faq:marketdata_request

Differences

This shows you the differences between two versions of the page.

Link to this comparison view

Next revision		 Previous revision
faq:marketdata_request [2025/07/25 18:59] – created robfaq:marketdata_request [2025/07/28 12:04] (current) – [Sample Messages] rob
Line 1: Line 1:
-====== Trader Logout Response ======+====== MarketData Request ======
  
-===== Logging out Traders =====+**Subscribing to Streaming Data**
  
-Under an established FIX Session, multiple traders/users can be authenticated with the Trader Logon message. Trader Logons allow order routing for multiple traders under the same physical connection of the FIX Session. Trader Logons must follow the successful FIX Logon of the initial Master User.+The T4 FIX API provides (optional) subscriptions to streaming market data for all markets available in order routing. Market data is made available asynchronously and concurrently to order routing flow. Market data subscriptions are initiated with **Market Data Request** messages (Tag `35=V`) and are active during a FIX Session.
  
-A trader that has been successfully authenticated with a Trader Logon can be logged out by the Master User with a Trader Logout message. The FIX API responds to Trader Logouts with the Trader Logout Response message.+A Market Data Request specifies: 
 +  * **Exchange** (`207=SecurityExchange`) 
 +  * **Contract** (`55=Symbol`) 
 +  * **Market** (`48=SecurityID`)
  
-===== Responding to Trader Logouts =====+Subscription and unsubscription are handled via: 
 +  * `263=1` – Subscribe (Snapshot + Updates) 
 +  * `263=2` – Unsubscribe
  
-The Trader Logout Response message identifies the trader (whose logout was attempted with a Trader Logout message) via the UserName tag (Tag 553). The success/failure result of the Trader Logout is carried in the Text tag (Tag 58).+Successful subscriptions return: 
 +  * **MarketData Snapshot** (`35=W`) 
 +  * **MarketData Incremental Refresh** (`35=X`)
  
-^ Tag Name ^ Tag Number ^ Description ^ +Each Market Data Entry (e.g., bid, offer, trade, volume) may include price and quantity. For example: 
-| UserName | 553 | T4 User | +  * Top of book: 2 entries (bid + offer) 
-| Text | 58 | T4 Description of Trader Logout result |+  * Full book: multiple entries per side
  
-A successful attempt to log out a trader is acknowledged with a Trader Logout Response message that contains a Success description in the Text tag (Tag 58).+Incremental Refresh provides only updated depth levels, improving bandwidth efficiency.
  
-Failure to logout a trader will result in a failed Trader Logout Response message sent to the client. The Trader Logout Response message may contain a short description of the failure in its Text tag (Tag 58).+Unsuccessful requests result in a **MarketData Request Reject** message.
  
