| Tag | Name | Type | AssociatedDataTag | AbbrName | BaseCategory | BaseCategoryAbbrName | NotReqXML | EnumDatatype | UnionDataType | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 75 | Indicates date of trading day. Absence of this field indicates current day (expressed in local time at place of trade). | |||||||||||
| 277 | Type of market data entry. | |||||||||||
| 336 | Identifier for a trading session. A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties. To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336). Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility. | |||||||||||
| 1301 | Identifies the market | |||||||||||
| 1477 | Type of reference to another News(35=B) message item. |
| Tag | Name | Type | AssociatedDataTag | AbbrName | BaseCategory | BaseCategoryAbbrName | NotReqXML | EnumDatatype | UnionDataType | Description | Elaboration |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2445 | AggressorTime | UTCTimestamp | AgrsrTm | 0 | Timestamp of aggressive order or quote resulting in match event. | ||||||
| 2446 | AggressorSide | char | AgrsrSide | 0 | 54 | Side of aggressive order or quote resulting in match event. | |||||
| 2447 | FastMarketIndicator | Boolean | FastMktInd | 0 | Indicates if the instrument is in "fast market" state. | A "fast market" is a state in which market rules are applied to instrument(s) or entire trading session when market events causes significant price movements due to public information. | |||||
| 2448 | LinkageHandlingIndicator | Boolean | LnkgHandlInd | 0 | Indicate whether linkage handling is in effect for an instrument or not. | ||||||
| 2449 | NumberOfBuyOrders | int | NumOfBuyOrds | 0 | Number of buy orders involved in a trade. | ||||||
| 2450 | NumberOfSellOrders | int | NumOfSellOrds | 0 | Number of sell orders involved in a trade. | ||||||
| 2451 | SettlPriceDeterminationMethod | int | SettlPxDtrmnMeth | 0 | Reserved100Plus | Calculation method used to determine settlement price. |
| Tag | Value | SymbolicName | Group | Sort | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|
| 277 | AV | QuoteSpread | 81 | Quote spread | |||
| 1178 | 1 | Customer | Customer | Quantity of retail investors. | |||
| 1477 | 1 | Other language |
| Tag | Value | SymbolicName | Group | Sort | Description | Elaboration |
|---|---|---|---|---|---|---|
| 269 | e | PreviousClosingPrice | 40 | Previous closing price | ||
| 277 | AU | TradeThroughExempt | 80 | Trade through exempt | Trade ignored prices on away markets. | |
| 277 | AW | LastAuctionPrice | 82 | Last auction price | Trade represents outcome of last auction | |
| 277 | AX | HighPrice | 83 | High price | Trade establishes new high price for the session | |
| 277 | AY | LowPrice | 84 | Low price | Trade establishes new low price for the session | |
| 277 | AZ | SystematicInternalizer | 85 | Systematic internalizer | Trade conducted by systematic internalizer | |
| 277 | BA | AwayMarket | 86 | Away market | Trade conducted on away market | |
| 277 | BB | MidpointPrice | 87 | Mid-point price | Trade represents current midpoint price | |
| 277 | BC | TradedBeforeIssueDate | 88 | Traded before issue date | Trade conducted during subscription phase of new issue | |
| 277 | BD | PreviousClosingPrice | 89 | Previous closing price | Trade represents closing price of previous business day | |
| 277 | BE | NationalBestBidOffer | 90 | National Best Bid and Offer | Trade price within National Best Bid and Offer (NBBO) | |
| 336 | 7 | Holiday | 7 | Holiday | ||
| 1174 | 9 | CorporateAction | 9 | Corporate action | ||
| 1178 | 2 | CustomerProfessional | 2 | Customer professional | Quantity of high-volume investors acting similar to broker-dealers. | |
| 1178 | 3 | DoNotTradeThrough | 3 | Do not trade through | Quantity that cannot trade through the away markets. | |
| 1477 | 3 | Withdrawal | 3 | Withdrawal | Withdrawal of the referenced news item, e.g. to correct an error. |
| MsgType | ComponentID | Name | CategoryID | SectionID | AbbrName | NotReqXML | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|---|---|
