The second Market Data message format is used for incremental updates. Market Data Entries may have an MDEntryID <278> unique among all currently active Market Data Entries so they can be referenced for the purposes of deleting and changing them later. When changing a Market Data Entry, it may keep the same MDEntryID <278>, in which case only MDEntryID <278> would be populated, or the MDEntryID <278> may change, in which case MDEntryID <278> will contain the new ID, and MDEntryRefID <280> will contain the ID of the Market Data Entry being changed. An MDEntryID <278> can be reused within a day only if it has first been deleted.
Alternately, in the case of displaying the best quotes of Market Makers or Exchanges, and not orders in an order book, MDEntryID <278> can be omitted for simplification. In this case, a New Market Data Entry will replace the previous best quote for that side and symbol for the specified Market Maker or Exchange. Deletion of a Market Data Entry would not specify an MDEntryID <278> or MDRefID, and would remove the most recent Market Data Entry for the specified symbol, side, and Market Maker or Exchange. A Change of a Market Data Entry would not specify an MDEntryID <278> or MDRefID, and would replace the most recent Market Data Entry for the specified symbol, side, and Market Maker or Exchange.
The Market Data message for incremental updates may contain any combination of new, changed, or deleted Market Data Entries, for any combination of instruments, with any combination of trades, imbalances, quotes, index values, open, close, settlement, high, low, and VWAP prices, trade volume and open interest so long as the maximum FIX message size is not exceeded. All of these types of Market Data Entries can be changed and deleted.
Adding, Changing, or Deleting Market Data Entries requires special consideration of the MDEntryPositionNo <290> field, if the sender wishes to specify it and the receiver wishes to process it. For example, assume ten bids for a security. Adding a bid with MDEntryPositionNo <290> = 4 requires the receiver to shift down other Market Data Entries, i.e. the Market Data Entry in the 4th display position will shift to the 5th, the 5th shifts to the 6th, etc. until the 10th shifts to the 11th. The sender must NOT send a modification of all MDEntries in the 4th through 10th positions just to update the MDEntryPositionNo <290> field; the recipient must infer the change. Similarly, deleting a Market Data Entry in the 7th position causes the 8th Market Data Entry to move into the 7th position, the 9th to shift into the 8th position, etc. A Change of the MDEntryPositionNo <290> field of a Market Data Entry causes the Market Data Entries lying between the old and new positions to shift. For instance, a Market Data Entry that occupied the 5th position is changed to the 8th position. This means that the Market Data Entry in the 6th position shifts up to the 5th position, the 7th position shifts to the 6th, and what was in the 8th position shifts into the 7th to make room for the changed Market Data Entry that is being moved into the 8th position.
Several techniques are employed to conserve bandwidth:
Market Data - Incremental Refresh