Add Market Data — Snapshot/Full Refresh method on FIX Module

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Market Data Snapshot/Full Refresh is a FIX message that is used to deliver a one-time snapshot of all market data for a given instrument or a set of instruments. This message is typically sent in response to a Market Data Request message with the SubscriptionRequestType (263) set to Snapshot (4).

Here is a sample Market Data Snapshot/Full Refresh message:

8=FIX.4.4|9=322|35=W|34=2|49=TRADING_SYSTEM|52=20230315-10:12:15.387|56=CLIENT|262=MDReqID_123|55=MSFT|48=US5949181045|22=8|460=4|270=82.40|271=100|273=10:00:00|269=0|15=USD|10=191|

Explanation of the fields:

8=FIX.4.4: FIX protocol version.
9=322: Total message length in bytes, including the header and trailer.
35=W: Message type. W indicates a Market Data Snapshot/Full Refresh message.
34=2: Message sequence number.
49=TRADING_SYSTEM: Sender ID.
52=20230315-10:12:15.387: Timestamp of when the message was sent.
56=CLIENT: Target ID.
262=MDReqID_123: Unique identifier for the market data request.
55=MSFT: Symbol of the instrument being quoted.
48=US5949181045: Security identifier for the instrument being quoted.
22=8: ID of the trading session in which the quote was generated.
460=4: Specifies the type of trade being quoted. 4 indicates a normal trade.
270=82.40: The last traded price for the instrument.
271=100: The quantity of the last trade.
273=10:00:00: The time of the last trade.
269=0: Indicates the type of update being provided. 0 indicates a full refresh.
15=USD: Currency in which the market data is quoted.
10=191: Checksum.
In summary, this message contains a snapshot of all the market data for the MSFT instrument, including the last traded price, quantity, time of the last trade, and currency. It also specifies that this is a full refresh, meaning that all the market data for the instrument is being provided in this message.