| V | 29 | Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A MarketDataRequest(35=V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set. |
| ComponentID | ComponentType | CategoryID | Name | AbbrName | NotReqXML | Volume | Description | Elaboration | Deprecated |
|---|---|---|---|---|---|---|---|---|---|
| 2198 | Common | Conveys a list of markets and, optionally, their market segments. Note that the component MarketSegmentGrp exists, but is not useful for this purpose, as it conveys additional information not appropriate in this context. |
| ComponentID | TagText | Indent | Position | Reqd | Description |
|---|---|---|---|---|---|
| 29 | 262 | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request). | |||
| 29 | 263 | SubscriptionRequestType(263) indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party. | |||
| 29 | Parties | ||||
| 29 | 265 | Required if SubscriptionRequestType(263) = 1(Snapshot + Updates). | |||
| 29 | 286 | Can be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price). | |||
| 29 | 547 | Can be used when MarketDepth(254) >= 2 and MDUpdateType(265) = 1(Incremental Refresh). | |||
| 29 | MDReqGrp | ||||
| 29 | InstrmtMDReqGrp | ||||
| 29 | TrdgSesGrp | ||||
| 30 | 262 | Conditionally required if this message is in response to a MarketDataRequest(35=V). | |||
| 30 | 963 | Unique identifier for the market data report. | |||
| 30 | Instrument | ||||
| 30 | UndInstrmtGrp | ||||
| 30 | MDFullGrp | ||||
| 126 | 324 | Required when mass status is in response to a SecurityMassStatusRequest(35=CN) message. | |||
| 39 | Instrument | ||||
| 39 | InstrumentExtension | ||||
| 39 | UndInstrmtGrp | ||||
| 39 | 354 | Must be set if EncodedText(355) field is specified and must immediately precede it. | |||
| 39 | 355 | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field. | |||
| 41 | 335 | Conditionally required when responding to a specific TradingSessionStatusRequest(35=g) | |||
| 41 | 1301 | Market for which trading session applies | |||
| 41 | 1300 | Market Segment for which trading session applies | |||
| 41 | 336 | Identifier for trading session | |||
| 41 | 338 | ||||
| 41 | 339 | ||||
| 41 | 340 | ||||
| 41 | 567 | Use with TradSesStatus(340) = 6(Request Rejected). | |||
| 41 | 354 | Must be set if EncodedText(355) field is specified and must immediately precede it. | |||
| 41 | 355 | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field. | |||
| 41 | Instrument | Use if status information applies only to a subset of all instruments. Use SecurityStatus(35=f) message instead for status on a single instrument. | |||
| 2031 | 269 | Required if NoMDEntries(268) > 0. | |||
| 2031 | 333 | Used to report low price in association with trade, bid or ask rather than a separate entity. | |||
| 2031 | 1048 | ||||
| 2031 | 278 | Conditionally required when maintaining an order-depth book (AggregatedBook(266) is "N"). Allows subsequent Incremental changes to be applied using MDEntryID(278). | |||
| 2031 | 270 | Conditionally required if MDEntryType(269) is not A (Imbalance), B (Trade Volume), or C (Open Interest); Conditionally required when MDEntryType(269) = Q (Auction clearing price). | |||
| 2031 | YieldData | ||||
| 2031 | SpreadOrBenchmarkCurveData | ||||
| 2031 | 271 | Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest). | |||
| 2031 | 286 | Used if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price). | |||
| 2031 | 432 | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry. | |||
| 2031 | 126 | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry. | |||
| 2031 | 1629 | Conditionally required when TimeInForce(59) = A (Good for Time). | |||
| 2031 | 828 | Specifies trade type when a trade is being reported. For optional use in reporting trades. | |||
| 2031 | 829 | For optional use in reporting trades. | |||
| 2031 | 574 | For optional use in reporting trades. | |||
| 2031 | 1390 | For optional use in reporting trades. | |||
| 2031 | 354 | Must be set if EncodedText(355) field is specified and must immediately precede it. | |||
