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Market Data Snapshot (W)

Sent in response to a MarketDataRequest. This message can contain a 2 sided list of quotes for a single security.

In the FIX (Financial Information eXchange) protocol, the Market Data Snapshot message (MsgType = W) is used to provide a snapshot of market data for a specific instrument or a collection of instruments at a particular point in time. It contains essential information about the current state of the market, including prices, sizes, and timestamps of various market data entries such as bids, offers, trades, etc.

Message Fields

TagField NameRequiredNote
StandardHeader
MsgType = W.
22IDSource
Identifies class or source of the SecurityID (48) value. Required if SecurityID is specified.
48SecurityID
Symbol of the instrument being traded.
BTC/USD
ETH/USD
55Symbol
Symbol of the instrument being traded.
BTC/USD
ETH/USD
167SecurityType
Indicates type of security.
262MDReqID
Unique identifier for Market Data Request
268NoMDEntries
Number of entries in Market Data message.
269MDEntryType
Type of market data entry.
0 = Bid
1 = Offer
2 = Trade
4 = Opening Price
5 = Closing Price
6 = Settlement Price
7 = Trading Session High Price
8 = Trading Session Low Price
B = Trade Volume
270MDEntryPx
Price of the Market Data Entry.
271MDEntrySize
Qty represented by the Market Data Entry.
272MDEntryDate
Date of Market Data Entry.
273MDEntryTime
Time of Market Data Entry.
59TimeInForce
Specifies how long the order remains in effect. Absence of this field is interpreted as DAY.
37OrderID
Unique identifier for Order
278MDEntryID
Unique Market Data Entry identifier.
40OrdType
Order type. Valid values:
2 = Limit
3 = Stop
4 = Stop Limit
K = Market with left over as Limit
336TradingSessionID

CLOSED
HALTED
SUSPENDED
PREOPEN
OPEN
TERMINATED
EXPIRED

These field will be sent when 269=B and will return the market status

1070MDQuoteType
Identifies market data quote type.
1151SecurityGroup
An exchange specific name assigned to a group of related securities.
10StandardTrailer

Example Message

# Market Data Response
8    =  FIXT.1.1
9    =  1187
35   =  W
34   =  8819
49   =  ZERO
52   =  20220915-09:58:59.131087940
56   =  YOURSENDERCOMP
22   =  8
48   =  BTC/USD
55   =  BTC/USD
167  =  NONE
262  =  ZERO
268  =  11
269  =  0
270  =  20000.00
271  =  0.01000000
272  =  20220915
273  =  09:58:58.701896604
59   =  1
37   =  1570062592651415552
278  =  1570062592651415552
40   =  2
269  =  0
270  =  19931.67
271  =  0.00775000
272  =  20220915
273  =  09:58:58.701896604
59   =  1
37   =  1570351436330594304
278  =  1570351436330594304
40   =  2
269  =  0
270  =  19873.28
271  =  0.01550000
272  =  20220915
273  =  09:58:58.701896604
59   =  1
37   =  1570351460967936000
278  =  1570351460967936000
40   =  2
269  =  1
270  =  20335.34
271  =  0.00625000
272  =  20220915
273  =  09:58:58.701896604
59   =  1
37   =  1570351423974174720
278  =  1570351423974174720
40   =  2
269  =  1
270  =  20393.72
271  =  0.01250000
272  =  20220915
273  =  09:58:58.701896604
59   =  1
37   =  1570351448670236672
278  =  1570351448670236672
40   =  2
269  =  2
270  =  44000.00
271  =  0.02500000
272  =  20220914
273  =  18:12:59.695310898
336  =  OPEN
269  =  4
270  =  20523.20
272  =  20220914
273  =  12:44:19.851431213
336  =  OPEN 0    
1070 =  1
269  =  6
270  =  20318.00
272  =  20220914
273  =  12:44:03.897119444
336  =  OPEN
269  =  7
270  =  44000.00
272  =  20220914
273  =  18:12:59.695310898
336  =  OPEN
269  =  8
270  =  20333.32
272  =  20220914
273  =  14:31:11.180821686
336  =  OPEN
269  =  B
270  =  53138.0442000000
271  =  2.43500000
272  =  20220914
273  =  18:12:59.695310898
336  =  OPEN 1     
1151 =  BTC
10   =  238

