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Market Data Request

The MarketDataRequest message is used by the client system to request a market data stream for the order book and/or trades.

In response, the FIX Server will begin sending out a MarketDataSnapshot if it is a valid request. Otherwise, the FIX Server will send out a MarketDataRequestReject with the Text tag containing the reason for the rejection.

Each subscription request needs to have a unique identifier set via tag MDReqID, which will be used to refer back to the client. It is also used to unsubscribe from market data.

Market data updates are sent to clients using a MarketDataSnapshotFullRefresh message and then MarketDataIncrementalRefresh message. A full empty market data snapshot may be sent in case no more prices are received. These prices will stream continuously until the client requests to unsubscribe using a MarketDataRequest with the SubscriptionRequestType set to Unsubscribe (263=2).

For the OrderBook, the client can request Level 2 or Level 3 depending on the value of Tag

In case of a disconnection, the subscription will be cancelled. The Client will need to subscribe again after the reconnection.

MESSAGE BODY

header required
MsgType V
262 - MDReqID string required
Unique request identifier.
263 - SubscriptionRequestType integer required
    Possible values:
  • 1 : Snapshot + Updates
  • 2 : Disable previous snapshot + Update request
264 - MarketDepth integer required
    Possible values:
  • 0 : Full depth of book (limited to 1000 for Level 2)
  • 1 : Top of Book
  • 10, 25, 100, 500 and 1000
265 - MDUpdateType integer
    Possible values:
  • 1=Incremental Refresh.
Only incremental Refresh is supported
266 - AggregatedBook boolean
Specify if the request is for Level 2 or Level 3.
    Possible values:
  • Y : one book entry per side per price. Aka Level 2.
  • N : Multiple entries per side per price allowed. Aka Level 3.
    • Default value: Y
Level 3 is only available for MDEntryType BID and OFFER. Request will get rejected if used with MDEntryType TRADE.
267 - NoMDEntryTypes integer required
Repeating Group. Number of MDEntryTypes.
269 - MDEntryType integer required
Client can subscribe to bid/offer and/or trades. It s not possible to subscribe to only bid or only offer.
    Possible values:
  • 0 : Bid
  • 1 : Offer
  • 2 : Trade
146 - NoRelatedSym integer required
Number of Pair that are going to be Subscribe:
55 - Symbol string required
Asset Pair listed on the exchange.
trailer required