Market Data Request (MsgType = V, FIXML = MktDataReq)

Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A Market Data Request (V) is a general request for market data on specific securities or forex quotes.

A successful Market Data Request (V) returns one or more Market Data messages containing one or more Market Data Entries. Each Market Data Entry is a Bid, an Offer, a Trade associated with a security, the opening, closing, or settlement price of a security, the buyer or seller imbalance for a security, the value of an index, the trading session high price, low price, or VWAP, or the trade volume or open interest in a security. Market Data Entries usually have a price and a quantity associated with them. For example, in an order book environment, requesting just the top of book will result in only two active Market Data Entries at a time - one for the best Bid and one for the best Offer. For a full book, the Bid and Offer side may each have several Market Data Entries. Each Market Data Entry might represent an aggregate for each price tier, and only one Market Data Entry per side per price would be active at a time. This is referred to as an Aggregated book. Or several Market Data Entries at one price tier could each represent a broker, Market Maker, ECN or Exchange's quote in a security, or individual orders in a book. This is a Non-Aggregated book. Alternately, a Market Data Entry could represent a completed trade in a security, the value of an index, the opening, closing, or settlement price of an instrument, the trading session high price, low price, or VWAP, or the volume traded or open interest in a security.

If the message is used for foreign exchange, conventions for identifying the forex transaction are as follows:

If the message is used for disseminating imbalance information, conventions are as follows:

A Snapshot causes the current state of the market to be sent. A Snapshot + Updates causes the current state of the market to be sent, and any updates as they occur, until the client requests that the Snapshot + Updates be disabled.

When just a Snapshot is requested, the complete data for only one security or forex quote will be returned per FIX Market Data message.

When Snapshot + Updates is requested, updates may be full or incremental:

Full Refresh
This mode is optimized to trade off increased bandwidth for simplicity in processing and is intended for requests on only a few instruments. Each FIX Market Data message in response to the request will contain the complete data requested for one instrument. If more than just the top of book is requested, this means that both sides, and all price tiers, must be reported in that Market Data message.
Incremental Refresh
This mode is optimized for handling requests for many instruments while conserving bandwidth. Each Market Data Entry is assigned an MDEntryID unique among all other active entries, and several incremental updates of entries for different instruments can be included in one FIX Market Data message.

One specifies whether a list of trades, a 1-sided or 2-sided book, index, opening, closing, settlement, high, low and VWAP prices and imbalance volumes should be returned by using the NoMDEntryTypes (267) field and MDEntryType repeating group to list all MDEntryType (269) values that should be returned.

While this document specifies many parameters and modes in a request, the recipient of the request is not required to support all of them. A Market Data Request Reject (Y) may be sent in response to a request indicating that it cannot be honored.

Tag Field Name FIXML Req'd Comments
<Standard Message Header> Y MsgType = V
262 MDReqID @ReqID Y Must be unique, or the ID of previous Market Data Request (V) to disable if SubscriptionRequestType (263) = Disable previous Snapshot + Updates Request (2).
263 SubscriptionRequestType @SubReqTyp Y SubscriptionRequestType (263) indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party.
264 MarketDepth @MktDepth Y
265 MDUpdateType @UpdtTyp C Required if SubscriptionRequestType (263) = Snapshot + Updates (1).
266 AggregatedBook @AggBook N
286 OpenCloseSettlFlag @OpenClsSettlFlag N Can be used to clarify a request if MDEntryType (269) = Opening Price(4), Closing Price(5), or Settlement Price(6).
546 Scope @Scope N Defines the scope(s) of the request
547 MDImplicitDelete @ImplctDel N Can be used when MarketDepth (264) >= 2 and MDUpdateType (265) = Incremental Refresh(1).
267 NoMDEntryTypes Req Y Number of MDEntryType (269) fields requested.
=> 269 MDEntryType @Typ Y Must be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.
146 NoRelatedSym InstReq Y Number of symbols (instruments) requested.
=> <Instrument> Y
=> 711 NoUnderlyings Undly N Number of underlyings
=> => <Underlying Instrument> C Must be provided if Number of underlyings > 0
=> 555 NoLegs Leg N Used for multileg instruments
=> => <Instrument Leg> C Used for multileg instruments. For Swaps one leg is Buy and other leg is Sell
386 NoTradingSessions TrdSes N Number of trading sessions for which the request is valid.
=> 336 TradingSessionID @SesID C
=> 625 TradingSessionSubID @SesSub N
815 ApplQueueAction @ApplQuActn N Action to take if application level queuing exists
812 ApplQueueMax @ApplQuMax N Maximum application queue depth that must be exceeded before queuing action is taken.
<Standard Message Trailer> Y