# Example FIX Message
8=FIXT.1.1|9=2592|35=W|34=633|49=ZERO|52=20230418-10:31:53.671694278|56=C-SENDER-4|22=8|48=BTC/USD|55=BTC/USD|167=FXSPOT|262=KF-TEST-1|1151=BTC|268=22|269=0|270=29642.54|271=1.03125000|272=20230418|273=10:31:53.346704811|59=1|37=1648272887529566208|278=1648272887529566208|40=2|269=0|270=29633.55|271=2.06250000|272=20230418|273=10:31:53.346704811|59=1|37=1648272892308545536|278=1648272892308545536|40=2|269=0|270=29624.57|271=3.09375000|272=20230418|273=10:31:53.346704811|59=1|37=1648272897052987392|278=1648272897052987392|40=2|269=0|270=29615.59|271=4.12500000|272=20230418|273=10:31:53.346704811|59=1|37=1648272901902667776|278=1648272901902667776|40=2|269=0|270=29609.60|271=5.15625000|272=20230418|273=10:31:53.346704811|59=1|37=1648272906566733824|278=1648272906566733824|40=2|269=0|270=29600.62|271=6.18750000|272=20230418|273=10:31:53.346704811|59=1|37=1648272911380045824|278=1648272911380045824|40=2|269=0|270=29591.63|271=7.21875000|272=20230418|273=10:31:53.346704811|59=1|37=1648272916195790848|278=1648272916195790848|40=2|269=0|270=24000.00|271=0.00100000|272=20230418|273=10:31:53.346704811|59=1|37=1635303518873812992|278=1635303518873812992|40=2|269=0|270=20000.00|271=0.34000000|272=20230418|273=10:31:53.346704811|59=1|37=1647962390451802112|278=1647962390451802112|40=2|269=1|270=30241.37|271=1.03125000|272=20230418|273=10:31:53.346704811|59=1|37=1648272885002067968|278=1648272885002067968|40=2|269=1|270=30250.36|271=2.06250000|272=20230418|273=10:31:53.346704811|59=1|37=1648272889964613632|278=1648272889964613632|40=2|269=1|270=30259.34|271=3.09375000|272=20230418|273=10:31:53.346704811|59=1|37=1648272894651494400|278=1648272894651494400|40=2|269=1|270=30268.32|271=4.12500000|272=20230418|273=10:31:53.346704811|59=1|37=1648272899482554368|278=1648272899482554368|40=2|269=1|270=30274.31|271=5.15625000|272=20230418|273=10:31:53.346704811|59=1|37=1648272904255672320|278=1648272904255672320|40=2|269=1|270=30283.29|271=6.18750000|272=20230418|273=10:31:53.346704811|59=1|37=1648272909024595968|278=1648272909024595968|40=2|269=1|270=30292.28|271=7.21875000|272=20230418|273=10:31:53.346704811|59=1|37=1648272913795964928|278=1648272913795964928|40=2|269=2|270=29845.29|271=0.03000000|272=20230417|273=19:09:53.681343752|336=OPEN|269=4|270=23740.21|272=20230301|273=07:27:14.192944939|336=OPEN|1070=1|269=6|270=29871.01|272=20230418|273=10:30:02.088848545|336=OPEN|269=7|270=30601.80|272=20230412|273=10:57:30.721240790|336=OPEN|269=8|270=19894.69|272=20230310|273=14:48:33.657546283|336=OPEN|269=B|270=248417.7740584679|271=10.45056778|272=20230417|273=19:09:53.681343752|336=OPEN|10=225