Market Data Responses

Market Data Responses

A notification indicating a change in the top of the book for a particular instrument and side.

Syntax

MarketSnapshot <ClassId> <InstrumentId>
MD <InstrumentId> <MarketUpdateType> <Price> <Quantity> <Exchange>
MD <InstrumentId> <MarketUpdateType> <Price> <Quantity> <Exchange>
MarketSnapshotAck <ClassId> <InstrumentId>

Examples

ClassID & InstrumentID

MarketSnapshot 315807 10193648
MD 10193648 SESSION_HIGH 2333.5 0 CME
MD 10193648 CLOSE 2326.25 -1 CME
MD 10193648 ASK 2332.75 1000 CME
MD 10193648 LAST 2332.5 1 CME
MD 10193648 TRADE_VOLUME 0 21407 CME
MD 10193648 BID 2332.5 985 CME
MD 10193648 OPEN 2326 0 CME
MD 10193648 SESSION_LOW 2315.25 -1 CME
MarketSnapshotAck 315807 10193648

Only ClassID

MarketSnapshot 315807
MD 10209615 SESSION_HIGH 2326.5 -1 CME
MD 10209615 CLOSE 2321.25 -1 CME
MD 10209615 ASK 2324.75 7 CME
MD 10209615 LAST 2324.75 1 CME
MD 10209615 TRADE_VOLUME 0 100 CME
MD 10209615 BID 2323.5 6 CME
MD 10209615 OPEN 2325 -1 CME
MD 10209615 SESSION_LOW 2320 -1 CME
MD 10445000 SESSION_HIGH 2325 -1 CME
MD 10445000 CLOSE 2317 -1 CME
MD 10445000 ASK 0 0 NONE
MD 10445000 LAST 2324.5 5 CME
MD 10445000 TRADE_VOLUME 0 82 CME
MD 10445000 BID 0 0 NONE
MD 10445000 OPEN 2314.5 -1 CME
MD 10445000 SESSION_LOW 2314.5 -1 CME
MD 10745001 SESSION_HIGH 2312 -1 CME
MD 10745001 CLOSE 2312.75 -1 CME
MD 10745001 ASK 0 0 NONE
MD 10745001 LAST 2312 1 CME
MD 10745001 TRADE_VOLUME 0 3 CME
MD 10745001 BID 0 0 NONE
MD 10745001 OPEN 2312 -1 CME
MD 10745001 SESSION_LOW 2312 -1 CME
MD 10193648 SESSION_HIGH 2333.5 0 CME
MD 10193648 CLOSE 2326.25 -1 CME
MD 10193648 ASK 2332.75 1000 CME
MD 10193648 LAST 2332.5 10 CME
MD 10193648 TRADE_VOLUME 0 21406 CME
MD 10193648 BID 2332.5 986 CME
MD 10193648 OPEN 2326 0 CME
MD 10193648 SESSION_LOW 2315.25 -1 CME
MD 10589093 SESSION_HIGH 2314 -1 CME
MD 10589093 CLOSE 2313.25 -1 CME
MD 10589093 ASK 2314.25 10 CME
MD 10589093 LAST 2313.25 9 CME
MD 10589093 TRADE_VOLUME 0 11636 CME
MD 10589093 BID 2313.25 4 CME
MD 10589093 OPEN 2313.25 0 CME
MD 10589093 SESSION_LOW 2313.25 0 CME
MarketSnapshotAck 315807 0

MD Message Structure

Field Value(s) Repeating Comment Example Values
Header MD No Fixed header MD
InstrumentID Long No The InstrumentID 1001322
MarketUpdateType BID, ASK, CLOSE, LAST, LAST_BLOCK, TRADE_VOLUME, OPEN_INTEREST, OPEN, SESSION_HIGH, SESSION_LOW, BEST_HIGH_BID, BEST_LOW_ASK No   BID
Price Double No Market price 2.50
Quantity Integer No Market quantity 10
Exchange String No Exchange CME