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.
Поля
- ЯрлыкИмя
Header
ТребованиеYОписаниеStandard header, with 35=V.
- Ярлык262Имя
MDReqID
ТребованиеYОписаниеThe ID of the Market Data Request. It must be new and unique unless 263=2 and refers to the previous market data request.
- Ярлык263Имя
SubscriptionRequestType
ТребованиеYОписаниеSupported values: 1 = Snapshot + Updates (e.g. “subscribe”) 2 = Stop updates (e.g. “unsubscribe”)
- Ярлык264Имя
MarketDepth
ТребованиеYОписаниеThe 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.
- Ярлык265Имя
MDUpdateType
ТребованиеYОписаниеThe format of market data updates. Supported values: 0 = Full refresh (e.g. snapshot) 1 = Incremental refresh
- Ярлык547Имя
MDImplicitDelete
ТребованиеNОписаниеSpecifies 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.
- Ярлык267Имя
NoMDEntryTypes
ТребованиеYОписаниеThe 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
- Ярлык269Имя
MDEntryType
ТребованиеYОписаниеSupported values: 0 = Bid 1 = Ask 2 = Trade
- End Repeating Group
- Ярлык146Имя
NoRelatedSym
ТребованиеYОписаниеThe number of symbols in the request. The tag must be always set to 1.
- Begin Repeating Group
- Ярлык55Имя
Symbol
ТребованиеYОписаниеThe instrument symbol.
- End Repeating Group
- ЯрлыкИмя
Trailer
ТребованиеY
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.
