Orchimate 1.5.0 /

FIX4.2

The Market Data messages are used as the response to a Market Data Request message. In all cases, one Market Data message refers only to one Market Data Request. 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, or any combination of these.

Market Data messages sent as the result of a Market Data Request message are tagged with the appropriate MDReqID. Unsolicited Market Data messages can be sent; in such cases, MDReqID will not be present.

If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:

• The forex Symbol is defined in "EBS" (Electronic Banking System) format: "CCY1/CCY2".
• Rates are expressed as "currency1 in currency2" (or "currency2 per currency1") and are calculated as CCY2 divided by CCY1 (NOT CCY1 divided by CCY2)
• e.g. "GBP/USD" represents a rate expressed as USD per GBP, "USD/JPY" represents a rate expressed as JPY per USD, etc.).
• CCY1 and CCY2 are ISO currency codes
• The value of the Currency field represents the denomination of the quantity fields (e.g. JPY represents quantity of JPY).
• See Appendix O – Foreign Exchange Trading

Market Data messages include many fields, and not all are required to be used. A firm may, at its option, choose to send the minimum fields required, or may choose to send more information, such as tick direction, tagging of best quotes, etc.

Market Data messages can take two forms. The first Market Data message format used for a Snapshot, or a Snapshot + Updates where MDUpdateType = Full Refresh (0) is as follows:

• For Market Data Requests where a Bid or Offer is added, changed, or deleted, every update to a Market Data Entry results in a new Market Data message that contains the entirety of the data requested for that instrument, not just the changed Market Data Entry. In other words, both sides of the market, or just one side in the case of a request of only bids or offers, for the depth requested, must be sent in one FIX Market Data message.
• A Market Data message may contain several trades, an index value, opening, closing, settlement, high, low, and/or VWAP price for one instrument, but only one instrument per message.
• Messages containing bids and/or offers cannot contain trades, index value, opening, closing, settlement, high, low, and/or VWAP prices.