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MDP Message Structure

The encoded FIX transmission is sent in a packet structured as follows:

  • Packet header - contains packet sequence number, sending time.
  • Message Size - field indicating size of message.
  • Message header - contains block length, TemplateID, SchemaID, and Version.
  • FIX header - indicates FIX message type (example: 35=X)
  • FIX message body - event driven business data such as book updates and trade summary.

BinaryMsgConstruction2

See MDP 3.0 Packet Structure Examples for examples of packet structure and messaging scenarios.

MDP Packet Structure

Each packet sent on all feeds (Incremental, Market Recovery, Instrument Definition, and TCP Replay) contains a packet sequence number and a timestamp. The packet number is unique to each packet sent and each channel has its own separate set of sequence numbers that increment sequentially with each packet and are reset weekly.

Packet and Message Headers

MDP 3.0 uses the concept of sequencing and recovery by packet instead of by message. Packets may contain a single or multiple messages. 

Each packet is prefixed with:

  • Sequence Number
  • Sending Time (nanoecond precision)

Each message is prefixed with:

  • Message Size
  • Template ID
Example: Packet with Single Message

PacketWithSingleMessageImplementation

Example: Packet with Multiple Messages

PacketWithMultipleMessagesImplementation

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