Market Data Snapshot/Full Refresh Request (W) Message
Purpose
Used to return a snapshot of market prices
Message Direction
From a third-party FIX acceptor to the TT FIX Price Gateway
Using the FIX Tag Directory
Context – Select to filter by context (e.g., “Order routing, FIX client to TT FIX”, “Request by security ID”, “TT Premium Order Types”). Only tags available for the selected context will be displayed.
Show Comments –Select to display text in the Comments column of the table. Clear to display a condensed table without text in the Comments column.
Flat tag list – Select to display all tags for the selected context in one list. Clear to display all tags for the selected context separated by component (e.g., Header, Instrument, Parties)
An asterisk (*) on the tag number button indicates that it appears in the table more than once for the selected context.
For additional information about this component group, consult the documentation.
35=W (MsgType)
8
BeginString
STRING
Y
FIX protocol version
The tag indicates the beginning of a new message.
This tag must be the first tag in the message.
You must set the value to FIX.4.2 or FIX.4.4.
9
BodyLength
INT
Y
Message length (in characters)
The value represents number of characters in the message following
this tag up to, and including, the delimiter immediately preceding Tag
10 (CheckSum). This tag must be the second field in a message.
35
MsgType
STRING
Y
Type of message contained in the message body
This tag must appear third in the list of header tags.
49
SenderCompID
STRING
Y
Assigned value used to identify the counterparty
56
TargetCompID
STRING
Y
Assigned value used to identify TT
34
MsgSeqNum
SEQNUM
Y
Message sequence number
43
PossDupFlag
BOOLEAN
C
Must be sent when a third-party FIX acceptor resends messages
Whether the sequence number for this message is already used
Possible values:
N: NO: Original transmission
Y: YES: Possible duplicate
97
PossResend
BOOLEAN
C
Must be sent if the message may contain information that has been sent under another sequence number.
Whether the message might contain information that has been sent under another sequence number
Possible values:
N: NO: Original transmission
Y: YES: Possible resend
122
OrigSendingTime
UTCTIMESTAMP
C
Sent when a third-party FIX acceptor resends a message
Original time of message transmission, when transmitting orders as the result of a resend request
Always expressed in UTC.
52
SendingTime
UTCTIMESTAMP
Y
Time, in UTC, the message was sent.
262
MDReqID
STRING
Y
Unique ID sent in the Market Data Request (V) message
The third party FIX acceptor must return this value in all responses associated with the initial request.
Instrument
Y
Instrument associated with this message. For additional information about this component group, consult the full documentation.
48
SecurityID
STRING
Y
55
Symbol
STRING
C
Not used when Tag 167 (SecurityType)=MLEG.
Exchange-provided product symbol for the tradable product.
Note: The instrument name that displayed on the TT front end is a combination of the values provided in tag 55 (Symbol) and tag 541 (MaturityDate). For example, if tag 55 = ABC and tag 541 = 20260215, the TT front end will show ABC Feb26.
NoMDEntriesSnapshotGroup
Y
Market data entries returned
387
TotalVolumeTraded
QTY
Y
Total volume traded during the current trading session for this instrument.
Note: Include only in the first item in the repeating group.
268
NoMDEntries
NUMINGROUP
Y
Number of market data entries in the message. Starts the repeating group.
269
MDEntryType
CHAR
Y
Type of market data to request.
Note: When Tag 35 (MsgType) = V, (i.e., Market Data Request) or Tag 35 (MsgType) = X, (i.e., Market Data Snapshot), Tag 269 must be the first tag in each MDEntry repeating group.
Possible values include:
0: Bid
1: Offer
2: Trade
4: Opening price
5: Closing price
6: Settlement price
7: Trading session high price
8: Trading session low price
Y: Implied bid
Z: Implied ask
270
MDEntryPx
PRICE
Y
Price of the instrument associated with this entry. Interpret the value based on the entry type.
271
MDEntrySize
QTY
C
Required when Tag 269 (MDEntryType) contains:
0: Bid
1: Offer
2: Trade
Y: Implied bid
Z: Implied ask
Quantity associated with the related instrument.
290
MDEntryPositionNo
INT
C
Required when Tag 269 (MDEntryType) is either 0 (bid), 1 (offer), Y (implied bid), or Z (implied offer)
Position of the MD price level in relation to the best bid / best offer (1 being the best).
Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1. The FIX client must determine where the new price belongs based on Tag 270 (MDEntryPx).
346
NumberOfOrders
INT
C
Condition: Send when both of the following are true:
Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).
The data is available.
Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.
Trailer
Y
For additional information about this component group, consult the full documentation.
10
CheckSum
STRING
Y
Unencrypted three-character checksum
This tag must always be the last field in a message (i.e. it serves, with the trailing <SOH>, as the end-of-message delimiter).
Message Notes
The Market Data Snapshot Full Refresh (W) message is used by a third-party
FIX acceptor to respond to a Market Data Request (V).
