MarketDataRequest
MsgType(35)=MarketDataRequest(V)
Direction: Client to exchange.
Request a snapshot, subscribe to market data, or cancel a subscription.
A session can hold one market-data subscription per ticker. A snapshot or subscription request containing an unknown ticker is rejected as a whole. A new subscription request is also rejected as a whole if any requested ticker is already subscribed on that session. One-time snapshots of already-subscribed tickers are supported.
Field Layout
See FIX Message Layouts for field ordering and presence rules.
| Field | Type | Presence | Behavior |
|---|---|---|---|
MDReqID(262) |
STRING |
Required | |
SubscriptionRequestType(263) |
CHAR |
Required | Supported values:SubscriptionRequestType(263)=SNAPSHOT(0)SubscriptionRequestType(263)=SNAPSHOT_PLUS_UPDATES(1)SubscriptionRequestType(263)=DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST(2) |
MarketDepth(264) |
INT |
Required | MarketDepth(264)=0 requests the full book. MarketDepth(264)=1 requests top of book. MarketDepth(264)=2 through MarketDepth(264)=25 request that many price levels per side. Depth beyond top of book, and MarketDepth(264)=1 with AggregatedBook(266)=No(N), use full refreshes. |
MDUpdateType(265) |
INT |
Optional | Trade subscriptions require incremental updates. Incremental depth updates, including MarketDepth(264)=1 with AggregatedBook(266)=No(N), are not supported; use MDUpdateType(265)=FullRefresh(0), or omit the update mode, for those book views. Supported values: MDUpdateType(265)=FULL_REFRESH(0)MDUpdateType(265)=INCREMENTAL_REFRESH(1) |
AggregatedBook(266) |
BOOLEAN |
Optional | Omitting this field selects aggregated price levels. AggregatedBook(266)=No(N) carries individual resting orders at every selected price level, including all orders at the best price on each requested side for MarketDepth(264)=1. This representation supports full refreshes only. |
NoMDEntryTypes(267) |
NUMINGROUP |
Required | Repeating group. Only bids, offers, and trades are served. Trade entries are not available in snapshots. |
NoRelatedSym(146) |
NUMINGROUP |
Required | Repeating group. |
NoMDEntryTypes(267) Entries
Keep each entry’s fields in the order shown.
| Field | Type | Presence | Behavior |
|---|---|---|---|
MDEntryType(269) |
CHAR |
Required | Supported values:MDEntryType(269)=BID(0)MDEntryType(269)=OFFER(1)MDEntryType(269)=TRADE(2) |
NoRelatedSym(146) Entries
Keep each entry’s fields in the order shown.
| Field | Type | Presence | Behavior |
|---|---|---|---|
Symbol(55) |
STRING |
Required |