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FIXtags

FIX TAG 269

MDEntryType

charAdded FIX.4.2

Definition

Type of market data entry.

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Differences between the selected source snapshots, including wording and errata; not a migration guide.

FIX 5.0 SP2 FIX Latest · EP309

Definition text changed

FIX 5.0 SP2

Type Market Data entry.

FIX Latest · EP309

Type of market data entry.

Values only in FIX Latest · EP309 9

  • bMarket bid
  • cMarket offer
  • dShort sale minimum price
  • ePrevious closing price
  • fCorporate action reference price
    Additional source detail

    Signifies a change to a reference price, such as settlement price or closing price, due to a corporate action event.

  • gThreshold limits and price banding
    Additional source detail

    Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters.

  • hDaily financing value
    Additional source detail

    The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.

  • iAccrued financing value
    Additional source detail

    The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.

  • tTime Weighted Average Price
    Additional source detail

    TWAP

Value text or deprecation changed 31

ValueFIX 5.0 SP2FIX Latest · EP309
3Index ValueIndex value
Additional source detail

A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).

4Opening PriceOpening price
5Closing PriceClosing price
6Settlement PriceSettlement price
7Trading Session High PriceTrading session high price
8Trading Session Low PriceTrading session low price
9Trading Session VWAP PriceVolume Weighted Average Price
Additional source detail

VWAP

BTrade VolumeTrade volume
COpen InterestOpen interest
DComposite Underlying PriceComposite underlying price
ESimulated Sell PriceSimulated sell price
FSimulated Buy PriceSimulated buy price
GMargin RateMargin rate
HMid PriceMid-price
JEmpty BookEmpty book
KSettle High PriceSettle high price
LSettle Low PriceSettle low price
MPrior Settle PricePrior settle price
NSession High BidSession high bid
OSession Low OfferSession low offer
PEarly PricesEarly prices
QAuction Clearing PriceAuction clearing price
SSwap Value Factor (SVP) for swaps cleared through a central counterparty (CCP)Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)
TCumulative Value Adjustment for long positionsCumulative value adjustment for long positions
UDaily Value Adjustment for Short PositionsDaily value adjustment for short positions
VCumulative Value Adjustment for Short PositionsCumulative value adjustment for short positions
WFixing PriceFixing price
XCash RateCash rate
YRecovery RateRecovery rate
ZRecovery Rate for LongRecovery rate for long positions
aRecovery Rate for ShortRecovery rate for short positions

Values 45

ValueMeaning
0

Bid

1

Offer

2

Trade

3

Index value

Additional detail from the official source

A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR).

4

Opening price

5

Closing price

6

Settlement price

7

Trading session high price

8

Trading session low price

9

Volume Weighted Average Price

Additional detail from the official source

VWAP

A

Imbalance

B

Trade volume

C

Open interest

D

Composite underlying price

E

Simulated sell price

F

Simulated buy price

G

Margin rate

H

Mid-price

J

Empty book

K

Settle high price

L

Settle low price

M

Prior settle price

N

Session high bid

O

Session low offer

P

Early prices

Q

Auction clearing price

S

Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP)

R

Daily value adjustment for long positions

T

Cumulative value adjustment for long positions

U

Daily value adjustment for short positions

V

Cumulative value adjustment for short positions

W

Fixing price

X

Cash rate

Y

Recovery rate

Z

Recovery rate for long positions

a

Recovery rate for short positions

b

Market bid

c

Market offer

d

Short sale minimum price

e

Previous closing price

f

Corporate action reference price

Additional detail from the official source

Signifies a change to a reference price, such as settlement price or closing price, due to a corporate action event.

g

Threshold limits and price banding

Additional detail from the official source

Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters.

h

Daily financing value

Additional detail from the official source

The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.

i

Accrued financing value

Additional detail from the official source

The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price.

t

Time Weighted Average Price

Additional detail from the official source

TWAP

About the char data type

Single character value, can include any alphanumeric character or punctuation except the delimiter. All char fields are case sensitive (i.e. m != M).

Used in messages 3

Includes nested components and repeating groups. Open a location to see its surrounding requirements.