<MDStatisticParameters> Component Block

This component comprises all parameters that can be used to describe the market data statistics. These can be part of the request as well as the response. All parameters defined on the MarketDataStatisticsRequest(35=DO) message should be echoed in the MarketDataStatisticsReport(35=DP) message as the latter could also be sent unsolicited.

The general category and the entities involved in the statistics are defined by MDStatisticType(2456), MDStatisticScope(2457), and MDStatisticIntervalType(2464) and must always be specified. The remaining fields are optional and restrict the data range in one way or another. The time range for the data can either be specified in terms of an interval for which the statistics are typically calculated on a regular basis or in terms of an absolute date and/or time range.

MDStatisticScope(2457), MDStatisticSubScope(2458) and MDStatisticScopeType(2459) form a set of scope relationships to filter further the type of statistic being requested or being provided.

It should be noted that some of the enumeration values for MDStatisticScopeType(2459) may not be applicable or useful for a given MDStatisticScope(2457) - e.g. MDStatisticScopeType(2459)=4 (Downward move) is more applicable to prices than to orders or trades.

Used in :

Tag	Field Name	FIXML	Req'd	Comments
2456	MDStatisticType	@Typ	Y	Type of statistic value.
2457	MDStatisticScope	@Scope	Y	Entities used as basis for the statistics.
2458	MDStatisticSubScope	@SubScope	N	Sub-scope of the statistics to further reduce the entities used as basis for the statistics.
2459	MDStatisticScopeType	@ScopeTyp	N	Scope details of the statistics to reduce the number of events being used as basis for the statistics.
2454	MDStatisticName	@StatsNme	N	The short name or acronym for a set of statistic parameters.
2455	MDStatisticDesc	@Desc	N	Can be used to provide an optional textual description for a statistic.
2481	EncodedMDStatisticDescLen	@EncDescLen	N	Must be set if EncodedMDStatisticDesc(2482) field is specified and must immediately precede it.
2482	EncodedMDStatisticDesc	@EncDesc	N	Encoded (non-ASCII characters) representation of the MDStatisticDesc(2455) field in the encoded format specified via the MessageEncoding(347) field.
264	MarketDepth	@MktDepth	N	May be used to specify the market depth up to specified level.
2460	MDStatisticFrequencyPeriod	@FreqPeriod	N	Conditionally required when MDStatisticFrequencyUnit(2461) is specified. Omission represents a one-time dissemination.
2461	MDStatisticFrequencyUnit	@FreqUnit	N	Conditionally required when MDStatisticFrequencyPeriod(2460) is specified.
2462	MDStatisticDelayPeriod	@DelayPeriod	N	Conditionally required when MDStatisticDelayUnit(2463) is specified.
2463	MDStatisticDelayUnit	@DelayUnit	N	Conditionally required when MDStatisticDelayPeriod(2462) is specified.
2464	MDStatisticIntervalType	@IntvlTyp	Y	Type of interval over which statistic is calculated.
2465	MDStatisticIntervalTypeUnit	@IntvlTypUnit	N	Conditionally required when MDStatisticIntervalType (2464) = 5(Current time unit), 6(Previous time unit) or 8(Maximum range up to previous time unit).
2466	MDStatisticIntervalPeriod	@IntvlPeriod	N	Conditionally required if/when MDStatisticIntervalUnit(2467) is specified. Conditionally required when MDStatisticIntervalType(2464) = 1 (Sliding window) or 2 (Sliding window peak).
2467	MDStatisticIntervalUnit	@IntvlUnit	N	Conditionally required when MDStatisticIntervalPeriod(2466) is specified.
2468	MDStatisticStartDate	@StartDt	N	Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range starting with the first available day.
2469	MDStatisticEndDate	@EndDt	N	Can be used to define a date range for a sliding window peak other than the current day. Omission represents a date range including the current day.
2470	MDStatisticStartTime	@StartTm	N	Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range starting at midnight.
2471	MDStatisticEndTime	@EndTm	N	Can be used to define a time range for a sliding window peak other than the complete day. Omission represents a time range ending with the time of dissemination of the statistical data.
2472	MDStatisticRatioType	@RatioTyp	N	Conditionally required when MDStatisticType(2456) = 5(Ratio).
<NestedParties>			N
2584	AnnualTradingBusinessDays	@AnnlTrdgBizDays	N	Number of trading business days in a year.
1815	TradingCapacity	@TrdgCpcty	N	Designates the capacity in which the order is submitted for trading by the market participant.
40	OrdType	@OrdTyp	N	Order type. * SOME VALUES ARE NO LONGER USED - See "Deprecated (Phased-out) Features and Supported Approach" * (see Volume : "Glossary" for value definitions)
59	TimeInForce	@TmInForce	N	Specifies how long the order remains in effect. Absence of this field is interpreted as DAY. NOTE not applicable to CIV Orders.
276	QuoteCondition	@QCond	N	Space-delimited list of conditions describing a quote.
277	TradeCondition	@TrdCond	N	Type of market data entry.
54	Side	@Side	N	Side of order (see Volume : "Glossary" for value definitions)
578	TradeInputSource	@InptSrc	N	Type of input device or system from which the trade was entered.
336	TradingSessionID	@SesID	N	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.
625	TradingSessionSubID	@SesSub	N	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
1024	MDOriginType	@MDOrigTyp	N	Used to describe the origin of the market data entry.
2711	MDValueTier	@Tier	N	Describes the reporting ranges for executed transactions. In context of ESMA RTS 27 Article 9, the execution venue is required to report on transactions within several size ranges (in terms of a value and currency). The thresholds for these ranges are dependent on the type of financial instrument.
338	TradSesMethod	@Method	N	Method of trading
1022	MDFeedType	@MDFeedTyp	N	Describes a class of service for a given data feed, ie Regular and Market Maker, Bandwidth Intensive or Bandwidth Conservative
1629	ExposureDuration	@ExpsreDur	N	This is the time in seconds of a "Good for Time" (GFT) TimeInForce. Positive integer value which represents the time is seconds in which the new order remains active in the market before it is automatically cancelled (e.g. expired). Bi-lateral agreements will dictate the maximum value of this field. It is assumed that most systems will impose a max limit of 86,400 seconds (i.e. 24 hours). For Quotes: The period of time a quoted price is tradable(i.e. on-the-wire) before it becomes indicative (i.e. off-the-wire).
1916	ExposureDurationUnit	@ExpsreDurUnit	N	Conditionally required when ExposureDuration(1629) is specified.
1057	AggressorIndicator	@AgrsrInd	N	Used to identify whether the order initiator is an aggressor or not in the trade.