Market Data Incremental Refresh (X) message

Purpose

Used to send updated market data for an instrument

Message Direction

From QST FIX server to FIX client

Supported tags

Note

Each Market Data Incremental Refresh message should start with Standard Header component(with the tag 35 (MsgType) = X) and end with the Standard Trailer.

MDReqID - 262

Tag number	Field Name	Required	Data type
262	MDReqID	Y	String

Comments

Unique ID matching the incoming request ID, sent in Tag 262 (MDReqID) in the :ref:Market Data Request (V) message <market_data_request>. QST FIX server returns this ID in all responses corresponding to the Market Data Request (V) request.

TradeDate - 75

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number	Field Name	Required	Data type
75	TradeDate	N	LocalMktDate

Comments

Indicates the date of the trade session. Will be set as YYYYMMDD.

NoMDEntries - 268

Tag number	Field Name	Required	Data type
268	NoMDEntries	Y	NumInGroup

Comments

Number of market data entries in the message. Starts the repeating group.

MDEntry Group

MDUpdateAction - 279

Tag number	Field Name	Required	Data type
279	MDUpdateAction	Y	String

Comments

Specifies the type of market data update.

Supported values include:

0 New

1 Change

2 Delete

Warning

Supported only for clients that use API V2.0 version of the protocol:

3 Append

4 Delete From

5 Delete Until

6 Delete All

MDEntryType - 269

Tag number	Field Name	Required	Data type
269	MDEntryType	Y	char

Comments

Type of market data to request.

Supported values include:

0 Bid (For stocks, this represents: Round lot, Ready Market)

1 Ask (For stocks, this represents: Round lot, Ready Market)

2 Trade

4 Opening price

5 Closing price

6 Settlement price

7 Trading session high price

8 Trading session Low price

B Trade volume

Y Implied bid (For stocks, this represents: Odd lot, Unit Share)

Z Implied ask (For stocks, this represents: Odd lot, Unit Share)

t Initial settlement price

Warning

The next fields are only supported for clients that use API V2.0 version of the protocol:

C Open interest

N Day high bid

O Day low ask

W Fixing price

M Prior Settle Price

I Indicative opening price

MDEntryPx - 270

Tag number	Field Name	Required	Data type
270	MDEntryPx	Y	Price

Comments

Price of the instrument associated with this entry. Interpret the value based on the entry type.

MDEntrySize - 271

Tag number	Field Name	Required	Data type
271	MDEntrySize	C	Qty

Comments

Quantity associated with the related instrument.

Note

For Indicative Opening price the quantity represents the volume.

Condition: Sent when tag 269 (MDEntryType) is:

0 Bid

1 Ask

2 Trade

B Trade volume

Y Implied bid

Z Implied ask

I Indicative opening price

MDEntryDate - 272

Tag number	Field Name	Required	Data type
272	MDEntryDate	C	UCDateOnly

Comments

Date extracted from tiemstamp of the entry.

Condition:

For API V1.0 it is sent when tag 269 (MDEntryType) is:
- 6 Settlement Price
For API V2.0 it is sent when tag 269 (MDEntryType) is:
- 6 Settlement Price
- M Prior Settle Price
- W Fixing price
- I Indicative opening price

MDEntryTime - 273

Tag number	Field Name	Required	Data type
273	MDEntryTime	C	UCTimeOnly

Comments

Time extracted from tiemstamp of the entry.

Condition:

For API V1.0 it is sent when tag 269 (MDEntryType) is:

6 Settlement Price

Note

It will be set to 00:00:00.

For API V2.0 it is sent when tag 269 (MDEntryType) is:

6 Settlement Price

M Prior Settle Price

W Fixing price

I Indicative opening price

MDEntryPositionNo - 290

Tag number	Field Name	Required	Data type
290	MDEntryPositionNo	C	int

Comments

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1. The FIX client must determine where the new price belongs based on Tag 270 (MDEntryPx).

Condition: Tag 269 (MDEntryType) is either 0 (bid), 1 (offer), Y (implied bid), or Z (implied offer)

NumberOfOrders - 346

Tag number	Field Name	Required	Data type
346	NumberOfOrders	C	int

Comments

Number of orders that comprise the quantity represented in Tag 271 (MDEntrySize) of this message.

Condition: Sent only when all of the following are true:

Tag 18214 (IncludeNumberOfOrders) was set to Y on the Market Data Request (V) message.

Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).

The exchange provides this information.

