The MDFullGrp is a repeating group within the Market Data Incremental Refresh (35=X) message in the FIX (Financial Information eXchange) protocol. It contains detailed information about individual market data entries, including prices, quantities, and other relevant data. This group is used to provide a comprehensive snapshot of market data updates for multiple financial instruments within a single message.
Usage
The MDFullGrp repeating group is used within the Market Data Incremental Refresh (35=X) message to convey detailed information about individual market data entries. It allows market data providers to efficiently transmit updates for multiple financial instruments in a single message, reducing network bandwidth and processing overhead.
Each instance of the MDFullGrp group represents a distinct market data entry, providing essential details such as price, quantity, time, and associated trade or order identifiers. By including multiple entries within a single message, the MDFullGrp enables subscribers to receive comprehensive updates on multiple instruments simultaneously, facilitating real-time decision-making and analysis.
The MDFullGrp group is a crucial component of market data feeds used by trading platforms, algorithmic trading systems, and other financial applications that require timely and accurate information about market prices, volumes, and trading activity.
Message Fields
| Tag | Field Name | Data Type | Accepted Enums |
|---|---|---|---|
| 268 | NoMDEntries | - | |
| 2446 | AggressorSide | STRING | 1 = BUY 2 = SELL |
| 15 | Currency | CURRENCY | |
| 18 | ExecInst | MULTICHAR | J = SINGLE_EXECUTION_REQUESTED_FOR_BLOCK_TRADE G = ALL_OR_NONE 6 = PARTICIPATE_DONT_INITIATE b = STRICT_LIMIT R = BEST_LIMIT T = IMMEDIATELY_EXECUTABLE_LIMIT |
| 126 | ExpireTime | UTCTIMESTAMP | |
| 332 | HighPx | PRICE | |
| 31 | LastPx | PRICE | |
| 283 | LocationID | STRING | |
| 333 | LowPx | PRICE | |
| 272 | MDEntryDate | UTCDATEONLY | |
| 278 | MDEntryID | STRING | |
| 270 | MDEntryPx | PRICE | |
| 271 | MDEntrySize | QTY | |
| 273 | MDEntryTime | UTCTIMEONLY | |
| 269 | MDEntryType | CHAR | 0 = BID 1 = OFFER 2 = TRADE |
| 1070 | MDQuoteType | INT | 0 = INDICATIVE 1 = TRADEABLE 2 = RESTRICTED_TRADEABLE 3 = COUNTER 4 = INDICATIVE_AND_TRADEABLE |
| 279 | MDUpdateAction | CHAR | 0 = NEW 1 = CHANGE 2 = DELETE |
| 110 | MinQty | QTY | |
| 286 | OpenCloseSettlFlag | MULTICHAR | 0 = DAILY_OPEN 1 = SESSION_OPEN 2 = DELIVERY_SETTLEMENT_ENTRY 3 = EXPECTED_ENTRY 4 = ENTRY_FROM_PREVIOUS_BUSINESS_DAY 5 = THEORETICAL_PRICE_VALUE |
| 40 | OrdType | CHAR | 2 = LIMIT 3 = STOP 4 = STOP_LIMIT K = MARKET_WITH_LEFT_OVER_AS_LIMIT |
| 37 | OrderID | STRING | |
| Parties | Component | - | |
| 762 | SecuritySubType | STRING | |
| 58 | Text | STRING | |
| 59 | TimeInForce | CHAR | 0 = DAY 1 = GOOD_TILL_CANCEL 3 = IMMEDIATE_OR_CANCEL 6 = GOOD_TILL_DATE |
| 1003 | TradeID | STRING | |
| 336 | TradingSessionID | STRING | |
| 828 | TrdType | INT | 0 = REGULAR_TRADE (Default) |