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FIXsession: market-data35=V
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.
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header
required
35=V
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262 - MDReqID
string
required
Unique request identifier.
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263 - SubscriptionRequestType
integer
required
Possible values:
  • 1 : Snapshot + Updates
  • 2 : Disable previous snapshot + Update request
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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
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265 - MDUpdateType
integer
Possible values:
  • 1 : Incremental Refresh
Only incremental Refresh is supported.
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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. Only Available for Derivatives.
Default value: YLevel 3 is only available for MDEntryType BID and OFFER. Request will get rejected if used with MDEntryType TRADE.
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267 - NoMDEntryTypes
integer
required
Repeating Group. Number of MDEntryTypes.
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trailer
required
8=FIX.4.4|9=117|35=V|34=2|49=CLIENT|56=KRAKEN-MD|52=20260407-14:32:01.000|262=MDSUB1|263=1|264=10|265=1|267=2|269=0|269=1|55=BTC/USD|10=244|

8=FIX.4.4|9=111|35=V|34=3|49=CLIENT|56=KRAKEN-MD|52=20260407-14:32:10.000|262=MDSUB1|263=2|264=10|265=1|267=1|269=0|55=BTC/USD|10=223|

8=FIX.4.4|9=133|35=V|34=2|49=CLIENT-DRV|56=KRAKEN-DRV-MD|52=20260407-14:32:01.000|146=1|55=PF_ETHUSD|262=MDSUB2|263=1|264=0|265=1|267=3|269=0|269=1|269=2|10=197|

8=FIX.4.4|9=133|35=V|34=3|49=CLIENT-DRV|56=KRAKEN-DRV-MD|52=20260407-14:32:01.000|146=1|55=PF_ETHUSD|262=MDSUB3|263=1|264=0|265=1|266=N|267=2|269=0|269=1|10=121|