Code Set
MDEntryTypeCodeSet
| ID | 269 |
| Type | char |
| Pedigree | Added FIX.4.2, Updated EP174 |
Type of market data entry.
| Name | Value | Synopsis | Elaboration | Pedigree |
|---|---|---|---|---|
| Bid | 0 | Bid | Added FIX.4.2 | |
| Offer | 1 | Offer | Added FIX.4.2 | |
| Trade | 2 | Trade | Added FIX.4.2 | |
| IndexValue | 3 | Index value | A reference stock index (e.g. DJIA) or benchmark rate (e.g. LIBOR). | Added FIX.4.2, Updated EP174 |
| OpeningPrice | 4 | Opening price | Added FIX.4.2, Updated EP174 | |
| ClosingPrice | 5 | Closing price | Added FIX.4.2, Updated EP174 | |
| SettlementPrice | 6 | Settlement price | Added FIX.4.2, Updated EP174 | |
| TradingSessionHighPrice | 7 | Trading session high price | Added FIX.4.2, Updated EP174 | |
| TradingSessionLowPrice | 8 | Trading session low price | Added FIX.4.2, Updated EP174 | |
| VWAP | 9 | Volume Weighted Average Price | VWAP | Added FIX.4.2, Updated EP267 |
| Imbalance | A | Imbalance | Added FIX.4.3, Updated EP174 | |
| TradeVolume | B | Trade volume | Added FIX.4.4, Updated EP174 | |
| OpenInterest | C | Open interest | Added FIX.4.4, Updated EP174 | |
| CompositeUnderlyingPrice | D | Composite underlying price | Added EP4, Updated EP174 | |
| SimulatedSellPrice | E | Simulated sell price | Added EP7, Updated EP174 | |
| SimulatedBuyPrice | F | Simulated buy price | Added EP7, Updated EP174 | |
| MarginRate | G | Margin rate | Added EP7, Updated EP174 | |
| MidPrice | H | Mid-price | Added EP7, Updated EP174 | |
| EmptyBook | J | Empty book | Added EP7, Updated EP174 | |
| SettleHighPrice | K | Settle high price | Added EP7, Updated EP174 | |
| SettleLowPrice | L | Settle low price | Added EP7, Updated EP174 | |
| PriorSettlePrice | M | Prior settle price | Added EP7, Updated EP174 | |
| SessionHighBid | N | Session high bid | Added EP7, Updated EP174 | |
| SessionLowOffer | O | Session low offer | Added EP7, Updated EP174 | |
| EarlyPrices | P | Early prices | Added EP8, Updated EP174 | |
| AuctionClearingPrice | Q | Auction clearing price | Added EP26, Updated EP174 | |
| SwapValueFactor | S | Swap Value Factor (SVF) for swaps cleared through a central counterparty (CCP) | Added EP54, Updated EP174 | |
| DailyValueAdjustmentForLongPositions | R | Daily value adjustment for long positions | Added EP55, Updated EP174 | |
| CumulativeValueAdjustmentForLongPositions | T | Cumulative value adjustment for long positions | Added EP55, Updated EP174 | |
| DailyValueAdjustmentForShortPositions | U | Daily value adjustment for short positions | Added EP55, Updated EP174 | |
| CumulativeValueAdjustmentForShortPositions | V | Cumulative value adjustment for short positions | Added EP55, Updated EP174 | |
| FixingPrice | W | Fixing price | Added EP84, Updated EP174 | |
| CashRate | X | Cash rate | Added EP84, Updated EP174 | |
| RecoveryRate | Y | Recovery rate | Added EP83, Updated EP174 | |
| RecoveryRateForLong | Z | Recovery rate for long positions | Added EP83, Updated EP174 | |
| RecoveryRateForShort | a | Recovery rate for short positions | Added EP83, Updated EP174 | |
| MarketBid | b | Market bid | Added EP106, Updated EP174 | |
| MarketOffer | c | Market offer | Added EP106, Updated EP174 | |
| ShortSaleMinPrice | d | Short sale minimum price | Added EP123, Updated EP174 | |
| PreviousClosingPrice | e | Previous closing price | Added EP190 | |
| ThresholdLimitPriceBanding | g | Threshold limits and price banding | Conveys incremental real time change to pre-configured or previously disseminated pricing thresholds and/or banding parameters. | Added EP267 |
| DailyFinancingValue | h | Daily financing value | The financing cost of rolling an analogous total return swap from the previous business day to the current business day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. | Added EP267 |
| AccruedFinancingValue | i | Accrued financing value | The total of the daily funding values or amounts from a contract's first day of trading to the current day. In the context of Adjusted Interest Rate (AIR) futures this is a component of the cleared futures price. | Added EP267 |
| TWAP | t | Time Weighted Average Price | TWAP | Added EP267 |
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