<MDFullGrp> Component Block

Code to represent the price type.

Used for the calculated quantity of the other side of the currency for this leg. Can be derived from LegQty and LegLastPx.

Average pricing indicator.

Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative

Identifies the number of parties identified with an instrument

Used to support market mechanism type; limit order, market order, committed principal order

Can be used to specify the currency of the quoted price.

Identifies class or source of the Currency(15) value.

Required for NDFs to specify the settlement currency (fixing currency).

Identifies class or source of the SettlCurrency(120) value.

Number of Underlying InstrumentPartySubID (1053) and InstrumentPartySubIDType (1054) entries

Indicates whether the originating account is exempt (Y) from marking orders as short or not (N). This designation may be used on both buy and sell orders.

Can be used to specify the lot type of the quoted size in order depth books.

Date of Market Data Entry.

(prior to FIX 4.4 field was of type UTCDate)

Time of Market Data Entry.

Direction of the "tick".

Market posting quote / trade. Valid values: See Volume 6: Appendix 6-C

Identifier for a trading session.

A trading session spans an extended period of time that can also be expressed informally in terms of the trading day. Usage is determined by market or counterparties.

To specify good for session where session spans more than one calendar day, use TimeInForce = 0 (Day) in conjunction with TradingSessionID(336).

Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility.

Optional market assigned sub identifier for a trading phase within a trading session. Usage is determined by market or counterparties. Used by US based futures markets to identify exchange specific execution time bracket codes as required by US market regulations. Bilaterally agreed values of data type "String" that start with a character can be used for backward compatibility

Identifies the trading status applicable to the transaction.

Denotes the reason for the Opening Delay or Trading Halt.

Indicates if the instrument is in "fast market" state.

A "fast market" is a state in which market rules are applied to instrument(s) or entire trading session when market events causes significant price movements due to public information.

Market condition. In the context of ESMA RTS 8 it is important that trading venues communicate the condition of the market, particularly "stressed" and "exceptional", in order to provide incentives for firms contributing to liquidity.

Space-delimited list of conditions describing a quote.

Space-delimited list of conditions describing a trade

Position limit in the near-term contract for a given exchange-traded product.

Indicates whether the trade or transaction was executed anonymously.

Indicates that the order or trade originates from a computer program or algorithm requiring little-to-no human intervention.

Originator of a Market Data Entry

Identification of a Market Maker's location

Identification of a Market Maker's desk

Used if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).

For optional use when this Bid or Offer represents an order

For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.

For optional use when this Bid or Offer represents an order. ExpireDate(432) and ExpireTime(126) cannot both be specified in one Market Data Entry.

Conditionally required when TimeInForce(59) = A (Good for Time).

Time unit in which the ExposureDuration(1629) is expressed.

For optional use when this Bid or Offer represents an order

Can contain multiple instructions, space delimited.

Specifies the number of days that may elapse before delivery of the security

For optional use when this Bid, Offer, or Trade represents an order

For optional use to support Hit/Take (selecting a specific order from the feed) without disclosing a private order id.

For optional use when this Bid, Offer, or Trade represents a quote

For optional use in reporting Trades.

For optional use in reporting Trades.

May be used to link together trades that are reported separately but are part of the same overall trade, e.g. spread trade and their constituent trades.

For optional use in reporting Trades.

For optional use in reporting Trades

For optional use in reporting Trades

For optional use in reporting trades.

For optional use in reporting trades.

In an Aggregated Book, used to show how many individual orders make up an MDEntry

May be used when MDEntryType(269)=2 (Trade) to indicate the number of trades aggregated to a single trade with MDEntryPx(270) as weighted average price and MDEntrySize(271) as total aggregated volume.

Display position of a bid or offer, numbered from most competitive to least competitive, per market side, beginning with 1.

Specifies the market scope of the market data.

The rate of change in the price of a derivative with respect to the movement in the price of the underlying instrument(s) upon which the derivative instrument price is based.

This value is normally between -1.0 and 1.0.

For optional use in reporting trades.

For optional use in reporting trades. Conditionally requires presence of TrdType(828).

For optional use in reporting trades. Conditionally requires presence of SecondaryTrdType(855).

For optional use in reporting trades as alternative to the use of individual fields.

Used only when reporting a trade (MDEntryType(269)=2 (Trade)) that is a regulatory trade report.

For optional use in reporting trades.

Specifies how the transaction was executed, e.g. via an automated execution platform or other method.

For optional use in reporting trades.

Defines the type of interest behind a trade (fill or partial fill).

For optional use in reporting trades.

The gross trade amount for this side of the trade. See also GrossTradeAmt (381) for additional definition.

