faq:marketdata_request

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faq:marketdata_request [2025/07/25 19:07] – robfaq:marketdata_request [2025/07/28 12:04] (current) – [Sample Messages] rob
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 ====== MarketData Request ====== ====== MarketData Request ======
  
-==== Subscribing to Streaming Data ====+**Subscribing to Streaming Data**
  
-The T4 FIX API provides optional subscriptions to streaming market data for all markets available in order routing. Market data is delivered asynchronously and concurrently with order routing flow during a FIX Session.+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.
  
-Market data subscriptions are initiated by **Market Data Request messages** (Tag 35=V). Securities are identified by: +A Market Data Request specifies: 
-  * Exchange (Tag 207 - SecurityExchange) +  * **Exchange** (`207=SecurityExchange`) 
-  * Contract (Tag 55 - Symbol) +  * **Contract** (`55=Symbol`) 
-  * Market (Tag 48 - SecurityID)+  * **Market** (`48=SecurityID`)
  
-Subscriptions can be started anytime during the FIX Session with Subscription Request Type (Tag 263=1), and unsubscribed with Tag 263=2.+Subscription and unsubscription are handled via: 
 +  * `263=1` – Subscribe (Snapshot + Updates) 
 +  * `263=2` – Unsubscribe
  
-A successful Market Data Request returns Market Data messages: +Successful subscriptions return: 
-  * MarketData Snapshot (Tag 35=W) +  * **MarketData Snapshot** (`35=W`) 
-  * MarketData Incremental Refresh (Tag 35=X)+  * **MarketData Incremental Refresh** (`35=X`)
  
-Each Market Data Entry represents bid, offer, trade, settlement price, session high/low, trade volume, open interest, or price limits. Full book or top-of-book subscriptions are available.+Each Market Data Entry (e.g., bid, offer, trade, volume) may include price and quantity. For example: 
 +  * Top of book: 2 entries (bid + offer) 
 +  * Full book: multiple entries per side
  
-Market Data Incremental Refresh messages update specific book levels incrementally.+Incremental Refresh provides only updated depth levels, improving bandwidth efficiency.
  
-Requests that cannot be fulfilled result in a MarketData Request Reject message.+Unsuccessful requests result in a **MarketData Request Reject** message.
  
-==== Subscription Types ====+===== Subscription Types =====
  
-| _Type_          | _Tag 263 Value_ | _Description_                                    | +  * **Snapshot (263=0)** — Current state only. 
-|-----------------|-----------------|-------------------------------------------------| +  * **Subscribe (263=1)** — Snapshot + Updates. 
-| Subscribe       | 1               | Snapshot + Updates: full feed until unsubscribed | +  * **Unsubscribe (263=2)** — Cancel updates. 
-| UnSubscribe     | 2               | Cancel existing subscription                      | +  * **Subscribe Incremental (263=7)** — Snapshot + Incremental Refresh. 
-| SnapShot       | 0               | Snapshot only (equivalent to 1 currently)        | +  * **Chart Data (263=4,5)** — See below.
-| Subscribe Incremental | 7          | Snapshot + Incremental Updates                    |+
  
-==== Data Throughput and Buffering Levels ====+===== Data Throughput / Buffering Levels =====
  
-T4 FIX API offers various buffering levels controlling throughput and bandwidth:+Buffering level (Tag `265`) options:
  
