Market Data Snapshot (W) message

Purpose

Used to return a snapshot of market prices

Message Direction

From QST FIX server to FIX client

Supported tags

Note

Each Market Data Snapshot Refresh message should start with Standard Header component(with the tag 35 (MsgType) = W) and end with the Standard Trailer.

MDReqID - 262

Tag number

Field Name

Required

Data type

262

MDReqID

Y

String

Comments

Unique ID matching the incoming request ID, sent in Tag 262 (MDReqID) in the :ref:Market Data Request (V) message <market_data_request>. QST FIX server returns this ID in all responses corresponding to the Market Data Request (V) request.

SecurityID - 48

Tag number

Field Name

Required

Data type

48

SecurityID

Y

String

Comments

QST internal instrument ID that uniquely identifies the instrument in the QST platform (equivalent to 22 = 96 (QST internal instrument id)).

TradeDate - 75

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

75

TradeDate

N

LocalMktDate

Comments

Indicates the date of the trade session. Will be set as YYYYMMDD.

Symbol - 55

Tag number

Field Name

Required

Data type

55

Symbol

N

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Exchange-provided product symbol for the tradable product.

SecurityDesc - 107

Tag number

Field Name

Required

Data type

107

SecurityDesc

N

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Security description.

Product - 460

Tag number

Field Name

Required

Data type

460

Product

N

Int

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Indicates the type of product the security is associated with.

Supported values include:

  • 2 Commodity

  • 4 Currency

  • 6 Government

  • 5 Equity

  • 12 Others

  • 14 Energy

SecurityType - 167

Tag number

Field Name

Required

Data type

167

SecurityType

Y

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Asset class of the instrument.

Supported values:

  • FUT Future

  • MLEG Multi-leg

  • OPT Option

  • B Bond

  • E Equity Outright

  • ED Equity Derivative

  • I Index

  • FX Index

  • CFD Index

  • PHY Index

MaturityMonthYear - 200

Tag number

Field Name

Required

Data type

200

MaturityMonthYear

N

MonthYear

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Month and year the instrument reaches maturity in the format YYYYMM.

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when Tag 167 (SecurityType) is not MLEG

MaturityDate - 541

Tag number

Field Name

Required

Data type

541

MaturityDate

C

LocalMktDate

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Maturity date in format YYYYMMDD.

Note

This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

Condition: Required when Tag 167 (SecurityType) is not MLEG

MaturityDay - 205

Tag number

Field Name

Required

Data type

205

MaturityDay

C

DayOfMonth

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Maturity day for the instrument, provided only for daily(non-monthly) instruments.

QST FIX server uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 167 (SecurityType) is not MLEG.

Range: 1-31

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when multiple contracts exist for the same month.

DeliveryTerm - 18211

Tag number

Field Name

Required

Data type

18211

DeliveryTerm

N

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Term of delivery for the instrument.

Supported values include:

  • M Month

  • D Day

SecurityExchange - 207

Tag number

Field Name

Required

Data type

207

SecurityExchange

C

Exchange

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

  • CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

  • ICE - For ICE US.

Condition: Required when Tag 100 (ExDestination) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

ExDestination - 100

Tag number

Field Name

Required

Data type

100

ExDestination

C

Exchange

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

  • XCBT

  • XCME

  • XNYM

  • XCEC

  • KCBT

  • IFUS

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

CFICode - 461

Tag number

Field Name

Required

Data type

461

CFICode

C

String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Supported values include:

  • F Future

  • OP Option Put

  • OC Option Call

  • M MLEG

  • X Unkown value

Currency - 15

Tag number

Field Name

Required

Data type

15

Currency

C

Currency

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

ISO-standard symbol for the instrument’s trading currency.

NoMdFeedTypes - 1141

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

1141

NoMdFeedTypes

N

Int

Comments

Number of repeating FeedType repeating group entries. Indicates number of repeating groups and length of each repeating group in the message.

NoMdFeedTypes Group

MDFeedType - 1022

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

1022

MDFeedType

N

String

Comments

Describes a class of service for a given data feed.

Supported values include:

  • O Outright book depth

  • I Implied book depth

Note

This field will only be sent if the client is subscribed to ASK, BID, ASK IMPLIED or BID IMPLIED.

MarketDepth - 264

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number

Field Name

Required

Data type

264

MarketDepth

N

int

Comments

Identifies the depth of book.

Note

  • This field will only be sent if the client is subscribed to ASK, BID, ASK IMPLIED or BID IMPLIED.

  • If this field has the value 0, it means that the depth of the book is unlimited.

NoMDEntries - 268

Tag number

Field Name

Required

Data type

268

NoMDEntries

Y

NumInGroup

Comments

Number of market data entries in the message. Starts the repeating group.

MDEntry Group

MDEntryType - 269

Tag number

Field Name

Required

Data type

269

MDEntryType

Y

char

Comments

Type of market data to request.

