The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.

Market Data messages sent as the result of a Market Data Request message will specify the appropriate MDReqID <262>. Unsolicited Market Data messages can be sent; in such cases, MDReqID <262> will not be present.

Market Data messages include many fields, and not all are required to be used. A firm may, at its option, choose to send the minimum fields required, or may choose to send more information, such as tick direction, tagging of best quotes, etc.


Tag Field Name Req'd Comments
Component Block - <StandardHeader> Y MsgType = W
Component Block - <ApplicationSequenceControl> N
911 TotNumReports N Total number or reports returned in response to a request.
963 MDReportID N Unique indentifier for Market Data Report
715 ClearingBusinessDate N
1021 MDBookType N Describes the type of book for which the feed is intended. Can be used when multiple feeds are provided over the same connection
1173 MDSubBookType N Can be used to define a subordinate book.
264 MarketDepth N Can be used to define the current depth of the book.
1022 MDFeedType N Describes a class of service for a given data feed, ie Regular and Market Maker
1683 MDSubFeedType N
1187 RefreshIndicator N
75 TradeDate N Used to specify the trading date for which a set of market data applies
262 MDReqID N Conditionally required if this message is in response to a Market Data Request.
1500 MDStreamID N
1301 MarketID N
1300 MarketSegmentID N
Component Block - <Instrument> Y Insert here the set of "Instrument" (symbology) fields defined in "Common Components of Application Messages"
Component Block - <InstrumentExtension> N
Component Block - <FinancingDetails> N
Component Block - <UndInstrmtGrp> N Number of underlyings
Component Block - <InstrmtLegGrp> N Required for multileg quotes
Component Block - <RelatedInstrumentGrp> N
779 LastUpdateTime Y
291 FinancialStatus N
292 CorporateAction N
451 NetChgPrevDay N
1682 MDSecurityTradingStatus N
1684 MDHaltReason N
Component Block - <MDFullGrp> Y Number of entries following.
813 ApplQueueDepth N Depth of application messages queued for transmission as of delivery of this message
814 ApplQueueResolution N Action taken to resolve application queuing
Component Block - <RoutingGrp> N
Component Block - <StandardTrailer> Y