-A failed Trader Logout does not result in a physical disconnection. The FIX Session continues with the participation of the Master User and other traders that were previously authenticated and remained logged in. The FIX Session can only be terminated by a FIX Logout message.+===== Subscription Types ===== 
 + 
 +  * **Snapshot (263=0)** — Current state only. 
 +  * **Subscribe (263=1)** — Snapshot + Updates. 
 +  * **Unsubscribe (263=2)** — Cancel updates. 
 +  * **Subscribe Incremental (263=7)** — Snapshot + Incremental Refresh. 
 +  * **Chart Data (263=4,5)** — See below. 
 + 
 +===== Data Throughput / Buffering Levels ===== 
 + 
 +Buffering level (Tag `265`) options: 
 + 
 +^ Value ^ Buffering Type ^ Description ^ 
 +| 2 | SlowTrade | SlowSmart + individual trades | 
 +| 3 | SmartTrade | Smart + individual trades | 
 +| 4 | SlowSmart | ~1/sec update if changed | 
 +| 5 | Smart | (Recommended) variable rate | 
 +| 6 | FastSmart | More frequent updates | 
 +| 7 | All | No buffering (high bandwidth) | 
 +| 8 | FastTrade | FastSmart + trades | 
 +| 9 | TradeOnly | Trades only (no depth) | 
 + 
 +===== Book Depth ===== 
 + 
 +Requested via Tag `264` (MarketDepth): 
 +  * **1** — Top of book (Level 1) 
 +  * **10** — Full depth (up to 10 levels) 
 + 
 +===== Matching Market Data ===== 
 + 
 +Data can be matched using: 
 +  * `48=SecurityID` (default) 
 +  * `262=MDReqID` if `107=262` is included in request. 
 + 
 +===== Chart Data Requests ===== 
 + 
 +Available only in FIX sessions with `372=V` set. 
 + 
 +Tag `263` values for Chart Data: 
 +  * **4 = TIME_AND_SALES_DATA_BATCH** (multi-day + session) 
 +  * **5 = TIME_AND_SALES_CONTRACT** (single day, no session span) 
 + 
 +Additional fields: 
 +  * `3200` = Start Date (UTCDateOnly) 
 +  * `3201` = End Date 
 +  * `3202`, `3203` = Session Time span (UTCTimeOnly) 
 +  * `3204` = ChartType (0=Tick, 1=Sec, 2=Min, etc.) 
 +  * `3205` = DataFormat (U, T, Z)
  
 ===== Message Dictionary ===== ===== Message Dictionary =====
  
-^ Tag ^ Field Name ^ Req'd ^ Comments ^ +^ Tag ^ Field Name ^ Req’d ^ Description ^ 
-| Standard Header | | Y | MsgType = UCJ | +| Standard Header |  | Y | MsgType = V | 
-| 49 | SenderCompID | Y | T4 Application Name (inbound), T4 Firm Name (outbound) | +| 262 | MDReqID | Y | MarketData Request ID | 
-| 56 | TargetCompID | Y | T4 Firm Name (inbound), T4 Application Name (outbound) | +| 263 | SubscriptionRequestType | Y | 0 = Snapshot, 1 = Subscribe, 2 = Unsubscribe, 4/5 = Chart | 
-| Body | | Y | | +| 264 | MarketDepth | Y | 1 = Top of book, 10 = Full depth | 
-| 553 | UserName | Y | T4 User to be logged out | +| 265 | MDUpdateType | N | Throughput mode | 
-| 58 | Text | Y | Description of Trader Logout result | +| 267 | NoMDEntryTypes | Y | Repeating Group | 
-| Standard Trailer | | Y | |+| 269 | MDEntryType | Y | 0=Bid, 1=Offer, 2=Trade, 4=LastTrade, 5=Volume | 
 +| 146 | NoRelatedSym | Y | Repeating Group | 
 +| 55 | Symbol | Y | Contract Symbol | 
 +| 48 | SecurityID | Y | T4 Market ID | 
 +| 167 | SecurityType | Y | FUT, OPT, STK, etc. | 
 +| 207 | SecurityExchange | Y | Exchange ID | 
 +| 107 | SecurityDesc | N | If 107=262, match by MDReqID | 
 +| 1070 | QuoteType | N | 1 = Ticks, 2 = Decimal | 
 +| 3200 | StartDate | N | UTCDateOnly (for chart) | 
 +| 3201 | EndDate | N | UTCDateOnly (for chart) | 
 +| 3202 | SessionStartTime | N | UTCTimeOnly | 
 +| 3203 | SessionEndTime | N | UTCTimeOnly | 
 +| 3204 | ChartType | N | 0=Tick, 1=Sec, 2=Min, 3=Hour, 4=Day | 
 +| 3205 | DataFormat | N | U = Uncompressed, T = Text, Z = Compressed | 
 +| Standard Trailer |  | Y |  |
  