-| _Level_     | _Description_                                                                                 | +^ Value ^ Buffering Type ^ Description ^ 
-|-------------|----------------------------------------------------------------------------------------------| +| 2 | SlowTrade | SlowSmart + individual trades | 
-| SlowTrade   | SlowSmart + every trade; high bandwidth, use sparingly                                       | +| 3 | SmartTrade | Smart + individual trades | 
-| SmartTrade  | Smart + every trade; high bandwidth, use sparingly                                           | +| 4 | SlowSmart | ~1/sec update if changed | 
-| SlowSmart   | Slowed Smart buffering; ~1 update per second if changes occur                                | +| 5 | Smart | (Recommended) variable rate | 
-| Smart       | Recommended; varies frequency based on changes to best bid/offer/last trade                  | +| 6 | FastSmart | More frequent updates | 
-| FastSmart   | Faster than Smart; more frequent updates on best bid/offer                                  | +| 7 | All | No buffering (high bandwidth) | 
-| All         | No buffering; all depth updates sent; high bandwidth                                        | +| 8 | FastTrade | FastSmart + trades | 
-| FastTrade   | FastSmart + every trade; high bandwidth                                                     | +| 9 | TradeOnly | Trades only (no depth) |
-| TradeOnly   | Only individual trades; no depth or limits                                                  |+
  
-==== Book Depth ====+===== Book Depth =====
  
-MarketDepth (Tag 264) controls the number of book levels requested, max 10.   +Requested via Tag `264` (MarketDepth): 
-- Level 1: Top of Book   +  * **1** — Top of book (Level 1) 
-- Level 10: Full Book   +  * **10** — Full depth (up to 10 levels)
-If the security does not support 10 levels, the maximum supported is returned.+
  
-==== Matching Market Data Messages ====+===== Matching Market Data =====
  
-Market Data messages can be matched by:   +Data can be matched using: 
-- SecurityID (Tag 48) (default)   +  * `48=SecurityID` (default) 
-- MDReqID (Tag 262) if SecurityDesc (Tag 107) is set to 262 (SecurityID omitted in this case)+  * `262=MDReqID` if `107=262` is included in request.
  
-==== Chart Data Requests ====+===== Chart Data Requests =====
  
-Chart (Time-and-Sales) Data requests are available for historical graph construction.+Available only in FIX sessions with `372=V` set.
  
-- Requires FIX Session with Enable Chart Data Requests (Tag 372=V) +Tag `263` values for Chart Data: 
-- Session auto-logs out if no Chart Data request within 60 seconds +  * **4 = TIME_AND_SALES_DATA_BATCH** (multi-day + session) 
-- Requests via Market Data Request (Tag 35=V) with SubscriptionRequestType (Tag 263):+  * **5 = TIME_AND_SALES_CONTRACT** (single day, no session span)
  
-| _Type_                  | _Tag 263 Value_ | _Description_                             | +Additional fields: 
-|-------------------------|-----------------|-----------------------------------------| +  * `3200` = Start Date (UTCDateOnly) 
-| TIME_AND_SALES_DATA_BATCH | 4              | Multiple days, customizable session time (recommended) | +  * `3201` = End Date 
-| TIME_AND_SALES_CONTRACT  | 5               | Single day, all markets for a contract, total traded volume only |+  * `3202`, `3203` = Session Time span (UTCTimeOnly) 
 +  * `3204` = ChartType (0=Tick, 1=Sec, 2=Min, etc.) 
 +  * `3205` = DataFormat (U, T, Z)
  
-Chart Data requests may specify:   +===== Message Dictionary =====
-- TradeDateStart (Tag 3200) and TradeDateEnd (Tag 3201)   +
-- SessionStartTime (Tag 3202) and SessionEndTime (Tag 3203)   +
-- ChartType (Tag 3204) (granularity)   +
-- DataFormat (Tag 3205) for compression (U=Uncompressed, T=Compressed with Deflate, Z=Compressed with ZLib)+
  
-Responses are MarketData Snapshot messages (Tag 35=W).+^ Tag ^ Field Name ^ Req’d ^ Description ^ 
 +| Standard Header |  | Y | MsgType = V | 
 +| 262 | MDReqID | Y | MarketData Request ID | 
 +| 263 | SubscriptionRequestType | Y | 0 = Snapshot, 1 = Subscribe, 2 = Unsubscribe, 4/5 = Chart | 
 +| 264 | MarketDepth | Y | 1 = Top of book, 10 = Full depth | 
 +| 265 | MDUpdateType | N | Throughput mode | 
 +| 267 | NoMDEntryTypes | Y | Repeating Group | 
 +| 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 |  |
  
