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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
    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.

    MsgType Tag 35 (string)

    Possible values: [W]

    Message Type = W (Market Data Snapshot Full Refresh)

    MDUpdateAction

    Possible values: 0: New, 1: Update, 2: Delete.

    MDEntryType

    Possible values: 0: Bid, 1: Offer, J: Empty Book, 2: Trade. When 269 = J, please clean the entire order book.

    MDEntryPx
    MDEntrySize
    NumberOfOrders