Definition
The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.
Message structure 4138 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
Nested fields load when needed. Open the full static layout (also works without JavaScript).
StandardHeaderComponentRequired
MsgType = W
StandardHeader definition & usage →
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ApplicationSequenceControlComponent—
ApplicationSequenceControl definition & usage →
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Unique message identifier. Conditionally required when supporting MarketDataAck(35=EQ) as response message.
Total number or reports returned in response to a request.
Unique identifier for the market data report.
Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
Can be used to define a subordinate book.
Can be used to define the current depth of the book.
Describes a class of service for a given data feed, ie Regular and Market Maker
Used to specify the trading date for which a set of market data applies
Conditionally required if this message is in response to a MarketDataRequest(35=V).
InstrumentComponentRequired
Instrument definition & usage →
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InstrumentExtensionComponent—
InstrumentExtension definition & usage →
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FinancingDetailsComponent—
FinancingDetails definition & usage →
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UndInstrmtGrpRepeating groupCount tag 711—
UndInstrmtGrp definition & usage →
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InstrmtLegGrpRepeating groupCount tag 555—
Required for multileg quotes
InstrmtLegGrp definition & usage →
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RelatedInstrumentGrpRepeating groupCount tag 1647—
RelatedInstrumentGrp definition & usage →
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MDFullGrpRepeating groupCount tag 268Required
MDFullGrp definition & usage →
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Depth of application messages queued for transmission as of delivery of this message
Action taken to resolve application queuing
RoutingGrpRepeating groupCount tag 215—
RoutingGrp definition & usage →
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StandardTrailerComponentRequired
StandardTrailer definition & usage →
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