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. This message is typically used by market data providers to disseminate real-time or delayed market data to subscribers, such as trading systems, algorithmic trading strategies, or market analysis tools.

Usage

The Market Data Snapshot message is used by market data providers to distribute real-time or delayed market data to subscribers. 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.

Subscribers, such as trading systems or algorithmic trading strategies, use the information provided in the Market Data Snapshot message to make informed trading decisions. They may analyze the market data to identify trading opportunities, assess market liquidity, or monitor the market for specific events or conditions.

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
1151SecurityGroup-An exchange specific name assigned to a group of related securities.
268NoMDEntries-Number of entries in Market Data message.
269MDEntryType-Type of market data entry. Valid values:
0 = Bid
1 = Offer
2 = Trade
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-Identifier for Trading Session.
1070MDQuoteType-Identifies market data quote type.
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