 ===== Sample Messages ===== ===== Sample Messages =====
  
-==== 1 - LOGIN (in): Login Request from T4 FIX API Client ====+**Subscribe to streaming data from a specific market** 
 + 
 +<code> 
 +>> 10/10/2012 9:37:58 AM   [FIXMARKETDATAREQUEST] 34=1891|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|1070=1|267=3|269=0|269=1|269=2|146=1|55=ES|48=CME_20121200_ESZ2|167=FUT|207=CME_Eq| 
 +[FIXMARKETDATAREQUEST] 
 +[MsgSeqNum] 34 = 1891 
 +[SenderCompID] 49 = T4Example 
 +[TargetCompID] 56 = T4 
 +[SendingTime] 52 = 20121010-14:37:58.720 
 +[MDReqID] 262 = md-10/10/2012 9:37:58 AM 
 +[SubscriptionRequestType] 263 = 1 (SNAPSHOT_PLUS_UPDATES) 
 +[MarketDepth] 264 = 10 
 +[MDUpdateType] 265 = 5 (SMART) 
 +[NoMDEntryTypes] 267 = 3 
 +[MDEntryType] 269 = 0 (BID) 
 +[MDEntryType] 269 = 1 (OFFER) 
 +[MDEntryType] 269 = 2 (IMPLIED_BID) 
 +[NoRelatedSym] 146 = 1 
 +[Symbol] 55 = ES 
 +[SecurityID] 48 = CME_20121200_ESZ2 
 +[SecurityType] 167 = FUT (FUTURE) 
 +[SecurityExchange] 207 = CME_Eq 
 +</code> 
 + 
 +**UnSubscribe from a currently streaming market**
  
-<code> 34=1|49=T4Example|56=ctsdev|52=20160930-16:33:21.227|91=112A04B0-5AAF-42F4-994E-FA7CB959C60B|90=36|98=None|108=25|553=MasterUser|554=***|1407=58BD-B00F-5805-98AA-BD46-0417-C2B8-9C5F|384=1|372=UCG| </code> <code> [MsgSeqNum] 34 = 1 [SenderCompID] 49 = T4Example [TargetCompID] 56 = ctsdev [SendingTime] 52 = 20160930-16:33:21.227 [SecureData] 91 = 112A04B0-5AAF-42F4-994E-FA7CB959C60B [SecureDataLen] 90 = 36 [EncryptMethod] 98 = None [HeartBtInt] 108 = 25 [UserName] 553 = MasterUser [Password] 554 = *** [DefaultApplExtID] 1407 = 58BD-B00F-5805-98AA-BD46-0417-C2B8-9C5F [NoMsgTypes] 384 = 1 [RefMsgType] 372 = UCG (ENABLE_TRADER_LOGINS) </code> +<code> 
-==== 2 - LOGIN (out): Successful Login Response from T4 FIX API ====+>> 10/10/2012 9:37:59 AM   [FIXMARKETDATAREQUEST] 34=1892|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|1070=1|267=3|269=0|269=1|269=2|146=1|55=ES|48=CME_20121200_ESZ2|167=FUT|207=CME_Eq| 
 +[FIXMARKETDATAREQUEST] 
 +[MsgSeqNum] 34 = 1892 
 +[SenderCompID] 49 = T4Example 
 +[TargetCompID] 56 = T4 
 +[SendingTime] 52 = 20121010-14:37:59.765 
 +[MDReqID] 262 = md-10/10/2012 9:37:59 AM 
 +[SubscriptionRequestType] 263 = 2 (DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST) 
 +[MarketDepth] 264 = 10 
 +[MDUpdateType] 265 = 5 (SMART) 
 +[NoMDEntryTypes] 267 = 3 
 +[MDEntryType] 269 = 0 (BID) 
 +[MDEntryType] 269 = 1 (OFFER) 
 +[MDEntryType] 269 = 2 (IMPLIED_BID) 
 +[NoRelatedSym] 146 = 1 
 +[Symbol] 55 = ES 
 +[SecurityID] 48 = CME_20121200_ESZ2 
 +[SecurityType] 167 = FUT (FUTURE) 
 +[SecurityExchange] 207 = CME_Eq 
 +</code>
  