-==== Message Dictionary ====+===== Sample Messages =====
  
-| Tag  | Field Name              | Req'd | Comments                                                                              | +**Subscribe to streaming data from a specific market**
-|-------|------------------------|-------|---------------------------------------------------------------------------------------| +
-| Standard Header |                | Y     | MsgType = V                                                                          | +
-| 262   | MDReqID                 | Y     | Unique ID. Needed for unsubscribe                                                    | +
-| 263   | SubscriptionRequestType | Y     | Subscription type (see table above)                                                  | +
-| 264   | MarketDepth             | Y     | Requested market depth (max 10)                                                      | +
-| 265   | MDUpdateType            | N     | Market data throughput buffer level (see buffering levels above)                     | +
-| 267   | NoMDEntryTypes          | Y     | Number of Market Data Entry Types requested                                         | +
-| 269   | MDEntryType             | Y     | Market data entry types requested (e.g., 0=Bid, 1=Offer, 4=Last Trade, etc.)         | +
-| 146   | NoRelatedSym            | Y     | Number of requested symbols (repeating group)                                       | +
-| 55    | Symbol                  | Y     | Contract ID                                                                          | +
-| 48    | SecurityID              | Y     | Market ID                                                                            | +
-| 167   | SecurityType            | Y     | Instrument type (e.g. FUT, OPT, STK)                                                | +
-| 207   | SecurityExchange        | Y     | Exchange ID                                                                          | +
-| 201   | PutOrCall               | N     | Option Put/Call indicator (0=Put, 1=Call)                                           | +
-| 107   | SecurityDesc            | N     | Set to 262 to identify by MDReqID                                                   | +
-| 1070  | QuoteType               | N     | Obsolete. Pricing scheme (ticks/decimal)                                            | +
-| 3200  | TradeDateStart          | N     | Start date for Chart Data requests (UTCDateOnly)                                    | +
-| 3201  | TradeDateEnd            | N     | End date for Chart Data requests                                                    | +
-| 3202  | SessionStartTime        | N     | Session start time (UTCTimeOnly)                                                    | +
-| 3203  | SessionEndTime          | N     | Session end time (UTCTimeOnly)                                                      | +
-| 3204  | ChartType               | N     | Chart data granularity                                                              | +
-| 3205  | DataFormat              | N     | Compression format for chart data                                                   | +
-| Standard Trailer |                | Y     |                                                                                      | +
- +
-----+
  
 <code> <code>
-Subscribe to Streaming Data from a Specific Market +>> 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] [FIXMARKETDATAREQUEST]
-34=1891 +[MsgSeqNum] 34 = 1891 
-49=T4Example +[SenderCompID] 49 = T4Example 
-56=T4 +[TargetCompID] 56 = T4 
-52=20121010-14:37:58.720 +[SendingTime] 52 = 20121010-14:37:58.720 
-262=md-10/10/2012 9:37:58 AM          # Unique Market Data Request ID +[MDReqID] 262 = md-10/10/2012 9:37:58 AM 
-263=1                                # SubscriptionRequestType = Subscribe (Snapshot + Updates) +[SubscriptionRequestType] 263 = 1 (SNAPSHOT_PLUS_UPDATES) 
-264=10                               # MarketDepth = 10 levels (full book) +[MarketDepth] 264 = 10 
-265=5                                # MDUpdateType = Smart buffering +[MDUpdateType] 265 = 5 (SMART) 
-1070=1                              # QuoteType (decimal pricing) +[NoMDEntryTypes] 267 = 3 
-267=3                                # NoMDEntryTypes = 3 entry types requested +[MDEntryType] 269 = 0 (BID) 
-269=0                                # MDEntryType = Bid +[MDEntryType] 269 = 1 (OFFER) 
-269=1                                # MDEntryType = Offer +[MDEntryType] 269 = 2 (IMPLIED_BID) 
-269=2                                # MDEntryType = Implied Bid +[NoRelatedSym] 146 = 1 
-146=1                               # NoRelatedSym = 1 instrument requested +[Symbol] 55 = ES 
-55=ES                               # Symbol (Contract ID) +[SecurityID] 48 = CME_20121200_ESZ2 
-48=CME_20121200_ESZ2                # SecurityID (Market ID) +[SecurityType] 167 = FUT (FUTURE) 
-167=FUT                             # SecurityType = Future +[SecurityExchange] 207 = CME_Eq 
-207=CME_Eq                         # SecurityExchange (Exchange ID)+</code>
  
