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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
369LastMsgSeqNumProcesseduInt32SeqNum
Sequence number of the last Incremental feed packet processed. This value is used to synchronize the snapshot loop with the real-time feed
911TotNumReportsuInt32int
Total number of messages replayed in the loop
48SecurityIDInt32int
A unique instrument ID value will not be reused until the next trade date following an instrument expiration or deletion.
83RptSequInt32int
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.
60TransactTimeuInt64UTCTimestamp
Timestamp of the last event security participated in, sent as number of nanoseconds since Unix epoch
779LastUpdateTimeuInt64UTCTimestamp
UTC Date and time of last Security Definition add, update or delete on a given Market Data channel
75TradeDateLocalMktDateLocalMktDate
Trade session date sent as number of days since Unix epoch
1682MDSecurityTradingStatusSecurityTradingStatusint

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
1149HighLimitPricePRICENULL9Price
Upper price threshold for the instrument
1148LowLimitPricePRICENULL9Price
Lower price threshold for the instrument
1143MaxPriceVariationPRICENULL9Price
Differential value for price banding
Repeating Group 1
268NoMDEntriesNumInGroup

Number of entries in Market Data message
270MDEntryPxPRICENULL9Price
Market Data entry price
271MDEntrySizeInt32NULLQty
Market Data entry quantity
346NumberOfOrdersInt32NULLint
Aggregate number of orders at the given price level
1023MDPriceLevelInt8NULLint
Aggregate book position
5796TradingReferenceDateLocalMktDateLocalMktDate
Indicates the date of trade session corresponding to a statistic entry
286OpenCloseSettlFlagOpenCloseSettlFlagint

0=DailyOpenPrice

5=IndicativeOpeningPrice

Flag describing entry type
731SettlPriceTypeSettlPriceTypeMultipleCharValue


Settlements are not supported on BrokerTec markets.
→269MDEntryTypeMDEntryTypechar

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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