The Market Data Snapshot message below is the Market Data Snapshot recovery message. This message is utilized by the MBP & MBOLD Market Recovery feeds. This message maps to the SnapshotFullRefresh template in the SBE MDP Core schema.
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Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
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369 | LastMsgSeqNumProcessed | uInt32 | SeqNum | | Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed | 911 | TotNumReports | uInt32 | int | | Total number of messages replayed in the loop | 48 | SecurityID | Int32 | int | | A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion. | 83 | RptSeq | uInt32 | int | | Sequence number of the last Market Data entry processed for the instrument. The MDP Conflated TCP market data group sends a RptSeq value of zero. | 60 | TransactTime | uInt64 | UTCTimestamp | | Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch | 779 | LastUpdateTime | uInt64 | UTCTimestamp | | UTC Date and time of last Security Definition add, update or delete on a given Market Data channel | 75 | TradeDate | LocalMktDate | LocalMktDate | | Trade session date sent as number of days since Unix epoch | 1682 | MDSecurityTradingStatus | SecurityTradingStatus | int | 4=Close 17=Ready to trade (start of session) 18=Not available for trading 21=Pre Open 103 = No Change 201=PrivateWorkup 202=PublicWorkup | Identifies the current trading state of the instrument | 1149 | HighLimitPrice | PRICENULL9 | Price | | Upper price threshold for the instrument | 1148 | LowLimitPrice | PRICENULL9 | Price | | Lower price threshold for the instrument | 1143 | MaxPriceVariation | PRICENULL9 | Price | | Differential value for price banding | Repeating Group 1 | 268 | NoMDEntries | NumInGroup | | | Number of entries in Market Data message | →270 | MDEntryPx | PRICENULL9 | Price | | Market Data entry price | →271 | MDEntrySize | Int32NULL | Qty | | Market Data entry quantity | →346 | NumberOfOrders | Int32NULL | int | | Aggregate number of orders at the given price level | →1023 | MDPriceLevel | Int8NULL | int | | Aggregate book position | →5796 | TradingReferenceDate | LocalMktDate | LocalMktDate | | Indicates the date of trade session corresponding to a statistic entry | →286 | OpenCloseSettlFlag | OpenCloseSettlFlag | int | 0=DailyOpenPrice 5=IndicativeOpeningPrice | Flag describing entry type | →731 | SettlPriceType | SettlPriceType | MultipleCharValue | | Settlements are not supported on BrokerTec markets. | →269 | MDEntryType | MDEntryType | char | 0=Bid 1=Offer E=Implied Bid F=Implied Offer 2=Trade (last trade price) 4=Opening Price 7=Trading Session High Price 8=Trading Session Low Price 9=VWAP e=Electronic Volume | |
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