volume AtOffer for Chart Data Request |
| 3244 | TPOIsOpening | N | TPO is opening for Chart Data Request (Y=Yes, N=No) |
| 3245 | TPOIsClosing | N | TPO is closing for Chart Data Request (Y=Yes, N=No) |
| | End Repeating Group | |
| | End Repeating Group | |
| | Standard Trailer | Y |
Sample MessagesMarket 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=test|56=T4Test|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 = test
[TargetCompID] 56 = T4Test
[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
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