Market Data Request (V)
The client may send a Market Data Request (35=V) in order to subscribe to market data updates.
Server sends market data in snapshots (35=W). To achieve optimal network performance, the server sends a single snapshot on receipt of a subscription request followed by incremental refreshes only. Servers may allow client-specific configurations to deviate from this behavior. Incremental refreshes (35=X) are not supported.
Market data requests are reset when the client is disconnected. When the client is reconnected, the client must request the market data again.
Felder
- EtikettName
Header
AnforderungYBeschreibungStandard header, with 35=V.
- Etikett262Name
MDReqID
AnforderungYBeschreibungThe ID of the Market Data Request. It must be new and unique unless 263=2 and refers to the previous market data request.
- Etikett263Name
SubscriptionRequestType
AnforderungYBeschreibungSupported values: 1 = Snapshot + Updates (e.g. “subscribe”) 2 = Stop updates (e.g. “unsubscribe”)
- Etikett264Name
MarketDepth
AnforderungYBeschreibungThe book depth to report. Supported values: 0 = Full book, unlimited depth ¹ 1 = Top of Book only N = Number of layers to deliver ² Note: If the server does not support the requested depth, it may send a Market Data Request Reject with one of the supported values. It may also accept the request and silently reduce the depth of the delivered market data. Contact project manager to see level of bandwidth supported for client.
- Etikett265Name
MDUpdateType
AnforderungYBeschreibungThe format of market data updates. Supported values: 0 = Full refresh (e.g. snapshot) 1 = Incremental refresh
- Etikett547Name
MDImplicitDelete
AnforderungNBeschreibungSpecifies whether the client needs to implicitly delete layers in the truncated book. The tag is required when MarketDepth (264) >= 2 and MDUpdateType = Incremental Refresh(1). Supported values: Y = The client needs to implicitly delete bids or offers falling outside the MarketDepth of the request.
- Etikett267Name
NoMDEntryTypes
AnforderungYBeschreibungThe tag must always be set to at least 2. When requesting for the last trade, set it to 3. Both 269=0 (bid) and 269=1 (ask) must be specified. 269=2 (trade) is optional.
- Begin Repeating Group
- Etikett269Name
MDEntryType
AnforderungYBeschreibungSupported values: 0 = Bid 1 = Ask 2 = Trade
- End Repeating Group
- Etikett146Name
NoRelatedSym
AnforderungYBeschreibungThe number of symbols in the request. The tag must be always set to 1.
- Begin Repeating Group
- Etikett55Name
Symbol
AnforderungYBeschreibungThe instrument symbol.
- End Repeating Group
- EtikettName
Trailer
AnforderungY
This specification requires NoRelatedSym (146) to be set to 1. This means that the client can subscribe only to a single symbol in a FIX message.
The MDReqID defines a domain for snapshots and market data updates. Market Data Snapshots (35=W) sent for an MDReqID will effectively cancel all outstanding quotes sent for that MDReqID.