-<code> 34=1|49=ctsdev|56=T4Example|50=T4FIX|52=20160930-16:33:26.714|98=0|108=30|553=MasterUser|554=***|1408=4.3.62.0| </code> <code> [MsgSeqNum] 34 = 1 [SenderCompID] 49 = ctsdev [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20160930-16:33:26.714 [EncryptMethod] 98 = 0 (NONE) [HeartBtInt] 108 = 30 [UserName] 553 = MasterUser [Password] 554 = *** [DefaultCstmApplVerID] 1408 = 4.3.62.0 </code> +**Chart Data Request (Uncompressed 1-minute bar for 10 minutes over 2 days)**
-==== 3 - TRADERLOGIN (in): Trader Logon Request from T4 FIX API Client ====+
  
-<code> 34=2|49=T4Example|56=ctsdev|50=Trader1|52=20160930-16:33:41.989|91=112A04B0-5AAF-42F4-994E-FA7CB959C60B|90=36|109=CTS|553=Trader1|554=***| </code> <code> [MsgSeqNum] 34 = 2 [SenderCompID] 49 = T4Example [TargetCompID] 56 = ctsdev [SenderSubID] 50 = Trader1 [SendingTime] 52 = 20160930-16:33:41.989 [SecureData] 91 = 112A04B0-5AAF-42F4-994E-FA7CB959C60B [SecureDataLen] 90 = 36 [ClientID] 109 = CTS [UserName] 553 = Trader1 [Password] 554 = *** </code> +<code> 
-==== 4 - TRADERLOGINRESPONSE (out): Successful Trader Logon Response ====+>> 6/26/2013 6:40:01 PM   [FIXMARKETDATAREQUEST] 34=3|49=T4Example|56=T4|52=20130626-23:40:01.294|262=mdc-6/26/2013 6:40:01 PM|263=4|264=1|265=5|1070=1|267=0|146=1|55=ZC|48=LVCME_20121200_ZCZ2|167=FUT|207=LVCME_C|3200=20121212|3201=20121213|3202=09:00:00|3203=09:10:00|3204=2|3205=U| 
 +[FIXMARKETDATAREQUEST] 
 +[MsgSeqNum] 34 = 3 
 +[SenderCompID] 49 = T4Example 
 +[TargetCompID] 56 = T4 
 +[SendingTime] 52 = 20130626-23:40:01.294 
 +[MDReqID] 262 = mdc-6/26/2013 6:40:01 PM 
 +[SubscriptionRequestType] 263 = 4 (TIMEANDSALES_DATA_BATCH) 
 +[MarketDepth] 264 = 1 
 +[MDUpdateType] 265 = 5 (SMART) 
 +[NoMDEntryTypes] 267 = 0 
 +[NoRelatedSym] 146 = 1 
 +[Symbol] 55 = ZC 
 +[SecurityID] 48 = LVCME_20121200_ZCZ2 
 +[SecurityType] 167 = FUT (FUTURE) 
 +[SecurityExchange] 207 = LVCME_C 
 +[TradeDateStart] 3200 = 20121212 
 +[TradeDateEnd] 3201 = 20121213 
 +[SessionStartTime] 3202 = 09:00:00 
 +[SessionEndTime] 3203 = 09:10:00 
 +[ChartType] 3204 = 2 (MINUTE) 
 +[DataFormat] 3205 = U (UNCOMPRESSED)
  
-<code> 34=57|49=ctsdev|56=T4Example|50=T4FIX|52=20160930-16:33:47.460|553=Trader1|58=Success| </code> <code> [MsgSeqNum] 34 = 57 [SenderCompID] 49 = ctsdev [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20160930-16:33:47.460 [UserName] 553 = Trader1 [Text] 58 = Success </code> +</code>
-==== 5 - TRADERLOGOUT (in): Trader Logout Request ====+
  
