Usage
The Venue sends Moment a Market Data Incremental Refresh to create a new quote, update an existing quote, or delete an existing quote. On connection, the Venue sends Moment a snapshot of all outstanding quotes in the order book, followed by incremental updates. These are all sent as 35=X Market Data Incremental Refresh messages.
Moment does not support messages 35=V Market Data Request and 35=W Snapshot/Full Refresh messages.
Schema
| Field Name | Tag | Required | Notes |
|---|---|---|---|
| StandardHeader | |||
| MsgType | 35 | Y | "X" |
| NoMDEntries | 268 | Y | The number of market data entries that follow. Each entry repeats the following fields. Prefer sending "1" if possible. |
| =>MDUpdateAction | 279 | Y | 0 = New 1 = Change 2 = Delete |
| =>MDEntryType | 269 | C | Conditionally required if MDUpdateAction=0 (New). 0 = Bid 1 = Offer |
| =>MDEntryID | 278 | Y | The unique identifier of the market data entry. Must be unique within one trading day. |
| =>SecurityID | 48 | Y | The ISIN of the security. |
| =>SecurityIDSource | 22 | Y | Always "4" = ISIN |
| =>MDEntryPx | 270 | C | Conditionally required if MDUpdateAction=0 (New). Price. |
| =>MDEntrySize | 271 | C | Conditionally required if MDUpdateAction=0 (New). Size in par value. |
| =>MinQty | 110 | C | Conditionally required if MDUpdateAction=0 (New). Minimum size in par value. |
| =>PriceType | 423 | C | Conditionally required if MDUpdateAction=0 (New) and if prices can come in multiple representations. Price type, as per the standard FIX spec. 1 = Percentage 4 = Discount 6 = Spread 9 = Yield |
| =>BenchmarkCurveName | 221 | C | Conditionally required if PriceType=6 (Spread). Name of the benchmark the spread is relative to. |
| StandardTrailer |