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Snapshot/Full Refresh (35=W)

The Market Data messages are used as the response to a Market Data Request (V) message. In all cases, one Market Data message refers only to one Market Data Request (V). 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.
Snapshot received
Schema
    StandardHeader objectrequired
    The header identifies the message type, length, destination, sequence number, origination point and time. Every FIX message begins with a Standard Header.
    BeginString Tag 8 (string)required

    Must be "FIX.4.4"

    BodyLength Tag 9 (integer)required

    Length of the message body in bytes

    MsgType Tag 35 (string)required

    Message Type

    MsgSeqNum Tag 34 (integer)required

    Integer message sequence number

    PossDupFlag Tag 43 (boolean)

    Indicates possible retransmission of message with this sequence number. If a message with this sequence number has been previously received, ignore message; if not, process normally.

    SenderCompID Tag 49 (string)required

    See FIX Endpoints for details

    TargetCompID Tag 56 (string)required

    See FIX Endpoints for details

    SendingTime Tag 52 (date-time)required

    Time when the message is being sent out from FIX Gateway

    PossResend Tag 97 (boolean)

    Indicates that message may contain information sent under another sequence number. Forward message to application and determine if previously received (i.e. verify order id and parameters).

    MDReqID Tag 262 (string)required

    Market Data channel. Possible values: book.{Symbol}.{MarketDepth}, e.g. book.BTC_USDT.50; trade.{Symbol}, e.g. trade.ETH_CRO

    MDEntryID Tag 278 (string)

    i. Trade ID when 269 = 2. ii. sequence id in order book

    Symbol Tag 55 (string)required
    MDEntryTimeMs Tag 10273 (integer)required

    Same meaning as 272 and 273, with representation as epoch in milliseconds

    NoMDEntries Tag 268 (integer)required

    Possible values: >= 1

    Number of market data entries.

    MDEntriesGrp objectrequired
    MDUpdateAction Tag 279 (string)required

    Possible values: [0, 1, 2]

    Type of Market Data update action.

    MDEntryType Tag 269 (string)required

    Possible values: [0, 1, 2, J]

    Type of market data entry.

    MDEntryPx Tag 270 (number)required

    Price of the Market Data Entry.

    MDEntrySize Tag 271 (number)required

    Quantity or volume represented by the Market Data Entry.

    NumberOfOrders Tag 346 (integer)

    Number of orders in the market.

    TakerSide Tag 10851 (string)

    Possible values: [1, 2]

    TrdMatchID Tag 880 (string)

    Identifier assigned by a matching system to a match event that results in multiple executions or trades.

    StandardTrailer objectrequired
    Each FIX message is terminated by a Standard Trailer as a message delimiter as well as containing the checksum value.
    CheckSum Tag 10 (string)required

    Three bytes, simple checksum. Always last field in message