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