Snapshot/Full Refresh <W>

TagField NameData TypeReq’dComments
Standard header - OutgoingYMsgType 35=W
262MDReqIDstringYUnique identifier for Market Data Request
268NoMDEntriesintYNumber of repeating groups (↺) following
↺ 54SideIntNWhen MDEntryType=TRADE (269=2), this tag will appear to indicate if the trade aggressor. Valid values:

1 - Buy
2 - Sell
↺ 269MDEntryTypecharYEntries that the firm requesting the Market Data is interested in receiving. There can be multiple fields, as defined by field <267>. Valid values:

0 - Bid
1 - Offer
2 - Trade
4 - Opening Price
5 - Closing Price
7 - 24h (rolling window) High Price
8 - 24h (rolling window) Low Price
B - 24h (rolling window) Trade Volume
↺ 270MDEntryPxpriceCPrice of the Market Data Entry. Required when MDEntryType <269> is not Trade Volume B and NumbersOfOrders(346) is non-zero.
↺ 271MDEntrySizefloatCNumber of units available (or the maximum trade size) at the time the market data snapshot was generated. Required when MDEntryType <269> is Bid (0), Offer (1), Trade (2) or Trade Volume (B) and NumbersOfOrders(346) is non-zero.
↺ 272MDEntryDatetimestampNUTC date of rate data i.e. yyyyMMdd.
↺ 273MDEntryTimetimestampNUTC time of rate data.
↺ 336TradingSessionIDstringYIdentifier for Trading Session.
Valid values:

↺ 346NumberOfOrdersintCNumber of orders in the market where MDEntryType <269> is Bid (0) or Offer (1).
↺ 290MDEntryPositionNointCDisplay position of a bid or offer, numbered from most competitive to least competitive where MDEntryType <269> is Bid (0) or Offer (1) and NumbersOfOrders(346) is non-zero.
Standard trailerY