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Page Revision: 2013/02/21 15:05

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.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	Market Status of Security. For Chart Data, Status of Market Data Chart Request. Valid values are:
			0 = Undefined
			1 = PreOpen
			2 = Open
			3 = RestrictedOpen
			4 = PreClosed
			5 = Closed
			6 = Suspended
			7 = Halted
			8 = Failed (also Chart Data)
			9 = PreCross
			10 = Cross
			11 = Expired
			12 = Rejected
			13 = Unavailable
			14 = NoPermission (only Chart Data)
			15 = ExceedsLimit (only Chart Data)
			16 = Success (only Chart Data)
274	TickDirection	N	Whether the trade occured at the bid or offer. Only applicable to MDEntryType = LastTrade. Valid values are:
			0 = AtTheOffer
			2 = AtTheBid
277	TradeCondition	N	Whether the trade occured as a result of a spread. Only applicable to MDEntryType = LastTrade. Valid values are:
			AA = Trade is due to a spread
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
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 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=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=16|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 = 16 (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=16|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 = 16 (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

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