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FIX APIMessages

Marketdata

Summary

List of message supported on the marketdata connection

Market Data Request

TagField nameReq’dData TypeComments
Standard HeaderYMsgType = V
262MDReqIDYstringUnique client provided request ID
263SubscriptionRequestTypeYcharType of request
Valid values:
0 = Snapshot
1 = Snpshot + updates (subscribe)
2 = Disable previous subscription
264MarketDepthYintDepth of market for Book Snapshot
Valid values:
0 = Full Book
1 = Top of Book
N>1 = N layers
146NoRelatedSymYintAlways 1
55SymbolYStringSymbol for which the book is requested
Standard TrailerY

Market Data Request Reject

TagField nameReq’dData TypeComments
Standard HeaderYMsgType = Y
262MDReqIDYstringUnique client provided request ID
58TextYStringReason for market data request being rejected
Standard TrailerY

Market Data Snapshot Full Refresh

TagField nameReq’dData TypeComments
Standard HeaderYMsgType = V
262MDReqIDYstringUnique client provided request ID
55SymbolYStringSymbol
268NoMDEntriesYintNumber of entries following (repeating group fields marked →)
→ 269MDEntryTypeYintType of market data entry
Valid values:
0 = Bid
1 = Ask
→ 270MDEntryPxYPricePrice of the entry
→ 271MDEntrySizeYQuantityQuantity of the layer
→ 290MDEntryPositionNoNintPosition of offer, numbered from most competitive to least competitive, per market side
Standard TrailerY

Market Data Incremental Refresh

TagField nameReq’dData TypeComments
Standard HeaderYMsgType = V
262MDReqIDYstringUnique client provided request ID
268NoMDEntriesYintAlways 1
→ 278MDEntryUpdateActionYcharType of update
Valid values:
0 = New
1 = Change
2 = Delete
→ 269MDEntryTypeYintType of market data entry
Valid values:
0 = Bid
1 = Ask
2 = Trade
→ 278MDEntryIDNStringUnique entry id
→ 278MDEntryRefIDNStringRefers to a previous entry id
→ 55SymbolYStringSymbol
→ 270MDEntryPxYPricePrice of the entry
→ 271MDEntrySizeYQuantityQuantity of the layer
Standard TrailerY