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.
Campos
- EtiquetaNome
Header
RequeridoYDescriçãoStandard header, with 35=V.
- Etiqueta262Nome
MDReqID
RequeridoYDescriçãoThe ID of the Market Data Request. It must be new and unique unless 263=2 and refers to the previous market data request.
- Etiqueta263Nome
SubscriptionRequestType
RequeridoYDescriçãoSupported values: 1 = Snapshot + Updates (e.g. “subscribe”) 2 = Stop updates (e.g. “unsubscribe”)
- Etiqueta264Nome
MarketDepth
RequeridoYDescriçãoThe 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.
- Etiqueta265Nome
MDUpdateType
RequeridoYDescriçãoThe format of market data updates. Supported values: 0 = Full refresh (e.g. snapshot) 1 = Incremental refresh
- Etiqueta547Nome
MDImplicitDelete
RequeridoNDescriçãoSpecifies 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.
- Etiqueta267Nome
NoMDEntryTypes
RequeridoYDescriçãoThe 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
- Etiqueta269Nome
MDEntryType
RequeridoYDescriçãoSupported values: 0 = Bid 1 = Ask 2 = Trade
- End Repeating Group
- Etiqueta146Nome
NoRelatedSym
RequeridoYDescriçãoThe number of symbols in the request. The tag must be always set to 1.
- Begin Repeating Group
- Etiqueta55Nome
Symbol
RequeridoYDescriçãoThe instrument symbol.
- End Repeating Group
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Trailer
RequeridoY
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.