-<code> 34=3|49=T4Example|56=ctsdev|50=Trader1|52=20160930-16:33:44.181|109=CTS|553=Trader1| </code> <code> [MsgSeqNum] 34 = 3 [SenderCompID] 49 = T4Example [TargetCompID] 56 = ctsdev [SenderSubID] 50 = Trader1 [SendingTime] 52 = 20160930-16:33:44.181 [ClientID] 109 = CTS [UserName] 553 = Trader1 </code> +**Chart Data Response**
-==== 6 - TRADERLOGOUTRESPONSE (out): Successful Trader Logout Response ====+
  
-<code> 34=58|49=ctsdev|56=T4Example|50=T4FIX|52=20160930-16:33:49.605|553=Trader1|58=Success| </code> <code> [MsgSeqNum] 34 = 58 [SenderCompID] 49 = ctsdev [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20160930-16:33:49.605 [UserName] 553 = Trader1 [Text] 58 = Success </code> +<code> 
-==== 7 - LOGOUT (in): Logout Request from T4 FIX API Client ====+<< 06/26/2013 06:40:01.528 PM  [fixmarketdatasnapshot] 34=3|49=T4|56=T4Example|50=T4FIX|52=20130626-23:40:01.528|262=mdc-6/26/2013 6:40:01 PM-0|55=ZC|48=LVCME_20121200_ZCZ2|207=LVCME_C|965=16|3200=20121212|3201=20121213|3202=09:00:00.000|3203=09:10:00.000|3204=2|3205=2|268=2|269=Y|75=20121213|3210=15|3212=6|3211=20121213|3212=3|3213=20121212-22:59:30.004|3214=6|3212=3|3213=20121212-23:00:00.167|3214=2|3212=0|3280=25|3281=0|3208=MC|3209=12.5|3212=11|3225=20121213-07:09:06.379|3226=2342|3212=12|3222=20121213-07:09:06.379|3223=2445|3212=12|3222=20121213-14:30:52.193|3223=2147|3212=5|3254=20121213-15:05:00.000|3255=20121213-15:05:03.121|3256=72100|3257=72100|3258=72100|3259=72100|3260=1|3261=1|3262=0|3263=1|3264=1|3265=0|3212=3|3213=20121213-20:00:00.002|3214=7|3212=4|3216=20121213-20:15:06.096|3217=71225|3212=10|3219=20121213-20:15:06.096|3220=712.25|3212=3|3213=20121213-20:30:00.020|3214=1|3212=3|3213=20121213-22:00:00.014|3214=5|3212=3|3213=20121213-22:45:00.038|3214=1|3212=5|3254=20121213-15:06:00.000|3255=20121213-15:06:58.047|3256=72175|3257=72175|3258=72175|3259=72175|3260=4|3261=0|3262=4|3263=4|3264=0|3265=4|269=Y|75=20121212|3210=22|3212=6|3211=20121212|3212=3|3213=20121211-22:59:30.004|3214=6|3212=3|3213=20121211-23:00:00.035|3214=2|3212=0|3280=25|3281=0|3208=MC|3209=12.5|3212=11|3225=20121212-07:09:17.816|3226=3072|3212=12|3222=20121212-07:09:17.816|3223=3912|3212=3|3213=20121212-12:32:26.754|3214=0|3212=3|3213=20121212-12:37:11.707|3214=2|3212=3|3213=20121212-14:15:46.901|3214=0|3212=3|3213=20121212-14:26:11.089|3214=2|3212=5|3254=20121212-15:00:00.000|3255=20121212-15:00:58.211|3256=72375|3257=72400|3258=72375|3259=72400|3260=4|3261=0|3262=4|3263=4|3264=0|3265=4|3212=5|3254=20121212-15:01:00.000|3255=20121212-15:01:53.910|3256=72375|3257=72375|3258=72375|3259=72375|3260=32|3261=0|3262=32|3263=25|3264=0|3265=25|3212=5|3254=20121212