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 | ||||
| 262 | String | Conditionally required if this message is in response to a Market Data Request
| ||
| 55 | String | |||
| 65 | String | |||
| 48 | String | |||
| 22 | String Enum | |||
| 167 | String Enum | Must be specified if a Future or Option. If a Future: Symbol, SecurityType, and
MaturityMonthYear are required. If an Option: Symbol, SecurityType, MaturityMonthYear,
PutOrCall, and StrikePrice are required
| ||
| 200 | MonthYear | Specifies the month and year of maturity. Required if MaturityDay is specified
| ||
| 205 | DayOfMonth | Can be used in conjunction with MaturityMonthYear to specify a particular maturity date
| ||
| 201 | Int Enum | For Options
| ||
| 202 | Price | For Options
| ||
| 206 | Char | For Options
| ||
| 231 | Float | For Fixed Income, Convertible Bonds, Derivatives, etc. Note: If used, quantities should be
expressed in the "nominal" (e.g. contracts vs. shares) amount
| ||
| 223 | Float | For Fixed Income
| ||
| 207 | Exchange | Can be used to identify the security
| ||
| 106 | String | |||
| 348 | Int | Must be set if EncodedIssuer field is specified and must immediately precede it
| ||
| 349 | Data | Encoded (non-ASCII characters) representation of the Issuer field in the encoded format
specified via the MessageEncoding field
| ||
| 107 | String | |||
| 350 | Int | Must be set if EncodedSecurityDesc field is specified and must immediately precede it
| ||
| 351 | Data | Encoded (non-ASCII characters) representation of the SecurityDesc field in the encoded
format specified via the MessageEncoding field
| ||
| 291 | Char Enum | |||
| 292 | Char Enum | |||
| 387 | Quantity | Total volume traded in this trading session for this security
| ||
| Component | Number of entries following
| |||
| Component |