Page History: MarketData Snapshot
Compare Page Revisions
Page Revision: 2013/02/19 11:04
Describing Market DataThe 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 ResponsesThe 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.ChartData 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 sequential chart data through the corresponding Tag-Value pairs (Tags 3206 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 (TTV) for all markets of a contract. MarketId in Tag 278 with TTV in Tag 271. |
| | | U = Chart Data Day. Mutiple days with no session time span. |
| 270 | MDEntryPx | N | Entry Price. |
| 271 | MDEntrySize | N | Entry Size (or Volume). |
| 278 | MDEntryID | N | Market ID (of Chart Data Contract). |
| 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. Compressed Base-64 encoded tag-value pairs in EncodedText field (Tag 355). Compressed with Deflate's LZH. |
| | | Z = COMPRESSED_TAGS_ZLIB. Compressed Base-64 encoded tag-value pairs in EncodedText field (Tag 355). Compressed with Zlib library. |
| | | U = UNCOMPRESSED. Uncompressed Tag value pairs |
| | | E = UNCOMPRESSED_ENCODED. Uncompressed Base-64 encoded data in EncodedText field (Tag 355) |
| 965 | SecurityStatus | N | Status of Security Market. For Chart Data, Status of Market Data Request. Valid values are: |
| | | 0 = Undefined |
| | | 1 = PreOpen |
| | | 2 = Open |
| | | 3 = Restricted |
| | | 4 = PreClosed |
| | | 5 = Closed |
| | | 6 = Suspended |
| | | 7 = Halted |
| | | 8 = Failed |
| | | 9 = PreCross |
| | | 10 = Cross |
| | | 11 = Expired |
| | | 12 = Rejected |
| | | 13 = Unavailable |
| | | 14 = NoPermission |
| | | 15 = ExceedsLimit |
| | | 16 = Success |
| 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) of MarketData Request message. Entered in UTC format. |
| 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) of MarketData Request message. Entered in UTC format. |
| 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) of MarketData Request message. Entered in UTC format. |
| 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) of MarketData Request message. Entered in UTC format. |
| 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 = Time Price Opportunity (TPO) |
| | | 6 = TickChange |
| 3205 | DataFormat | N | Internal Format of Chart Data. For development information only. Valid values are: |
| | | 0 = CVS |
| | | 1 = T4C |
| | | 2 = T4Bin |
| 3210 | NoChartData | N | Number of Chart Data entries to follow |
| | Start Repeating Group | |
| 3212 | Change | N | Chart Data Change associated with this Chart Data entry |
| | | 0 = None |
| | | 1 = Trade |
| | | 2 = Quote |
| | | 3 = MarketMode |
| | | 4 = Settlement |
| | | 5 = TradeBar |
| | | 6 = TradeDate |
| | | 7 = TPO (Time Price Opportunity) |
| | | 8 = TickChange |
| | | 9 = RFQ (Request for Quote) |
| | | 10 = HeldSettlement |
| | | 11 = ClearedVolume |
| | | 12 = OpenInterest |
| | | 13 = VWAP (Volume Weighted Average Pricing) |
| 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 |
| 3211 | TradeDate | N | Trade Date for Chart Data Request (in UTC format) |
| 3213 | MarketModeTime | N | Date-Time pertaining to this Market Mode Entry (in UTC format) |
| 3214 | MarketMode | N | Market Mode for Chart Data Request |
| 3216 | SettlementTime | N | Date-Time pertaining to this Settlement Entry (in UTC format) |
| 3217 | Settlement | N | Settlement for Chart Data Request |
| 3219 | HeldSettlementTime | N | Date-Time pertaining to this Held Settlement Entry (in UTC format) |
| 3220 | HeldSettlement | N | Held Settlement for Chart Data Request |
| 3222 | OpenInterestTime | N | Date-Time pertaining to this Open Interest Entry (in UTC format) |
| 3223 | OpenInterest | N | Open Interest for Chart Data Request |
| 3225 | ClearedVolumeTime | N | Date-Time pertaining to this Cleared Volume Entry (in UTC format) |
