Market Data Increment
Message is “Market Data Incremental Refresh” (35=X)
OpenYieldSubscriberMD
Repeating Group
MDEntryGroup(268 NoMDEntries)
Repeating market data entry group used in both snapshot and incremental refresh messages.
| Tag | Name | Required | Notes |
|---|---|---|---|
| 268 | NoMDEntriesCount | Required | Snapshot (35=W): number of Bid and/or Offer entries. Incremental (35=X): number of update entries, up to 10.Set to the number of entries that follow. |
| The fields below repeat once per entry (count in NoMDEntries) | |||
| 279 | MDUpdateAction | Required | 0=New·1=Change·2=DeleteOnly in 35=X incremental messages. |
| 269 | MDEntryType | Required | 0=Bid·1=Offer·2=Trade·3=Index (change on day from previous close)·7=High (daily high price)·8=Low (daily low price) |
| 55 | Symbol | Optional | Same value as SecurityID (48). Only in 35=X incremental; on 35=W snapshots the security is set once on the message. |
| 48 | SecurityID | Required | Security identifier (ISIN, CUSIP, or FIGI per configuration). Only in 35=X incremental. |
| 22 | SecurityIDSource | Required | 1=CUSIP·4=ISIN·A=Bloomberg Symbol (FIGI)Only in 35=X incremental. |
| 460 | Product | Required | 1=Agency·3=Corporate·6=Government·11=MunicipalOnly in 35=X incremental. |
| 270 | MDEntryPx | Required | Price; zero on Delete |
| 271 | MDEntrySize | Required | Size in configured units (bonds by default); zero on Delete |
| 299 | QuoteEntryID | Required | Initiates the MDEntryID series used in subsequent incremental messages. Only in 35=W snapshot. |
| 278 | MDEntryID | Required | Unique entry ID referenced to update or delete a previous entry. Only in 35=X incremental. |
| 811 | PriceDelta | Optional | Yield to maturity; zero on Delete |
| 58 | Text | Optional | Spread to benchmark as SPRD=<bps>;BMKID=<id>;BMKSRC=<source>, when available. Bid and Offer New/Change only; never on Delete or other entry types. |
| 288 | MDEntryBuyer | Optional | 'Taker' or 'Maker'. Set only for MDEntryType=2 (Trade). |
| 289 | MDEntrySeller | Optional | Opposite of MDEntryBuyer. Set only for MDEntryType=2 (Trade). |
OpenYield sends one incremental update per message. MDEntryID (278) on an increment matches the QuoteEntryID (299) from the snapshot, so you can correlate updates with snapshot entries. PriceDelta (811) carries the yield. Text (58) carries the spread to benchmark on bid and offer New and Change entries; see MD Market Data Feed for the format.
For example, a bid change with its spread (279=1):
Three deletes (279=2), which never carry Text (58):