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TagFIX NameFIX TypeValid ValuesDescription

60

TransactTime

UTCTimeStamp


Trade date in number of nanoseconds since Unix epoch.

UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

5799

MatchEventIndicator

String

ex. 10000001 – end of trade summaries, end of event

Bitmap field of eight Boolean type indicators reflecting the end of updates for a given event:

Bit 0: (least significant bit) Last Trade message for a given event

Bit 1: Last electronic volume message

Bit 2: Last customer order quote message

Bit 3: Last statistics message

Bit 4: Last implied quote message

Bit 5: Message is sent during  recovery process

Bit 6: Reserved for future use

Bit 7: (most significant bit) Last message for a given event

268

NoMDEntries

NumInGroup (5)


Number of FIX Market Data Incremental Refresh Data Blocks in the Market Data Incremental Refresh message.

1022 MDFeedType String

XL = S&P 100 and S&P 500
XF = All other Fees Liable indexes
XW = All fee Waived
XD = Dow Jones Fee Liable Indices 
XB = Bloomberg Fee Waived Indices 

Market data on fee-liable indices type.

50001

 BatchTotalMessagesInt
Total number of messages contained within batch, which is defined by match event indicator (5799).
Repeating Gruop

→279

MDUpdateAction

Char (1)

0 = New

Indicates the type of Market Data update action

→269

MDEntryType

Char (1)

0 = Bid
1 = Offer
2 = Trade
3 = Index Value
4 = Opening Price
5 = Closing Price
6 = Settlement Price
7 = Trading Session High Price
8 = Trading Session Low Price
e = Trade Volume

Indicates the type of market data entry.

Opening Price - This value is the
first 'normal' index tick at the start
of the new trading day. A normal
tick is a tick generated during the
regular trading hours of the
underlying constituents.

Closing Price - The index close
value computed using the official
close prices of the underlying
constituents.

Note: The following tags are NOT sent for Bloomberg Indices:

  • 0 = Bid
  • 1 = Offer
  • 6 = Settlement Price

→83

RptSeq

Int (3)


Sequence number per Instrument update or index.

→55

Symbol

String (50)


Instrument Name

→286

OpenCloseSettleFlag

Int (3)

0 = Daily Open / Close /Settlement entry
4 = Entry from previous business day
102 = Settlement Index value
103 = Special Opening Quote

Indicates whether price is a settlement index or if it is a special
opening index quote.

Special Opening Quote – The Index Opening Settlement is based
on the SOQ (Special Opening Quotation) calculation to facilitate
convergence of cash and future markets. Many Index futures are
settled against the Index Opening Settlement. This value is calculated
as per normal index calculation procedures except that open prices
of the underlying constituents are used for this calculation. The Index
Opening Settlement value should not be confused with the first tick of
the index and will likely greatly differ from that value. The final
Index Opening Settlement value is typically published after all the
underlying constituents of the index have opened for trading.

→451

NetChgPrevDay

PriceOffset (20)


Net change from previous day's closing price.

Note: This tag is NOT sent for Bloomberg Indices.

→6119

NetPctChg

Percentage (20)


Index percentage change with respect to previous close.

Note: This tag is NOT sent for Bloomberg Indices.

→7017

PercentTrading

Percentage (20)


Percent trading of the underlying index constituents.

Note: This tag is NOT sent for Bloomberg Indices.

→9988

MDEntryCode

MultipleValueString (2)

1 = Indicative
2 = Pre-Market
3 = Preliminary Close
4 = Session Close
5 = Close

List of conditions describing a market data entry. See the table below for additional description of valid values for this tag.

Info
If tag 9988 is not present, the market data entry occurred during the normal trading condition.


→270

MDEntryPx

Price (20)


Price of the Market Data Entry

271

MDEntrySize

Qty


Traded quantity.

→272

MDEntryDate

UTCDateOnly (8)


Date of the Market Data Entry. Value is the number of days since UNIX epoch.

→273

MDEntryTime

UTCTimeOnly (12)


Timestamp of Market Data Entry. Value is the number of milliseconds since GMT midnight.

1145

EventTime

UTCTimestamp


Date and Time of event expressed in UTC DateTime. UTC Timestamps are sent in number of nanoseconds since Unix epoch synced to a master clock to microsecond accuracy.

9633ReferenceIDString
Reserved for future use.
→235YieldTypeString (20)MATURITY = Yield to Maturity

Type of yield.

Note: This tag is NOT sent for Bloomberg Indices.

→236YieldPrice (20)

Yield of the index's underlying instruments.

Applicable for Fixed Income indices only.

Note: This tag is NOT sent for Bloomberg Indices.

→453

NoPartyIDs

NumInGroup (1)

Number of party block entries

Repeating Group

→→448

PartyID

String (3)

Party Identifier/Code

→→452

PartyRole

Int (2)

21 = Clearing Organization

Identifies the type or role of the PartyID (448) specified

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Streamlined FIX Tag 9988-MDEntryCode Valid Values Description

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