Indicates whether the trade or position was entered into as an intra-group transaction, i.e. between two units of the same parent entity having majority ownership interest in both counterparties.

In the context of EMIR this refers to Regulation (EU) 648/2012 Article 3 "intragroup transactions" section 1 which states: "In relation to a non-financial counterparty, an intragroup transaction is an OTC derivative contract entered into with another counterparty which is part of the same group provided that both counterparties are included in the same consolidation on a full basis and they are subject to an appropriate centralised risk evaluation, measurement and control procedures and that counterparty is established in the Union or, if it is established in a third country, the Commission has adopted an implementing act under Article 13(2) in respect of that third country. Canada's similar requirement is under Appendix A to OSC Rule 91-507."

Indicates if the transaction was previously reported to the counterparty or market.

For optional use when reporting trades. Lists trades related to the current market data entry, e.g. leg trades of a multi-leg trade.

Text to describe the Market Data Entry. Part of repeating group.

Integer to convey the level of a bid or offer at a given price level. This is in contrast to MDEntryPositionNo(290) which is used to convey the position of an order within a price level.

Designates the capacity of the firm placing the order.

(as of FIX 4.3, this field replaced Rule80A (tag 47) --used in conjunction with OrderRestrictions (529) field)

(see Volume : "Glossary" for value definitions)

Used to describe the origin of the market data entry.

Indicates the quality of the market data being provided.

In the context of the EU Consolidated Tape, this is used by the CTP to identify suspicious data coming from the data contributor.

Used to report high price in association with trade, bid or ask rather than a separate entity

Used to report low price in association with trade, bid or ask rather than a separate entity.

Indicates the first price of a trading session; can be a bid, ask, or trade price.

Indicates the last price of a trading session; can be a bid, ask, or trade price.

Market of execution for last fill, or an indication of the market where an order was routed

Valid values:

See "Appendix 6-C"

In the context of ESMA RTS 1 Annex I, Table 3, Field 6 "Venue of Execution" it is required that the "venue where the transaction was executed" be identified using ISO 10383 (MIC). Additionally, ESMA requires the use of "MIC code 'XOFF' for financial instruments admitted to trading or traded on a trading venue, where the transaction on that financial instrument is not executed on a trading venue, systematic internaliser or organized trading platform outside of the Union. Use 'SINT' for financial instruments admitted to trading or traded on a trading venue, where the transaction is executed on a systematic internaliser."

Used to calculate the present value of an amount to be paid in the future.

Used to report trade volume in association with trade, bid or ask rather than a separate entity

Specifies the currency of the payout amount.

ComplexOptPayoutCurrencyCodeSource(2941) may be used to disambiguate the code source scheme used, and ISO 4217 is the default scheme if absent.

The maximum price variation of an execution from one event to the next for a given security. Expressed in absolute price terms.

Type of settlement price

Calculation method used to determine settlement price.

Indicates order settlement period. If present, SettlDate (64) overrides this field. If both SettlType (63) and SettDate (64) are omitted, the default for SettlType (63) is 0 (Regular)

Regular is defined as the default settlement period for the particular security on the exchange of execution.

In Fixed Income the contents of this field may influence the instrument definition if the SecurityID (48) is ambiguous. In the US an active Treasury offering may be re-opened, and for a time one CUSIP will apply to both the current and "when-issued" securities. Supplying a value of "7" clarifies the instrument description; any other value or the absence of this field should cause the respondent to default to the active issue.

Additionally the following patterns may be uses as well as enum values

Dx = FX tenor expression for "days", e.g. "D5", where "x" is any integer > 0

Mx = FX tenor expression for "months", e.g. "M3", where "x" is any integer > 0

Wx = FX tenor expression for "weeks", e.g. "W13", where "x" is any integer > 0

Yx = FX tenor expression for "years", e.g. "Y1", where "x" is any integer > 0

Noted that for FX the tenors expressed using Dx, Mx, Wx, and Yx values do not denote business days, but calendar days.

Identifies market data quote type.

Used to identify the sequence number within a feed type

Identifies role of dealer in the trade.

The spot rate for an FX entry

Used for an F/X entry. The forward points to be added to or subtracted from the spot rate to get the "all-in" rate in MDEntryPx. Expressed in decimal form. For example, 61.99 points is expressed and sent as 0.006199

Same as TrdRegTimestamp(769). Used in a multi-sided message to indicate relevant trade-side timestamp.

For optional use in reporting market data events.

Timestamp of aggressive order or quote resulting in match event.

Side of aggressive order or quote resulting in match event.

May be specified for an MDEntryType(269)=2 (Trade) entry to indicate that MDEntryPx(270), PriceType(423) and MDEntrySize(271) apply to the instance of the InstrmtLegGrp component with matching LegID(1788).