MDP 3.0 - Market Data Snapshot - Full Recovery
- Space Sync for Confluence
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.
Tag | FIX Name | Type | Semantic Type | Valid Values | Description |
|---|---|---|---|---|---|
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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