SecurityID - 48

Tag number	Field Name	Required	Data type
48	SecurityID	Y	String

Comments

QST internal instrument ID that uniquely identifies the instrument in the QST platform (equivalent to 22 = 96 (QST internal instrument id)).

Symbol - 55

Tag number	Field Name	Required	Data type
55	Symbol	N	String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Exchange-provided product symbol for the tradable product.

SecurityDesc - 107

Tag number	Field Name	Required	Data type
107	SecurityDesc	N	String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Security description.

Product - 460

Tag number	Field Name	Required	Data type
460	Product	N	Int

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Indicates the type of product the security is associated with.

Supported values include:

2 Commodity

4 Currency

6 Government

5 Equity

12 Others

14 Energy

SecurityType - 167

Tag number	Field Name	Required	Data type
167	SecurityType	Y	String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Asset class of the instrument.

Supported values:

FUT Future

MLEG Multi-leg

OPT Option

B Bond

E Equity Outright

ED Equity Derivative

I Index

FX Index

CFD Index

PHY Index

MaturityMonthYear - 200

Tag number	Field Name	Required	Data type
200	MaturityMonthYear	N	MonthYear

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Month and year the instrument reaches maturity in the format YYYYMM.

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when Tag 167 (SecurityType) is not MLEG

MaturityDate - 541

Tag number	Field Name	Required	Data type
541	MaturityDate	C	LocalMktDate

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Maturity date in format YYYYMMDD.

Note

This tag value overrides tag 200 (MaturityMonthYear) and tag 205 (MaturityDay), if they are also specified.

Condition: Required when Tag 167 (SecurityType) is not MLEG

MaturityDay - 205

Tag number	Field Name	Required	Data type
205	MaturityDay	C	DayOfMonth

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Maturity day for the instrument, provided only for daily(non-monthly) instruments.

QST FIX server uses this value and Tag 200 (MaturityMonthYear) to specify the maturity date when Tag 167 (SecurityType) is not MLEG.

Range: 1-31

Note

If included, tag 541 (MaturityDate) will override this tag.

Condition: Required when multiple contracts exist for the same month.

DeliveryTerm - 18211

Tag number	Field Name	Required	Data type
18211	DeliveryTerm	N	String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Term of delivery for the instrument.

Supported values include:

M Month

D Day

SecurityExchange - 207

Tag number	Field Name	Required	Data type
207	SecurityExchange	C	Exchange

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Name of the market where the instrument trades.

QST FIX server uses this value to identify the exchange that offers the security.

Supported values include:

CME - For all exchanges that are part of the CME Group(NYMEX, COMEX, CBOT, CME, KCBT).

ICE - For ICE US.

Condition: Required when Tag 100 (ExDestination) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

ExDestination - 100

Tag number	Field Name	Required	Data type
100	ExDestination	C	Exchange

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Market Identifier Code (MIC) of the sub-market where the instrument trades(according to ISO 10383).

Supported values:

XCBT

XCME

XNYM

XCEC

KCBT

IFUS

Condition: Required when Tag 207 (SecurityExchange) is absent and when tag 22 (IDSource) is 8 (Exchange security ID), 97 (Alias) or 98 (Exchange instrument symbol).

CFICode - 461

Tag number	Field Name	Required	Data type
461	CFICode	C	String

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

Supported values include:

F Future

OP Option Put

OC Option Call

M MLEG

X Unkown value

Currency - 15

Tag number	Field Name	Required	Data type
15	Currency	C	Currency

Comments

Note

Supported only for clients that use API V1.0 version of the protocol.

ISO-standard symbol for the instrument’s trading currency.

NoMdFeedTypes Group

MDFeedType - 1022

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number	Field Name	Required	Data type
1022	MDFeedType	N	String

Comments

Describes a class of service for a given data feed.

Supported values include:

O Outright book depth

I Implied book depth

Note

This field will only be sent if the client is subscribed to ASK, BID, ASK IMPLIED or BID IMPLIED.

MarketDepth - 264

Warning

Supported only for clients that use API V2.0 version of the protocol.

Tag number	Field Name	Required	Data type
264	MarketDepth	N	int

Comments

Identifies the depth of book.

Note

This field will only be sent if the client is subscribed to ASK, BID, ASK IMPLIED or BID IMPLIED.

Warning

If this is received, the client should update the book MD. This might happen, but very rarely.

Message Notes

The Market Data Incremental Refresh (X) message is used to send updates whenever the market data changes for an instrument to which a FIX client subscribes for incremental updates.

