Statistics are sent on the Incremental Feed with the Market Data Incremental Refresh (tag 35-MsgType=X) message as they occur throughout a trading session. Certain statistics are also made available on the Market Recovery Feed with the Market Data Snapshot Full Refresh. Statistics are removed at the beginning of a trading session from the Market Recovery Feed on the Market Data Snapshot Full Refresh (tag 35-MsgType=W) message.
Tag 1174-SecurityTradingEvent=4 in the MDP - Market Data Security Status indicates previous session statistics are being reset and is included in the Security Status message to provide the first state change of the new session.
The following process takes place:
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