| 3226 | ClearedVolume | N | Cleared Volume for Chart Data Request |
| 3228 | VWAPTime | N | Date-Time pertaining to this VWAP Entry (in UTC format) |
| 3229 | VWAP | N | VWAP for Chart Data Request |
| 3231 | QuoteTime | N | Date-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 |
| 3235 | OfferTicks | N | Offer Price in Ticks |
| 3236 | OfferRealVolume | N | Offer Real Volume |
| 3237 | OfferImpliedVolume | N | Offer Implied Volume |
| 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) |
| 3247 | TradeTime | N | Start Time pertaining to this Trade Entry (in UTC format) |
| 3248 | TradedVolume | N | Trade Volume |
| 3249 | TradeTickValue | N | Price Tick Value for Trade |
| 3250 | TotalTradedVolume | N | Total Trade Volume |
| 3251 | DueToSpread | N | Whether the Trade corresponds to a Spread Strategy (Y=Yes, N=No) |
| 3252 | AtBidOrOffer | N | At Bid or Offer Transaction Type. Valid values are: |
| | | 1 = Buy |
| | | 2 = Sell |
| 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 |
| 3267 | TickChangeStartTime | N | Start Time for this Tick Change Entry (in UTC format) |
| 3268 | TickChangeCloseTime | N | Close Time for this Tick Change Entry (in UTC format) |
| 3269 | TickChangeVolume | N | TickChange Total Volume |
| 3270 | TickChangeBidVolume | N | TickChange Bid Volume |
| 3271 | TickChangeOfferVolume | N | TickChange Offer Volume |
| 3272 | TickChangeTradeCount | N | Total number of trades for this TickChange |
| 3273 | TickChangeTradesAtBid | N | Number of Trades at Bid for this TickChange |
| 3274 | TickChangeTradesAtOffer | N | Number of Trades at Offer for this TickChange |
| 3276 | RFQTime | 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 3206 to Tag 3278 above). If compressed by Zlib, the compressed payload (as found in the EncodedText tag) is blocked in multiples of 30,000 bytes (regardless of the size of the MarketData SnapShot message). The start of such payload provides the size of all aggregated blocks (a 32-bit integer) and the number of subsequent blocks (a 16-bit integer). Each following block is preceded by its size (a 32-bit integer). |
| 3279 | EncodedTextCRC | N | The (Base-64 encoded) Addler-32bit Cyclic Redundancy Check (CRC) of the Uncompressed payload. Only available for Deflate compressed packages. This can be used to frame a Deflate stream for Zlib decompression per RFC 1950. To frame the Deflate stream, a header of 0x78, 0x9C can be used. |
| | 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=T4|56=T4Example|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 = T4
[TargetCompID] 56 = T4Example
[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 Batch Response (UnCompressed)
<< 01/24/2013 10:39:52.440 AM [fixmarketdatasnapshot] 34=651|49=T4|56=T4Example|50=T4FIX|52=20130124-16:39:52.440|262=mdc-1/24/2013 10:39:52 AM-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|3210=15|3212=6|3211=20120926-05:00:00.000|3212=3|3213=20120925-21:59:30.005|3214=6|3212=3|3213=20120925-22:00:00.145|3214=2|3212=0|3206=25|3207=100|3208=MC|3209=12.5|3212=11|3225=20120926-06:08:57.601|3226=9310|3212=12|3222=20120926-06:08:57.601|3223=111873|3212=12|3222=20120926-13:30:49.811|3223=111854|3212=5|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|3212=3|3213=20120926-19:00:00.002|3214=7|3212=4|3216=20120926-19:15:05.458|3217=72150|3212=10|3219=20120926-19:15:05.458|3220=72150|3212=3|3213=20120926-19:30:00.018|3214=1|3212=3|3213=20120926-21:00:00.014|3214=5|3212=3|3213=20120926-21:45:00.037|3214=1|3212=5|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 = 651
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130124-16:39:52.440
[MDReqID] 262 = mdc-1/24/2013 10:39:52 AM-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
[NoChartDatas] 3210 = 15
[Change] 3212 = 6 (TRADE_DATE)