Calculating entry positions for the `API V1.0` version of the protocol

Market Data Incremental Refresh (X) messages can contain multiple New, Delete and Change actions for the same contract and MDEntryType. The FIX client must take into account that Tag 290 (MDEntryPositionNo) in an update or in a delete action, always indicates the position of the entry before processing the current message.

The following shows an example of an algorithm you can use to process market depth updates:

Create a ladder data structure that is sorted by price.

Create a before instance and an after instance.

Populate before instance with the Market Data Snapshot (W) message.

When a Market Data Incremental Refresh (X) is received and:

Tag 279 (MDUpdateAction) is 0 (New), insert it directly into the after instance.

Tag 279 (MDUpdateAction) is 1 (Change), apply the quantity change to the before instance.

Tag 279 (MDUpdateAction) is 2 (Delete), mark it for deletion in the before instance but do not actually delete it.

After the entire Market Data Incremental Refresh (X) is processed in this manner, insert all records not marked for deletion in the before instance into the after instance.

Delete the contents of the before instance.

Copy the contents of after instance to the before instance.

Display the after instance to the user.

Calculating entry positions for the `API V2.0` version of the protocol

Warning

Supported only for clients that use API V2.0 version of the protocol.

Market Data Incremental Refresh (X) messages can contain multiple New, Delete and Change actions for the same contract and MDEntryType. The FIX client must take into account that Tag 290 (MDEntryPositionNo) in all actions, always indicates the position relative to the current instance. For example if the client receives a delete on position 1 and an update on position 2. The position for the second action(update) is relative to the resulted instance after applying the delete action.

The following shows an example of an algorithm you can use to process market depth updates:

Create a ladder data structure that is sorted by price, with the depth received in the security definition(tags NoMdFeedTypes, MDFeedType, and MarketDepth).

Create an instance that is populated with the Market Data Snapshot (W) message.

When a Market Data Incremental Refresh (X) is received and:

Note

When processing an insert, the client should shift down all the levels greater than the one inserted and if the last level exceeds the maximum book depth, it should be deleted.

When processing an append, if the action makes the book to grow above its maximum depth, the client should delete the last entry of the book.

When processing a delete, the client should shift up all the levels bigger than the one deleted.

When processing a delete until, the client should shift up by the number of levels received, all entries from the current book that have a level bigger than the level of the action received.

Tag 279 (MDUpdateAction) is 0 (New), insert it directly into the instance.

Tag 279 (MDUpdateAction) is 1 (Change), apply the price, quantity, and number of orders change to the instance.

Tag 279 (MDUpdateAction) is 2 (Delete), delete it from the instance.

Tag 279 (MDUpdateAction) is 3 (Append), insert a new book entry at the end of the book with received values.

Tag 279 (MDUpdateAction) is 4 (Delete From), delete all levels of the book starting from received level (including) to the last level.

Tag 279 (MDUpdateAction) is 5 (Delete Until), delete all levels of the book starting from the first level till the received level (including).

Tag 279 (MDUpdateAction) is 6 (Delete All), delete delete all levels of the book.

Display the instance to the user.

Examples

Receiving an incremental refresh:

8=FIX.4.2|9=136|35=X|34=3|49=QSTFIXAPI|52=20200722-16:59:05.936198|56=ciumpy1|262=CL12.0001|268=1|279=1|269=1|48=18531299|270=325825|271=28|346=2|290=1|10=254|

Market Data Incremental Refresh (X) message

Purpose

Message Direction

Supported tags

MDReqID - 262

TradeDate - 75

NoMDEntries - 268

MDEntry Group

MDUpdateAction - 279

MDEntryType - 269

MDEntryPx - 270

MDEntrySize - 271

MDEntryDate - 272

MDEntryTime - 273

MDEntryPositionNo - 290

NumberOfOrders - 346

SecurityID - 48

Symbol - 55

SecurityDesc - 107

Product - 460

SecurityType - 167

MaturityMonthYear - 200

MaturityDate - 541

MaturityDay - 205

DeliveryTerm - 18211

SecurityExchange - 207

ExDestination - 100

CFICode - 461

Currency - 15

NoMdFeedTypes Group

MDFeedType - 1022

MarketDepth - 264

Message Notes

Calculating entry positions for the API V1.0 version of the protocol

Calculating entry positions for the API V2.0 version of the protocol

Examples

Calculating entry positions for the `API V1.0` version of the protocol

Calculating entry positions for the `API V2.0` version of the protocol