-15:03:00.000|3255=20121212-15:03:59.071|3256=72400|3257=72425|3258=72400|3259=72425|3260=2|3261=0|3262=2|3263=2|3264=0|3265=2|3212=3|3213=20121212-15:33:00.451|3214=0|3212=3|3213=20121212-15:36:51.107|3214=2|3212=3|3213=20121212-20:00:00.002|3214=7|3212=4|3216=20121212-20:15:05.373|3217=72100|3212=10|3219=20121212-20:15:05.373|3220=72100|3212=3|3213=20121212-20:30:00.017|3214=1|3212=3|3213=20121212-22:00:00.015|3214=5|3212=3|3213=20121212-22:45:00.041|3214=1|3212=5|3254=20121212-15:09:00.000|3255=20121212-15:09:58.192|3256=72425|3257=72425|3258=72425|3259=72425|3260=10|3261=10|3262=0|3263=6|3264=6|3265=0| 
 +[FIXMARKETDATASNAPSHOT] 
 +[MsgSeqNum] 34 = 3 
 +[SenderCompID] 49 = T4 
 +[TargetCompID] 56 = T4Example 
 +[SenderSubID] 50 = T4FIX 
 +[SendingTime] 52 = 20130626-23:40:01.528 
 +[MDReqID] 262 = mdc-6/26/2013 6:40:01 PM-0 
 +[Symbol] 55 = ZC 
 +[SecurityID] 48 = LVCME_20121200_ZCZ2 
 +[SecurityExchange] 207 = LVCME_C 
 +[SecurityStatus] 965 = 16 (SUCCESS) 
 +[TradeDateStart] 3200 = 20121212 
 +[TradeDateEnd] 3201 = 20121213 
 +[SessionStartTime] 3202 = 09:00:00.000 
 +[SessionEndTime] 3203 = 09:10:00.000 
 +[ChartType] 3204 = 2 (MINUTE) 
 +[DataFormat] 3205 = 2 (T4BIN) 
 +[NoMDEntries] 268 = 2 
 +[MDEntryType] 269 = Y (CHART_DATA_BATCH) 
 +[TradeDate] 75 = 20121213 
 +[NoChartDatas] 3210 = 15 
 +[Change] 3212 = 6 (TRADE_DATE) 
 +[TradeDate] 3211 = 20121213 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-22:59:30.004 
 +[MarketMode] 3214 = 6 (SUSPENDED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-23:00:00.167 
 +[MarketMode] 3214 = 2 (OPEN) 
 +[Change] 3212 = 0 (NONE) 
 +[MinPriceIncrement] 3280 = 25 
 +[Decimals] 3281 = 0 
 +[PriceCode] 3208 = MC 
 +[TickValue] 3209 = 12.5 
 +[Change] 3212 = 11 (CLEARED_VOLUME) 
 +[ClearedVolumeTime] 3225 = 20121213-07:09:06.379 
 +[ClearedVolume] 3226 = 2342 
 +[Change] 3212 = 12 (OPEN_INTEREST) 
 +[OpenInterestTime] 3222 = 20121213-07:09:06.379 
 +[OpenInterest] 3223 = 2445 
 +[Change] 3212 = 12 (OPEN_INTEREST) 
 +[OpenInterestTime] 3222 = 20121213-14:30:52.193 
 +[OpenInterest] 3223 = 2147 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121213-15:05:00.000 
 +[BarCloseTime] 3255 = 20121213-15:05:03.121 
 +[BarOpenPrice] 3256 = 72100 
 +[BarHighPrice] 3257 = 72100 
 +[BarLowPrice] 3258 = 72100 
 +[BarClosePrice] 3259 = 72100 
 +[BarVolume] 3260 = 1 
 +[BarBidVolume] 3261 = 1 
 +[BarOfferVolume] 3262 = 0 
 +[BarTradeCount] 3263 = 1 
 +[BarTradesAtBid] 3264 = 1 
 +[BarTradesAtOffer] 3265 = 0 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121213-20:00:00.002 
 +[MarketMode] 3214 = 7 (HALTED) 
 +[Change] 3212 = 4 (SETTLEMENT) 
