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.
田畑
- 鬼ごっこ名前
Header
要求Y説明Standard header, with 35=V.
- 鬼ごっこ262名前
MDReqID
要求Y説明The ID of the Market Data Request. It must be new and unique unless 263=2 and refers to the previous market data request.
- 鬼ごっこ263名前
SubscriptionRequestType
要求Y説明Supported values: 1 = Snapshot + Updates (e.g. “subscribe”) 2 = Stop updates (e.g. “unsubscribe”)
- 鬼ごっこ264名前
MarketDepth
要求Y説明The 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.
- 鬼ごっこ265名前
MDUpdateType
要求Y説明The format of market data updates. Supported values: 0 = Full refresh (e.g. snapshot) 1 = Incremental refresh
- 鬼ごっこ547名前
MDImplicitDelete
要求N説明Specifies 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.
- 鬼ごっこ267名前
NoMDEntryTypes
要求Y説明The 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
- 鬼ごっこ269名前
MDEntryType
要求Y説明Supported values: 0 = Bid 1 = Ask 2 = Trade
- End Repeating Group
- 鬼ごっこ146名前
NoRelatedSym
要求Y説明The number of symbols in the request. The tag must be always set to 1.
- Begin Repeating Group
- 鬼ごっこ55名前
Symbol
要求Y説明The instrument symbol.
- End Repeating Group
- 鬼ごっこ名前
Trailer
要求Y
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.
