FIX Messaging - MC - Market Data Snapshot Full Refresh (Type W)

 The Market Data Snapshot Full Refresh message provides a complete snapshot of a price details for a Security. The snapshot will provide the:

  • Opening Price
  • Last Traded Price
  • Trading Session High
  • Trading Session Low
  • On-Market Volume
  • Off-Market Volume
  • Market Bid
  • Market Offer

End of day pricing details for each security for the current business date should be captured by the AMO at a suitable point in time after continuous trading has closed for the current trading day and are expected to be received by CSP prior to 5:15pm.

A subsequent update is required by 7:05pm for a security where any of the end of day pricing details provided prior to 5:15pm have changed (due to late reporting of a trade, a trade cancellation, or any other adjustment or administration performed).

Field

Field Name

Req

Data Type

Description

Valid Values


Standard Header

M

Header

MsgType = W


75TradeDateMLocalMktDate

The business date the pricing details have been captured for the Security.

This value must be a valid business date less than or equal to the current business date.


60TransactTimeMUTCTimestamp

The timestamp the pricing details have been captured for the Security.

The UTCTimestamp must be a UTC (Universal Time Coordinated, also known as "GMT") date and time field formatted as either YYYYMMDD-HH:MM:SS (whole seconds) or YYYYMMDD-HH:MM:SS.sss (milliseconds).

Observe the usage of dashes and colons separating date and time components below.

  • YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second) (without milliseconds).

  • YYYY = 0000-9999, MM = 01-12, DD = 01-31, HH = 00-23, MM = 00-59, SS = 00-60 (60 only if UTC leap second), sss=000-999 (indicating milliseconds) - UTCTimestamp only allows 3 digits of milliseconds.

1301MarketIDMExchange

MIC code that identifies the Approved Market Operator (AMO).

Only approved AMO codes will be accepted

Please see Appendix A.
55SymbolMString

Identifies the security for which the pricing details provide pertain to. The AMO must provide the proprietary security code (ticker symbol) that is maintained by ASX.


48SecurityIDOString

Identifies the security for which the pricing details provide pertain to.

Mandatory when populating SecurityIDSource (22).

The Security will only be identified by the CSP by the value provided within the tag Symbol (55).


22SecurityIDSourceCString

Indicates the type of identifier used in SecurityID (48).

Mandatory when populating SecurityID (48).

The Security will only be identified by the CSP by the value provided within the tag Symbol (55).

  • 4 = ISIN
  • 8 = Exchanged defined
20020MDTypeOint

Identifies whether the pricing details snapshot is taken during the normal or continuous trading session or once normal or continuous trading has closed for the business date reported.

The AMO should only provide the value 2 (Closing) to identify the pricing details snapshot is taken once normal or continuous trading has closed for the business date. It is not expected that officially published closing prices are provided where they are not available.

The AMO should not provide the value 1 (Intraday) - this is reserved for future use.

  • 1 - Intraday (Do Not Use)
  • 2 - Closing
20021TradeVolumeMQty

Indicates the buy-side off-market volume traded in the Security for the business day reported.


20007CorporateActionOString

Identifies the basis on which the pricing information is quoted (i.e. indicates whether the pricing includes or excludes an entitlement relating to a current corporate actions for the underlying security).

The tag accepts up to 3 valid values delimited by space.

Please see Appendix D.

Basis of Quotation values must be provided in upper case.

268NoMDEntriesMNumInGroupNumber of MDEntry repeating group instances in this market data message.
Start of Repeating Group 268,  NoMDEntries
269MDEntryTypeMchar

Identifies the pricing information reported in the repeating group.

A repeating group must be specified for each of the following values:

  • 2 - Trade - this is to report the Last Traded Price
  • 4 - Opening Price
  • 7 - Trading session high price
  • 8 - Trading session low price
  • B - Trade Volume - this is to report the on-market volume
  • b - Market bid
  • c - Market offer
  • 2 = Trade (Last Traded Price)
  • 4 = Opening Price
  • 7 = Trading session high price
  • 8 = Trading session low price
  • B = Trade Volume
  • b = Market bid
  • c = Market offer
270MDEntryPxCPrice

Identifies the price reported for the repeating group identified by the value in tag MDEntryType(269).

Required where the related MDEntryType(269) value is not B (Trade volume).


15CurrencyMCurrency

Identifies the currency of the pricing information reported.

Must be provided with the value AUD.

  • AUD
271MDEntrySizeCQty

Indicates the buy-side on-market volume traded in the Security for the business day reported.

Required for the Repeating Group identified by MDEntryType(269) = B (Trade volume) else must not be provided.


272MDEntryDateOUTCDateOnly

Identifies the date of the Last Traded Price being reported. This is required when MDEntryType (269) = 2 - Trade, else must not be provided.


273MDEntryTimeOUTCTimeOnly

Identifies the time of the Last Traded Price, Market Bid price or Market Offer price being reported. This is required when MDEntryType (269) = 2 - Trade, b - Market bid, or c - Market offer; else must not be provided.


End of Repeating Group 268, NoMDEntries
End

Standard TrailerMTrailer Trailer 

 Req:

  • M = Mandatory field. This field is required for this message type.
  • O = Optional field. Optional fields not specified in this ASX FIX Specification will be ignored if sent. However, optional fields specified in this ASX FIX Specification will be validated.
  • C = Conditional field. This field is dependent on the field / data type.

Related Pages:

There are no related labels.

Browse Popular Pages:

No labels match these criteria.



This document provides general information only. ASX Limited (ABN 98 008 624 691) and its related bodies corporate (“ASX”) makes no representation or warranty with respect to the accuracy, reliability or completeness of the information. To the extent permitted by law, ASX and its employees, officers and contractors shall not be liable for any loss or damage arising in any way (including by way of negligence) from or in connection with any information provided or omitted or from anyone acting or refraining to act in reliance on this information.

© 2022 ASX Limited ABN 98 008 624 691