Market Data

Download the FIX 5.0 SP2 application dictionary and the FIXT 1.1 transport dictionary. Use the pair for this API; order entry and market data have separate application dictionaries.

Application messages carry market data and trading requests and reports using FIX 5.0 SP2. Field presence describes what must be sent to the exchange and what the exchange sends. Session messages manage the FIX session using FIXT 1.1, beginning with Logon. Both levels use the shared header and trailer.

Application Messages

• MarketDataRequest — Request a snapshot, subscribe to market data, or cancel a subscription.
• MarketDataRequestReject — Reject a market-data request and correlate it with its request ID.
• MarketDataSnapshotFullRefresh — Restate the requested order book or depth window.
• MarketDataIncrementalRefresh — Report changed aggregated top-of-book sides or newly published trades.
• SecurityListRequest — Read the instrument catalog or subscribe to catalog changes.
• SecurityList — Answer an instrument-catalog request.
• SecurityListUpdateReport — Report an instrument added to or removed from a subscribed catalog.
• SecurityStatusRequest — Read or subscribe to the trading status of one instrument.
• SecurityStatus — Report an instrument’s trading status independently of its book updates.
• SecurityMassStatusRequest — Read or subscribe to trading statuses across matching instruments.
• SecurityMassStatus — Report matching instruments and their trading statuses in one repeating group.