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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:
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.
|<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.|
|265||MDUpdateType||@UpdtTyp||C||Required if SubscriptionRequestType (263) = Snapshot + Updates (1).|
|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.|
|=>||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.|
|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|
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