 +[SettlementTime] 3216 = 20121213-20:15:06.096 
 +[Settlement] 3217 = 71225 
 +[Change] 3212 = 10 (HELD_SETTLEMENT) 
 +[HeldSettlementTime] 3219 = 20121213-20:15:06.096 
 +[HeldSettlement] 3220 = 71225 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121213-20:30:00.020 
 +[MarketMode] 3214 = 1 (PRE_OPEN) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121213-22:00:00.014 
 +[MarketMode] 3214 = 5 (CLOSED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121213-22:45:00.038 
 +[MarketMode] 3214 = 1 (PRE_OPEN) 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121213-15:06:00.000 
 +[BarCloseTime] 3255 = 20121213-15:06:58.047 
 +[BarOpenPrice] 3256 = 72175 
 +[BarHighPrice] 3257 = 72175 
 +[BarLowPrice] 3258 = 72175 
 +[BarClosePrice] 3259 = 72175 
 +[BarVolume] 3260 = 4 
 +[BarBidVolume] 3261 = 0 
 +[BarOfferVolume] 3262 = 4 
 +[BarTradeCount] 3263 = 4 
 +[BarTradesAtBid] 3264 = 0 
 +[BarTradesAtOffer] 3265 = 4 
 +[MDEntryType] 269 = Y (CHART_DATA_BATCH) 
 +[TradeDate] 75 = 20121212 
 +[NoChartDatas] 3210 = 22 
 +[Change] 3212 = 6 (TRADE_DATE) 
 +[TradeDate] 3211 = 20121212 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121211-22:59:30.004 
 +[MarketMode] 3214 = 6 (SUSPENDED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121211-23:00:00.035 
 +[MarketMode] 3214 = 2 (OPEN) 
 +[Change] 3212 = 0 (NONE) 
 +[MinPriceIncrement] 3280 = 25 
 +[Decimals] 3281 = 0 
 +[PriceCode] 3208 = MC 
 +[TickValue] 3209 = 12.5 
 +[Change] 3212 = 11 (CLEARED_VOLUME) 
 +[ClearedVolumeTime] 3225 = 20121212-07:09:17.816 
 +[ClearedVolume] 3226 = 3072 
 +[Change] 3212 = 12 (OPEN_INTEREST) 
 +[OpenInterestTime] 3222 = 20121212-07:09:17.816 
 +[OpenInterest] 3223 = 3912 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-12:32:26.754 
 +[MarketMode] 3214 = 0 (UNDEFINED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-12:37:11.707 
 +[MarketMode] 3214 = 2 (OPEN) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-14:15:46.901 
 +[MarketMode] 3214 = 0 (UNDEFINED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-14:26:11.089 
 +[MarketMode] 3214 = 2 (OPEN) 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121212-15:00:00.000 
 +[BarCloseTime] 3255 = 20121212-15:00:58.211 
 +[BarOpenPrice] 3256 = 72375 
 +[BarHighPrice] 3257 = 72400 
 +[BarLowPrice] 3258 = 72375 
 +[BarClosePrice] 3259 = 72400 
 +[BarVolume] 3260 = 4 
 +[BarBidVolume] 3261 = 0 
 +[BarOfferVolume] 3262 = 4 
 +[BarTradeCount] 3263 = 4 
 +[BarTradesAtBid] 3264 = 0 
 +[BarTradesAtOffer] 3265 = 4 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121212-15:01:00.000 
 +[BarCloseTime] 3255 = 20121212-15:01:53.910 
 +[BarOpenPrice] 3256 = 72375 