[TradeDate] 3211 = 20120926-05:00:00.000
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120925-21:59:30.005
[MarketMode] 3214 = 6 (SUSPENDED)
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120925-22:00:00.145
[MarketMode] 3214 = 2 (OPEN)
[Change] 3212 = 0 (NONE)
[Numerator] 3206 = 25
[Denominator] 3207 = 100
[PriceCode] 3208 = MC
[TickValue] 3209 = 12.5
[Change] 3212 = 11 (CLEARED_VOLUME)
[ClearedVolumeTime] 3225 = 20120926-06:08:57.601
[ClearedVolume] 3226 = 9310
[Change] 3212 = 12 (OPEN_INTEREST)
[OpenInterestTime] 3222 = 20120926-06:08:57.601
[OpenInterest] 3223 = 111873
[Change] 3212 = 12 (OPEN_INTEREST)
[OpenInterestTime] 3222 = 20120926-13:30:49.811
[OpenInterest] 3223 = 111854
[Change] 3212 = 5 (TRADE_BAR)
[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
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120926-19:00:00.002
[MarketMode] 3214 = 7 (HALTED)
[Change] 3212 = 4 (SETTLEMENT)
[SettlementTime] 3216 = 20120926-19:15:05.458
[Settlement] 3217 = 72150
[Change] 3212 = 10 (HELD_SETTLEMENT)
[HeldSettlementTime] 3219 = 20120926-19:15:05.458
[HeldSettlement] 3220 = 72150
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120926-19:30:00.018
[MarketMode] 3214 = 1 (PRE_OPEN)
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120926-21:00:00.014
[MarketMode] 3214 = 5 (CLOSED)
[Change] 3212 = 3 (MARKET_MODE)
[MarketModeTime] 3213 = 20120926-21:45:00.037
[MarketMode] 3214 = 1 (PRE_OPEN)
[Change] 3212 = 5 (TRADE_BAR)
[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
Chart Data Contract Response (UnCompressed)
<< 01/22/2013 04:50:39.647 PM [fixmarketdatasnapshot] 34=467|49=T4|56=T4Example|50=T4FIX|52=20130122-22:50:39.647|262=mdc-1/22/2013 4:50:39 PM-0|55=ZC|207=LVCME_C|965=0|3200=20120926-05:00:00.000|268=13|269=Z|278=LVCME_20121200_ZCZ2|271=150084|269=Z|278=LVCME_20130300_ZCH3|271=47894|269=Z|278=LVCME_20130500_ZCK3|271=12153|269=Z|278=LVCME_20130700_ZCN3|271=13963|269=Z|278=LVCME_20130900_ZCU3|271=1256|269=Z|278=LVCME_20131200_ZCZ3|271=4963|269=Z|278=LVCME_20140300_ZCH4|271=218|269=Z|278=LVCME_20140500_ZCK4|271=80|269=Z|278=LVCME_20140700_ZCN4|271=52|269=Z|278=LVCME_20140900_ZCU4|271=5|269=Z|278=LVCME_20141200_ZCZ4|271=174|269=Z|278=LVCME_20150700_ZCN5|271=5|269=Z|278=LVCME_20151200_ZCZ5|271=38|
[FIXMARKETDATASNAPSHOT]
[MsgSeqNum] 34 = 467
[SenderCompID] 49 = T4
[TargetCompID] 56 = T4Example
[SenderSubID] 50 = T4FIX
[SendingTime] 52 = 20130122-22:50:39.647
[MDReqID] 262 = mdc-1/22/2013 4:50:39 PM-0
[Symbol] 55 = ZC
[SecurityExchange] 207 = LVCME_C
[SecurityStatus] 965 = 0 (SUCCESS)
[TradeDateStart] 3200 = 20120926-05:00:00.000
[NoMDEntries] 268 = 13
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20121200_ZCZ2
[MDEntrySize] 271 = 150084
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20130300_ZCH3
[MDEntrySize] 271 = 47894
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20130500_ZCK3
[MDEntrySize] 271 = 12153
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20130700_ZCN3
[MDEntrySize] 271 = 13963
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20130900_ZCU3
[MDEntrySize] 271 = 1256
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20131200_ZCZ3
[MDEntrySize] 271 = 4963
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20140300_ZCH4
[MDEntrySize] 271 = 218
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20140500_ZCK4
[MDEntrySize] 271 = 80
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20140700_ZCN4
[MDEntrySize] 271 = 52
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20140900_ZCU4
[MDEntrySize] 271 = 5
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20141200_ZCZ4
[MDEntrySize] 271 = 174
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20150700_ZCN5
[MDEntrySize] 271 = 5
[MDEntryType] 269 = Z (CHART_DATA_CONTRACT)
[MDEntryID] 278 = LVCME_20151200_ZCZ5
[MDEntrySize] 271 = 38
FIX API Home Page.