Custom Fields

In order to accurately and precisely support all the different types of data, a few fields needed to be added to the data dictionary, as they are not part of the original FIX specification.

Tag

Name

Type

Description

2000

MDEntryDepth

int

Depth of the entry in the order book snapshot

2001

TradeId

String

The unique trade identifier (if available)

2002

Open

Price

The Open price in the OHLCV aggregation or candle

2003

High

Price

The High price in the OHLCV aggregation or candle

2004

Low

Price

The Low price in the OHLCV aggregation or candle

2005

Close

Price

The Close price in the OHLCV aggregation or candle

2006

Volume

Amt

The Volume of trades in the OHLCV aggregation or candle