This message includes the full market data state for a single instrument. It can be sent in response to a Market Data Request <35=V> or can be unsolicited. If sent in response to a request, it should include the relevant MDReqID (262).
Multiple snapshots can potentially be used to provide updates in a subscription workflow, instead of Market Data Incremental Refresh <35=X>. In that case, each snapshot fully replaces the previous one. This potentially simplifies processing at the cost of additional bandwidth.
This message includes many optional fields. Firms can individually decide which optional fields they wish to support.
| Tag | Name | Type | Required | Description |
|---|---|---|---|---|
| Component | ||||
| Component | ||||
| 911 | Int | Total number or reports returned in response to a request | ||
| 963 | Int | Unique identifier for the market data report | ||
| 715 | LocalMktDate | |||
| 1021 | Int Enum | Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection | ||
| 1173 | Int | Can be used to define a subordinate book | ||
| 264 | Int | Can be used to define the current depth of the book | ||
| 1022 | String | Describes a class of service for a given data feed, ie Regular and Market Maker | ||
| 1683 | String | |||
| 1187 | Boolean | |||
| 75 | LocalMktDate | Used to specify the trading date for which a set of market data applies | ||
| 262 | String | Conditionally required if this message is in response to a MarketDataRequest(35=V) | ||
| 1500 | String | |||
| 1301 | Exchange | |||
| 1300 | String | |||
| Component | ||||
| Component | ||||
| Component | ||||
| Component | ||||
| Component | Required for multileg quotes | |||
| Component | ||||
| 779 | UTCTimestamp | |||
| 291 | MultipleCharValue Enum | |||
| 292 | MultipleCharValue Enum | |||
| 451 | PriceOffset | |||
| 1682 | Int Enum | |||
| 1684 | Int Enum | |||
| Component | ||||
| 813 | Int | Depth of application messages queued for transmission as of delivery of this message | ||
| 814 | Int Enum | Action taken to resolve application queuing | ||
| Component | ||||
| Component |