Supported values include:

  • 0 Bid (For stocks, this represents: Round lot, Ready Market)

  • 1 Ask (For stocks, this represents: Round lot, Ready Market)

  • 2 Trade

  • 4 Opening price

  • 5 Closing price

  • 6 Settlement price

  • 7 Trading session high price

  • 8 Trading session Low price

  • B Trade volume

  • Y Implied bid (For stocks, this represents: Odd lot, Unit Share)

  • Z Implied ask (For stocks, this represents: Odd lot, Unit Share)

  • t Initial settlement price

Warning

The next fields are only supported for clients that use API V2.0 version of the protocol:

  • C Open interest

  • N Day high bid

  • O Day low ask

  • W Fixing price

  • M Prior Settle Price

  • I Indicative opening price

MDEntryPx - 270

Tag number

Field Name

Required

Data type

270

MDEntryPx

Y

Price

Comments

Price of the instrument associated with this entry. Interpret the value based on the entry type.

MDEntrySize - 271

Tag number

Field Name

Required

Data type

271

MDEntrySize

C

Qty

Comments

Quantity associated with the related instrument.

Note

For Indicative Opening price the quantity represents the volume.

Condition: Sent when tag 269 (MDEntryType) is:

  • 0 Bid

  • 1 Ask

  • 2 Trade

  • B Trade volume

  • Y Implied bid

  • Z Implied ask

  • I Indicative opening price

MDEntryDate - 272

Tag number

Field Name

Required

Data type

272

MDEntryDate

C

UCDateOnly

Comments

Date extracted from tiemstamp of the entry.

Condition:

  • For API V1.0 it is sent when tag 269 (MDEntryType) is:

    • 6 Settlement Price

  • For API V2.0 it is sent when tag 269 (MDEntryType) is:

    • 6 Settlement Price

    • M Prior Settle Price

    • W Fixing price

    • I Indicative opening price

MDEntryTime - 273

Tag number

Field Name

Required

Data type

273

MDEntryTime

C

UCTimeOnly

Comments

Time extracted from tiemstamp of the entry.

Condition: Sent when tag 269 (MDEntryType) is:

  • For API V1.0 it is sent when tag 269 (MDEntryType) is:

    • 6 Settlement Price

    Note

    It will be set to 00:00:00.

  • For API V2.0 it is sent when tag 269 (MDEntryType) is:

    • 6 Settlement Price

    • M Prior Settle Price

    • W Fixing price

    • I Indicative opening price

MDEntryPositionNo - 290

Tag number

Field Name

Required

Data type

290

MDEntryPositionNo

C

int

Comments

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1. The FIX client must determine where the new price belongs based on Tag 270 (MDEntryPx).

Condition: Tag 269 (MDEntryType) is either 0 (bid), 1 (offer), Y (implied bid), or Z (implied offer)

NumberOfOrders - 346

Tag number

Field Name

Required

Data type

346

NumberOfOrders

C

int

Comments

Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.

Condition: Sent only when all of the following are true:

  • Tag 18214 (IncludeNumberOfOrders) was set to Y on the Market Data Request (V) message.

  • Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).

  • The exchange provides this information.

Message Notes

The Market Data Snapshot Full Refresh (W) message is used by QST FIX server to respond to a Market Data Request (V) in the following cases:

  • One time, immediately after an incremental subscription before getting the initial incremental updates.

  • Tag 263 (SubscriptionRequestType) in the request is 0, indicating the client wants a single market snapshot.

  • Tag 263 (SubscriptionRequestType) in the request is 1 and Tag 265 (MDUpdateType) is 0, indicating the client subscribed to full market updates.

Examples

  1. Receiving a full refresh snapshot:

8=FIX.4.2|9=712|35=W|34=2|49=QSTFIXAPI|52=20200722-16:58:11.118252|56=ciumpy1|48=18531299|262=CL12.0001|268=17|269=1|270=325800|271=94|346=3|290=1|269=1|270=325825|271=99|346=1|290=2|269=1|270=325850|271=78|346=4|290=3|269=1|270=325875|271=104|346=1|290=4|269=1|270=325900|271=10|346=1|290=5|269=1|270=325925|271=110|346=1|290=6|269=1|270=32520000|271=50|346=1|290=7|269=0|270=325775|271=47|346=4|290=1|269=0|270=325725|271=98|346=4|290=2|269=0|270=325700|271=79|346=2|290=3|269=0|270=325625|271=1|346=1|290=4|269=0|270=325275|271=1313|346=2|290=5|269=0|270=325000|271=1|346=1|290=6|269=0|270=319725|271=10|346=1|290=7|269=0|270=319700|271=10|346=1|290=8|269=0|270=319675|271=20|346=2|290=9|269=0|270=319650|271=20|346=2|290=10|10=092|