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Market Data Interface (MDI)

MDI is the low latency market data interface of SIX Swiss Exchange.

It provides pre- and post-trade market data directly from the new SWX trading platform (SWXess). Access to the SWXess and Eurex Repo/SecLend trading platforms is provided through the SIX Swiss Exchange Common Access Portal (SCAP).

  • The message transmission technique is SWX FIX 5.0 / FAST 1.1 over multicast
  • It provides the following market data: Top-of-book, cumulated order book (various depths), closing inside market, public on- and off-book trade (including cumulated trades), trading session status (pre-open, open, auction etc.), security status (suspension, stop trading etc.). Information disseminated through MDI does not contain private data.
  • MDI is strictly unidirectional. The client never sends a message to the server, neither on the session layer nor on the application layer.

The Market Data Interface uses two recovery mechanisms:

  • A «full/delta/delta» publishing model for pre-trade data: for each security, a «full» market data snapshot is sent at regular intervals, while the messages sent in between, the «delta» messages, only contain changes that have occurred since the previous message was sent. In case of a service disruption, participants only need to wait for the next «full» message to arrive to «recover» the accurate view of the market.
  • A file-based retrieval service for post-trade data: public trades (on and off order book) and closing inside market information is written into files (as FIX 5.0 messages). These files are made available for download at regular intervals (e.g. hourly).