developers:fixapi:marketdatarequest

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developers:fixapi:marketdatarequest [2025/09/12 01:22] – removed - external edit (Unknown date) 127.0.0.1developers:fixapi:marketdatarequest [2025/09/17 01:19] (current) – chad
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 +====== MARKET DATA REQUEST [35=V] ======
  
 +The Market Data Request message subscribes to streaming market data for specific securities.
 +
 +===== Subscription Types (SubscriptionRequestType 263) =====
 +^ Type ^ Value ^ Description ^
 +| Snapshot | 0 | Current market state only |
 +| Subscribe | 1 | Snapshot + continuous updates |
 +| Unsubscribe | 2 | Stop streaming data |
 +| Subscribe Incremental | 7 | Snapshot + incremental updates |
 +
 +===== Throughput Levels (MDUpdateType 265) =====
 +^ Level ^ Value ^ Description ^
 +| Slow Trade | 2 | Slow updates + all trades |
 +| Smart Trade | 3 | Smart buffering + all trades |
 +| Slow Smart | 4 | ~1 update/second if changed |
 +| Smart | 5 | Recommended - frequent best bid/offer |
 +| Fast Smart | 6 | More frequent best updates |
 +| All | 7 | No buffering - high bandwidth |
 +| Fast Trade | 8 | Fast updates + all trades |
 +| Trade Only | 9 | Trades only, no depth |
 +
 +===== Message Specification =====
 +
 +**Message Direction:** Client → T4
 +
 +^ Tag ^ Field Name ^ Type ^ Req'd ^ Description ^
 +| | **Message Header** | | Y | MsgType = V |
 +| 262 | MDReqID | String | Y | Unique request ID |
 +| 263 | SubscriptionRequestType | Int | Y | See subscription types |
 +| 264 | MarketDepth | Int | Y | 1=Top only, 10=Full book |
 +| 265 | MDUpdateType | Int | O | Throughput level (default=5) |
 +| 267 | NoMDEntryTypes | Int | Y | Number of entry types |
 +| →269 | MDEntryType | Char | Y | 0=Bid, 1=Offer, 2=Trade, etc. |
 +| 146 | NoRelatedSym | Int | Y | Number of symbols (must be 1) |
 +| →55 | Symbol | String | Y | T4 Contract ID |
 +| →48 | SecurityID | String | Y | T4 Market ID |
 +| →167 | SecurityType | String | Y | FUT, OPT, STK, SYN, BIN |
 +| →207 | SecurityExchange | String | Y | T4 Exchange ID |
 +| →201 | PutOrCall | Int | O | Options: 0=Put, 1=Call |
 +| →107 | SecurityDesc | String | O | Set to "262" for MDReqID matching |
 +| | **Message Trailer** | | Y | |
 +
 +===== MDEntryType Values =====
 +^ Type ^ Value ^ Description ^
 +| 0 | Bid | Bid price/size |
 +| 1 | Offer | Offer price/size |
 +| 2 | Implied Bid | Implied bid |
 +| 3 | Implied Offer | Implied offer |
 +| 4 | Trade | Last trade |
 +| 6 | Settlement | Settlement price |
 +| 7 | High | Session high |
 +| 8 | Low | Session low |
 +| B | Volume | Trade volume |
 +
 +===== Sample Messages =====
 +
 +**Subscribe to Market:**
 +<code>
 +8=FIX.4.2|9=200|35=V|49=T4Example|56=T4|52=20121010-14:37:58.720|
 +262=md-10/10/2012 9:37:58 AM|263=1|264=10|265=5|267=3|269=0|269=1|269=2|
 +146=1|55=ES|48=CME_20121200_ESZ2|167=FUT|207=CME_Eq|10=123|
 +</code>
 +
 +**Unsubscribe from Market:**
 +<code>
 +8=FIX.4.2|9=200|35=V|49=T4Example|56=T4|52=20121010-14:37:59.765|
 +262=md-10/10/2012 9:37:59 AM|263=2|264=10|265=5|267=3|269=0|269=1|269=2|
 +146=1|55=ES|48=CME_20121200_ESZ2|167=FUT|207=CME_Eq|10=234|
 +</code>
 +
 +===== Notes =====
 +  * Smart buffering (265=5) recommended for most use cases
 +  * MarketDepth=1 for quote boards, =10 for full depth
 +  * Higher depth and faster updates increase bandwidth
 +  * SecurityDesc=262 enables MDReqID matching in responses