FIX 4.4: MarketDataSnapshotFullRefresh¶
The current ScaleTrade FIX server sends quotes to subscribed sessions as
MarketDataSnapshotFullRefresh (MsgType = W).
MarketDataSnapshotFullRefresh (MsgType = W)¶
This message is generated by the FIX transport when the internal Core receives a live tick for a symbol that is subscribed in an active FIX session.
Conceptual Example¶
8=FIX.4.4|...|35=W|49=SERVER|56=CLIENT_1|262=ST-EURUSD|55=EURUSD|
268=2|269=0|270=1.12345|271=1|269=1|270=1.12360|271=1|10=...|
Fields Used by Current Implementation¶
| Tag | Name | Description |
|---|---|---|
| 35=W | MsgType | MarketDataSnapshotFullRefresh |
| 262 | MDReqID | Generated by transport as ST-<symbol> |
| 55 | Symbol | Requested instrument |
| 269 | MDEntryType | 0 = Bid, 1 = Ask |
| 270 | MDEntryPx | Quote price |
| 271 | MDEntrySize | Quote size |
Current Behaviour¶
- one snapshot is sent per live tick push
- the message contains:
- one BID entry
- one ASK entry
- delivery is filtered by runtime symbol subscription
- only authenticated active sessions receive market-data push
Current Limitation¶
The current implementation uses this message as the primary quote push format and does not yet expose:
- incremental refresh (
35=X) - order-book depth updates
- historical replay
- guaranteed immediate snapshot from cached symbol state on request