| 2031 | 355 | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field. | |||
| 2031 | RelatedTradeGrp | For optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade. | |||
| 2031 | 528 | ||||
| 2032 | 269 | Conditionally required if MDUpdateAction(279) = 0 (New). Cannot be changed. | |||
| 2032 | 278 | If specified, must be unique among currently active entries if MDUpdateAction(279) = 0 (New); must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 2 (Delete); must be the same as a previous MDEntryID(278) if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is not specified; or must be unique among currently active entries if MDUpdateAction(279) = 1 (Change) and MDEntryRefID(280) is specified. | |||
| 2032 | 280 | If MDUpdateAction(279) = 0 (New), for the first market data entry in a message, either this field or a security symbol must be specified. If MDUpdateAction(279) = 1 (Change), this must refer to a previous MDEntryID(278). | |||
| 2032 | Instrument | ||||
| 2032 | UndInstrmtGrp | ||||
| 2032 | 270 | Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) is not A (Imbalance), B (Trade volume), or C (Open interest). Conditionally required when MDEntryType(269) = Q (Auction clearing price). | |||
| 2032 | 271 | Conditionally required when MDUpdateAction(279) = 0 (New) and MDEntryType(269) = 0 (Bid), 1 (Offer), 2 (Trade), B (Trade volume), or C (Open interest). | |||
| 2032 | 828 | For optional use in reporting trades. | |||
| 2032 | 829 | For optional use in reporting trades. | |||
| 2032 | 574 | For optional use in reporting trades. | |||
| 2032 | 1390 | For optional use in reporting trades. | |||
| 2032 | 286 | Used if MDEntryType(269) = 4 (Opening Price), 5 (Closing Price), or 6 (Settlement Price). | |||
| 2032 | 432 | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry. | |||
| 2032 | 126 | For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry. | |||
| 2032 | 1629 | Conditionally required when TimeInForce(59)= 10 (Good for Time). | |||
| 2032 | 354 | Must be set if EncodedText(355) field is specified and must immediately precede it. | |||
| 2032 | 355 | Encoded (non-ASCII characters) representation of the Text(58) field in the encoded format specified via the MessageEncoding(347) field. | |||
| 2032 | 1048 |
| ComponentID | TagText | Indent | Position | Reqd | Description |
|---|---|---|---|---|---|
| 29 | MarketSegmentScopeGrp | 0 | 11 | 0 | Can be used to limit the result set to the specified markets or market segments. |
| 29 | 2447 | 0 | 22.5 | 0 | |
| 30 | 779 | 0 | 7 | 1 | |
| 126 | 75 | 0 | 6.4 | 0 | Business day that the state change applies to. |
| 126 | 2447 | 0 | 11.4 | 0 | |
| 39 | 75 | 0 | 9.5 | 0 | Business day that the state change applies to. |
| 39 | 2447 | 0 | 13.15 | 0 | |
| 39 | 730 | 0 | 23.4 | 0 | |
| 39 | 731 | 0 | 23.6 | 0 | |
| 39 | 2451 | 0 | 23.8 | 0 | |
| 39 | 2448 | 0 | 25.6 | 0 | |
| 41 | 75 | 0 | 2.6 | 0 | Business day for which trading session applies to. |
| 41 | 2447 | 0 | 8.5 | 0 | Indicates if trading session is in fast market. |
| 41 | 60 | 0 | 15.4 | 0 | |
| 2031 | 2447 | 1 | 11.6 | 0 | |
| 2031 | 2449 | 1 | 27.3 | 0 | For optional use in reporting trades. |
| 2031 | 2450 | 1 | 27.6 | 0 | For optional use in reporting trades. |
| 2031 | RelatedTradeGrp | 1 | 31.7 | 0 | For optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade. |
| 2031 | 731 | 1 | 34.63 | 0 | |
| 2031 | 2451 | 1 | 34.66 | 0 | |
| 2031 | 2445 | 1 | 36 | 0 | |
| 2031 | 2446 | 1 | 37 | 0 | |
| 2032 | 2447 | 1 | 22.6 | 0 | |
| 2032 | RelatedTradeGrp | 1 | 24.8 | 0 | For optional use when reporting trades. List of trades related to the current market data entry, e.g. leg trades of a multi-leg trade. |
| 2032 | 2449 | 1 | 38.3 | 0 | For optional use when reporting trades |
| 2032 | 2450 | 1 | 38.6 | 0 | For optional use when reporting trades |
| 2032 | 731 | 1 | 46.53 | 0 | |
| 2032 | 2451 | 1 | 46.56 | 0 | |
| 2032 | 2445 | 1 | 46.73 | 0 | Entry time of the incoming order that triggered the trade |
| 2032 | 2446 | 1 | 46.76 | 0 |