Market data comprises various pieces of information including book data as well as status information. This gap analysis provides a number of extensions in this area to cover the requirements of the Internal Securities Exchange (ISE), one of the major equity options exchanges in the US.

New messages (SecurityMassStatus, SecurityMassStatusRequest) and fields have been added to be able to convey or request the trading status of an entire list (group) of securities. Market data entry types have been extended to cover bids and offers for market orders that by definition cannot be associated with a price level. The granularity of market data feed types has been enhanced through a new field MDSubFeedType. Existing fields MarketID and MarketSegmentID have been added to the root level of MarketDataSnapshotFullRefresh and MarketDataIncrementalRefresh to convey information about the market (segment), allowing the recipient to filter relevant information.

Update History

[Updated 2013-12-09] The FIXML Schema and FIX Repository files have been updated for the following changes: an update to the base FIX 5.0 SP2 (See 20131209 Errata Release Notes); an update to EP105 to correct an issue with incorrect coding of UndInstrmtGrp and InstrmtLegGrp components in the Repository; an error in EP106 was also corrected to resolve FIXML Schema validation issues with components assigned to incorrect component categories.

[Updated 2011-12-06]> Final repository and FIXML Schema released.

[Updated 2011-10-04] Preliminary repository and FIXML Schema released pending validation of prior EPs.

Files list:
FIX Protocol Gap Analysis Market Data Extensions v06_ASBUILT.pdf

Total Files3
File Size1.52 MB
Create DateJune 19, 2017