Market Data Incremental Refresh (35=X)

Usage

The Venue sends Moment a Market Data Incremental Refresh to create a new quote, update an existing quote, or delete an existing quote. On connection, the Venue sends Moment a snapshot of all outstanding quotes in the order book, followed by incremental updates. These are all sent as 35=X Market Data Incremental Refresh messages.

Moment does not support messages 35=V Market Data Request and 35=W Snapshot/Full Refresh messages.

Schema

Field Name	Tag	Required	Notes
StandardHeader
MsgType	35	Y	"X"
NoMDEntries	268	Y	The number of market data entries that follow. Each entry repeats the following fields. Prefer sending "1" if possible.
=>MDUpdateAction	279	Y	0 = New 1 = Change 2 = Delete
=>MDEntryType	269	C	Conditionally required if MDUpdateAction=0 (New). 0 = Bid 1 = Offer
=>MDEntryID	278	Y	The unique identifier of the market data entry. Must be unique within one trading day.
=>SecurityID	48	Y	The ISIN of the security.
=>SecurityIDSource	22	Y	Always "4" = ISIN
=>MDEntryPx	270	C	Conditionally required if MDUpdateAction=0 (New). Price.
=>MDEntrySize	271	C	Conditionally required if MDUpdateAction=0 (New). Size in par value.
=>MinQty	110	C	Conditionally required if MDUpdateAction=0 (New). Minimum size in par value.
=>PriceType	423	C	Conditionally required if MDUpdateAction=0 (New) and if prices can come in multiple representations. Price type, as per the standard FIX spec. 1 = Percentage 4 = Discount 6 = Spread 9 = Yield
=>BenchmarkCurveName	221	C	Conditionally required if PriceType=6 (Spread). Name of the benchmark the spread is relative to.
StandardTrailer