Market Data Snapshot
Message is “Market Data Snapshot Full Refresh” (35=W)
OpenYieldSubscriberMD
| Tag | Name | Required | Notes |
|---|---|---|---|
| 268 | NoMDEntries | Required | Number of entries (Bid and/or Offer) |
Repeating Group
MDEntryGroup(268 NoMDEntries)
Repeating market data entry group used in both snapshot and incremental refresh messages.
| Tag | Name | Required | Notes |
|---|---|---|---|
| 279 | MDUpdateAction | Required | 0=New·1=Change·2=DeleteOnly in 35=X incremental messages. |
| 269 | MDEntryType | Required | 0=Bid·1=Offer·2=Trade·3=Index (change on day from previous close)·7=High (daily high price)·8=Low (daily low price) |
| 55 | Symbol | Optional | Security identifier (ISIN, CUSIP, or FIGI per configuration) |
| 48 | SecurityID | Required | Security identifier (ISIN, CUSIP, or FIGI per configuration) |
| 22 | SecurityIDSource | Required | 1=CUSIP·4=ISIN·A=Bloomberg FIGI |
| 460 | Product | Required | 1=Agency·3=Corporate·6=Government·11=Municipal |
| 270 | MDEntryPx | Required | Price; zero on Delete |
| 271 | MDEntrySize | Required | Size in bonds; zero on Delete |
| 299 | QuoteEntryID | Required | Initiates the MDEntryID series used in subsequent incremental messages. Only in 35=W snapshot. |
| 278 | MDEntryID | Required | Unique entry ID referenced to update or delete a previous entry. Only in 35=X incremental. |
| 811 | PriceDelta | Optional | Yield to maturity; zero on Delete |
| 288 | MDEntryBuyer | Optional | 'Taker' or 'Maker'. Set only for MDEntryType=2 (Trade). |
| 289 | MDEntrySeller | Optional | Opposite of MDEntryBuyer. Set only for MDEntryType=2 (Trade). |
Repeating Group
SecurityBlock
The security being traded.
| Tag | Name | Required | Notes |
|---|---|---|---|
| 55 | Symbol | Required | Security identifier (ISIN, CUSIP, or FIGI per configuration) |
| 48 | SecurityID | Required | Security identifier (ISIN, CUSIP, or FIGI per configuration) |
| 22 | SecurityIDSource | Required | 1=CUSIP·4=ISIN·A=Bloomberg FIGI |
| 460 | Product | Required (Y/O) | 1=Agency·3=Corporate·6=Government·11=MunicipalRequired on OpenYield responses; optional on subscriber messages. |
For example, using ISIN USZ00000ZZ0X at market open: