Welcome Guest, you are in: <root>T4 Admin GuideT4 AndroidT4 APIT4 API 40T4 API FIXT4 Chart Scripting GuideT4 Client FAQT4 Client GuideT4 iOST4 MobileT4 VideosT4 WebTrader • Login

Page History: MarketData Snapshot

Compare Page Revisions

130 129 128 127 126 125 124 123 122 121 120 119 118 117 116 115 114 113 112 111 110 109 108 107 106 105 104 103 102 101 100 99 98 97 96 95 94 93 92 91 90 89 88 87 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 50 49 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0 Current 130 129 128 127 126 125 124 123 122 121 120 119 118 117 116 115 114 113 112 111 110 109 108 107 106 105 104 103 102 101 100 99 98 97 96 95 94 93 92 91 90 89 88 87 86 85 84 83 82 81 80 79 78 77 76 75 74 73 72 71 70 69 68 67 66 65 64 63 62 61 60 59 58 57 56 55 54 53 52 51 50 49 48 47 46 45 44 43 42 41 40 39 38 37 36 35 34 33 32 31 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10 9 8 7 6 5 4 3 2 1 0

« Older Revision - Back to Page History - Newer Revision »

Page Revision: 2013/01/22 12:58

Describing Markets

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.


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
	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 Trade is due to 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	BarCloseTime	N	Start Time pertaining to this TradeBar Entry (in UTC format)
3255	BarOpenTicks	N	End Time pertaining to this TradeBar Entry (in UTC format)
3256	BarHighTicks	N	TradeBar High Ticks for Chart Data Request
3257	BarLowTicks	N	TradeBar Low Ticks for Chart Data Request
3258	BarCloseTicks	N	TradeBar Close Ticks for Chart Data Request
3259	BarVolume	N	TradeBar Bar Volume for Chart Data Request
3260	BarBidVolume	N	TradeBar is opening for Chart Data Request (Y=Yes, N=No)
3261	BarOfferVolume	N	TradeBar is closing for Chart Data Request (Y=Yes, N=No)
3262	BarTradeCount	N	TradeBar is closing for Chart Data Request (Y=Yes, N=No)
3263	BarTradesAtBid	N	TradeBar is closing for Chart Data Request (Y=Yes, N=No)
3264	BarTradesAtOffer	N	TradeBar is closing for Chart Data Request (Y=Yes, N=No)
	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 20=XX), 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=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

FIX API Home Page.

Trade how you want, where you want

support@ctsfutures.com (312) 939 0164

2 Pierce Pl, Suite 200, Itasca, IL 60143

© 2009-2023 Cunningham Trading Systems LLC All rights reserved.