 +[BarHighPrice] 3257 = 72375 
 +[BarLowPrice] 3258 = 72375 
 +[BarClosePrice] 3259 = 72375 
 +[BarVolume] 3260 = 32 
 +[BarBidVolume] 3261 = 0 
 +[BarOfferVolume] 3262 = 32 
 +[BarTradeCount] 3263 = 25 
 +[BarTradesAtBid] 3264 = 0 
 +[BarTradesAtOffer] 3265 = 25 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121212-15:03:00.000 
 +[BarCloseTime] 3255 = 20121212-15:03:59.071 
 +[BarOpenPrice] 3256 = 72400 
 +[BarHighPrice] 3257 = 72425 
 +[BarLowPrice] 3258 = 72400 
 +[BarClosePrice] 3259 = 72425 
 +[BarVolume] 3260 = 2 
 +[BarBidVolume] 3261 = 0 
 +[BarOfferVolume] 3262 = 2 
 +[BarTradeCount] 3263 = 2 
 +[BarTradesAtBid] 3264 = 0 
 +[BarTradesAtOffer] 3265 = 2 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-15:33:00.451 
 +[MarketMode] 3214 = 0 (UNDEFINED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-15:36:51.107 
 +[MarketMode] 3214 = 2 (OPEN) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-20:00:00.002 
 +[MarketMode] 3214 = 7 (HALTED) 
 +[Change] 3212 = 4 (SETTLEMENT) 
 +[SettlementTime] 3216 = 20121212-20:15:05.373 
 +[Settlement] 3217 = 72100 
 +[Change] 3212 = 10 (HELD_SETTLEMENT) 
 +[HeldSettlementTime] 3219 = 20121212-20:15:05.373 
 +[HeldSettlement] 3220 = 72100 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-20:30:00.017 
 +[MarketMode] 3214 = 1 (PRE_OPEN) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-22:00:00.015 
 +[MarketMode] 3214 = 5 (CLOSED) 
 +[Change] 3212 = 3 (MARKET_MODE) 
 +[MarketModeTime] 3213 = 20121212-22:45:00.041 
 +[MarketMode] 3214 = 1 (PRE_OPEN) 
 +[Change] 3212 = 5 (TRADE_BAR) 
 +[BarStartTime] 3254 = 20121212-15:09:00.000 
 +[BarCloseTime] 3255 = 20121212-15:09:58.192 
 +[BarOpenPrice] 3256 = 72425 
 +[BarHighPrice] 3257 = 72425 
 +[BarLowPrice] 3258 = 72425 
 +[BarClosePrice] 3259 = 72425 
 +[BarVolume] 3260 = 10 
 +[BarBidVolume] 3261 = 10 
 +[BarOfferVolume] 3262 = 0 
 +[BarTradeCount] 3263 = 6 
 +[BarTradesAtBid] 3264 = 6 
 +[BarTradesAtOffer] 3265 = 0
  
-<code> 34=4|49=T4Example|56=ctsdev|52=20160930-16:33:49.444| </code> <code> [MsgSeqNum] 34 = 4 [SenderCompID] 49 = T4Example [TargetCompID] 56 = ctsdev [SendingTime] 52 = 20160930-16:33:49.444 </code> +</code>
-==== 8 - LOGOUT (out): Successful Logout Response ====+
  
-<code> 34=59|49=ctsdev|56=T4Example|50=T4FIX|52=20160930-16:33:54.851|58=Successful logout upon request| </code> <code> [MsgSeqNum] 34 = 59 [SenderCompID] 49 = ctsdev [TargetCompID] 56 = T4Example [SenderSubID] 50 = T4FIX [SendingTime] 52 = 20160930-16:33:54.851 [Text] 58 = Successful logout upon request </code> 
  • faq/marketdata_request.1753469950.txt.gz
  • Last modified: 2025/07/25 18:59
  • by rob