Market Data Snapshot Full Refresh

The Snapshot request will return only one set of data without further updates. It can be used to receive 2-sided orderbooks, trades, highs, lows or any combination of these.

Market Data Snapshot Full Refresh messages will contains the entirety of the data requested for that instrument.

Receiving Market Data in a streaming sesison (using Incremental Refresh messages) can creates an issue with lost packets. The Market Data Snapshot Full Refresh message is ideal to resync periodically the state of your local book. Upon XCDE system restart, the data flow will always begin with a snapshot of each instrument.

When connecting to a streaming data feed, or after a loss of data, Users should process Snapshot messages to recover their orderbook. Once recovered, Users can ignore snapshots that have RefreshIndicator = N. If RefreshIndicator = Y then the User should discard their data and replace it with the information in the Snapshot message.

Message parameters (In response to a MarketDataRequest message)

Field Name		Format	Req'd	Comments
MsgType		String	✓	W = MarketDataSnapshotFullRefresh
MsgSeqNum		SeqNum	✓	User generated incremental number to allow receiver to identify possible message gaps
SendingTime		UTCTimestamp	✓	Time of sending this message

MDReportID		Int		Unique indentifier for Market Data Report
ClearingBusinessDate		LocalMktDate		20220826 with date changing at 5pm NY
MarketDepth		Int		0 = full book depth 1 = top of book
TradeDate		LocalMktDate		Used to specify the trading date (in local NY calendar date)
MDReqID		String		Will echo back the Market Data Request ID.
Component block <Instrument>
>	Symbol	String		BTC/USD-1w-R for the 1 week BTC/USD Repo
Component block <MDFullGrp>
>	MDEntryType	Char		Any of the supported fields: 0 = Bid 1 = Offer 2 = Trade 7 = Trading Session High Price 8 = Trading Session Low Price N = Session High Bid O = Session Low Offer
>	MDEntryPx	Price		2.47 → this is the Swap price with full precision
>	MDEntrySize	Qty		Required if MDEntryType = Bid(0), Offer(1), Trade(2) )
>	TradingSessionID	String		E.g. 20220826
>	SecurityTradingStatus	Int		Supported values: 2 = Trading halt 3 = Resume 18 = Not available for trading (end of session) 20 = Unknown or Invalid 23 = Fast Market
>	HaltReason	Int		Only if Instrument is halted, with possible reasons: 1 = Order Influx 5 = Equipment Changeover
>	NumberOfOrders	Int		In an Aggregated Book, used to show how many individual orders make up an MDEntry
>	Text	String		Text to describe the Market Data Entry. Part of repeating group.
>	MDPriceLevel	Int		Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1
>	MDEntrySpotRate			For Bid, Offer and Last, reference price for Near_Leg at the time

Example message:

MsgType: W
MsgSeqNum: 8237684657
SendingTime: 20220906-23:37:42.065
MDReportID: hgsf55429ks9
ClearingBusinessDate: 20220906
MarketDepth: 1
TradeDate: 20220907
MDReqID: g6542m8
Symbol: BTC/USD-ID-R
  MDEntryType: 0
  MDEntryPx: -1.35
  MDEntrySize: 150
  TradingSessionID: 20220907
  NumberOfOrders: 3
  MDPriceLevel: 1
  MDEntrySpotRate: 19,128

{
  "Header": {
    "MsgType": "W",
    "MsgSeqNum": "8237684657",
    "SenderCompID": "SENDER",
    "TargetCompID": "TARGET",
    "SendingTime": "20220906-23:37:42.065"
  },
  "MDReportID": "hgsf55429ks9",
  "ClearingBusinessDate": "20220906",
  "MarketDepth": "1",
  "TradeDate": "20220907",
  "MDReqID": "g6542m8",
  "Instrument": {
    "Symbol": "BTC/USD-ID-R"
  },
  "MDFullGrp": [
    {
      "MDEntryType": "0",
      "MDEntryPx": "-1.35",
      "MDEntrySize": "150",
      "TradingSessionID": "20220907",
      "NumberOfOrders": "3",
      "MDPriceLevel": "1",
      "MDEntrySpotRate": "19128"
    }
  ]
}

Market Data Snapshot Full Refresh

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