MD Market Data Feed
After connecting to OpenYield, the Market Data session (-MD suffix) sends a full snapshot of top-of-book bids and offers, then streams incremental refresh messages as prices change. Each snapshot references a single security and carries its bid and offer entries; each incremental update carries one entry. Trade, Index, High, and Low entries arrive only as incremental updates.
| MDEntryType | Value | Description |
|---|---|---|
| Bid | 0 | Current top-of-book bid. Deleted when the bid side empties. |
| Offer | 1 | Current top-of-book offer. Deleted when the offer side empties. |
| Trade | 2 | Real-time print on the OpenYield ATS. |
| Index | 3 | Current mid delta to the previous day's closing mid (change on day). |
| High | 7 | High price on day. |
| Low | 8 | Low price on day. |
Spread to Benchmark
When available, Bid and Offer entries carry the spread to the security's benchmark in Text (58), in both snapshot and incremental messages:
SPRD=<spread>;BMKID=<benchmark id>;BMKSRC=<benchmark id source>
| Key | Description |
|---|---|
| SPRD | Spread in basis points: the entry's yield (811) minus the benchmark yield, × 100. Up to 2 decimal places with trailing zeros trimmed (85.2, -3.5, 100). Positive means the yield is above the benchmark. |
| BMKID | Benchmark security identifier, in your session's configured designator (ISIN, CUSIP, or FIGI). |
| BMKSRC | SecurityIDSource (22) value for BMKID: 4 ISIN, 1 CUSIP, A FIGI. |
Bids are priced against the benchmark's bid side and offers against its offer side. Fields always appear in this order, and the text never exceeds 64 characters.
Text (58) is omitted when:
- The entry is a Delete (
279=2), or is a Trade, Index, High, or Low entry. - The security has no benchmark assignment, or its benchmark is not a security (for example, curve-benchmarked munis).
- The entry has no yield, or no live benchmark yield is available.
- Your session uses a designator that cannot express the benchmark (DTI).
A Change (279=1) without Text (58) means no spread is currently available. It does not mean the previous spread still applies, so clear any spread you have cached for that entry.