Market Data Messages
Market Data Request
Note: that exactly one of either Depth, or SizeBucket must be specified. For example, specifying both Depth and SizeBuckets will result in an error
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
<MessageHeader> | Y | MsgType <35> = V | |
| 262 | MDReqID | Y | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2 (Disable previous Snapshot + Updates Request). |
| 263 | SubscriptionRequestType | Y | 0 = Snapshot, 1 = Snapshot + Updates (Subscribe), 2 = Unsubscribe |
| 264 | MarketDepth | Y | Depth of market for Book Snapshot / Incremental updates: 0 - full book depth, 1 - top of book, 2 and above - book depth (number of levels) |
| 1070 | MDQuoteType | N | Type of liquidity to be included: 0 - Indicative, 1 - Tradeable (i.e., Firm) |
| 20020 | NoSizeBucketsSegments | N | A list of sizes to return price levels for. Used to ask for prices of aggregated sizes. Note: only supported with MDUpdateType(265) = 0 (Full refresh) |
| →20021 | SizeBucket | Y | Identifies a single size bucket |
| →55 | Symbol | Y | The symbol of the currency pair to subscribe to. For example, BTC-USD |
<MessageTrailer> | Y |
Market Data Request Reject
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
<MessageHeader> | Y | MsgType <35> = Y | |
| 262 | MDReqID | Y | Refers to the MDReqID of the request |
| 58 | Text | N | |
<MessageTrailer> | Y |
Market Data Snapshot Full Refresh
| Tag | Field Name | Req'd | Comments |
|---|---|---|---|
<MessageHeader> | Y | MsgType <35> = W | |
| 262 | MDReqID | Y | Refers to the MDReqID of the request. |
| 55 | Symbol | Y | Symbol updated by the Market Data Entry. |
| 268 | NoMDEntries | Y | Number of entries following. |
| →269 | MDEntryType | Y | Type of market data entry. 0 = Bid, 1 = Offer. Required if NoMDEntries(268) > 0. |
| →270 | MDEntryPx | Y | Price of the Market Data Entry. |
| →271 | MDEntrySize | Y | Quantity represented by the Market Data Entry. |
| →272 | MDEntryDate | Y | Date of Market Data Entry. |
| →273 | MDEntryTime | Y | Time of Market Data Entry. |
<MessageTrailer> | Y |
Updated 3 months ago