Market Snapshot Message Fields
A Market Snapshot message provides a snapshot of the price and size for the bid and ask, last trade price, total number of contracts traded, and the current trading status of a single symbol.
The Unit Timestamp field is provided because the timestamp for a Market Snapshot message is the last time an event occurred on that Symbol. Since the Futures market can cross midnight Central Time, the Epoch (midnight, January 1, 1970 UTC) is used as a reference point.
| Field Name | JSON | Value/Type | Description |
|---|---|---|---|
| Message Type | m | Alphanumeric | MM |
| Time Offset | to | Integer | Nanosecond offset from Unit Timestamp in this message. |
| Symbol | sy | Alphanumeric | Six character, base 62 symbol. |
| Unit Timestamp | ut | Integer | Last unit timestamp expressed as number of whole seconds since the Epoch (Midnight, January 1, 1970 UTC). |
| Bid Price | bP | Price | Bid price (may be a zero or negative price for some instruments). |
| Bid Quantity | bS | Integer | Number of contracts on the bid side of the inside book (a zero value denotes the Bid Price is invalid). |
| Ask Price | aP | Price | Ask price (may be a zero or negative price for some instruments). |
| Ask Quantity | aS | Integer | Number of contracts on the ask side of the inside book (a zero value denotes the Ask Price is invalid). |
| Last Trade Price | tP | Price | Price of last execution (this can be zero or negative for some instruments). |
| Last Trade Size | tS | Integer | Number of contracts traded on the last trade (if this value is 0 the Last Trade Price is invalid). |
| Last Trade Condition | tC | Alphanumeric |
|
| Total Volume | v | Integer | Total number of contracts traded on the current business day. |
| Trading Status | h | Alphanumeric | See Trading Status field of Trading Status message. |