 +**UnSubscribe from a currently streaming market**
  
-Unsubscribe from a Currently Streaming Market +<code> 
 +>> 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] [FIXMARKETDATAREQUEST]
-34=1892 +[MsgSeqNum] 34 = 1892 
-49=T4Example +[SenderCompID] 49 = T4Example 
-56=T4 +[TargetCompID] 56 = T4 
-52=20121010-14:37:59.765 +[SendingTime] 52 = 20121010-14:37:59.765 
-262=md-10/10/2012 9:37:59 AM          # Same or new MDReqID for unsubscribe +[MDReqID] 262 = md-10/10/2012 9:37:59 AM 
-263=2                                # SubscriptionRequestType = Unsubscribe (stop streaming) +[SubscriptionRequestType] 263 = 2 (DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST) 
-264=10 +[MarketDepth] 264 = 10 
-265=5 +[MDUpdateType] 265 = 5 (SMART) 
-1070=1 +[NoMDEntryTypes] 267 = 3 
-267=3 +[MDEntryType] 269 = 0 (BID) 
-269=0 +[MDEntryType] 269 = 1 (OFFER) 
-269=1 +[MDEntryType] 269 = 2 (IMPLIED_BID) 
-269=2 +[NoRelatedSym] 146 = 1 
-146=1 +[Symbol] 55 = ES 
-55=ES +[SecurityID] 48 = CME_20121200_ESZ2 
-48=CME_20121200_ESZ2 +[SecurityType] 167 = FUT (FUTURE) 
-167=FUT +[SecurityExchange] 207 = CME_Eq 
-207=CME_Eq+</code>
  
 +**Chart Data Request (Uncompressed 1-minute bar for 10 minutes over 2 days)**
  
-Chart Data Request (Uncompressed 1-minute Bar for 10 minutes over 2 days) +<code> 
 +>> 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] [FIXMARKETDATAREQUEST]
-34=3 +[MsgSeqNum] 34 = 3 
-49=T4Example +[SenderCompID] 49 = T4Example 
-56=T4 +[TargetCompID] 56 = T4 
-52=20130626-23:40:01.294 +[SendingTime] 52 = 20130626-23:40:01.294 
-262=mdc-6/26/2013 6:40:01 PM         # Unique ID for Chart Data Request +[MDReqID] 262 = mdc-6/26/2013 6:40:01 PM 
-263=4                               # SubscriptionRequestType = TIMEANDSALES_DATA_BATCH (multi-day chart data) +[SubscriptionRequestType] 263 = 4 (TIMEANDSALES_DATA_BATCH) 
-264=1                               # MarketDepth = 1 level (for chart data, usually 1) +[MarketDepth] 264 = 1 
-265=5                               # MDUpdateType = Smart buffering +[MDUpdateType] 265 = 5 (SMART) 
-1070=1 +[NoMDEntryTypes] 267 = 0 
-267=0                               # NoMDEntryTypes (not required for chart data) +[NoRelatedSym] 146 = 1 
-146=1 +[Symbol] 55 = ZC 
-55=ZC +[SecurityID] 48 = LVCME_20121200_ZCZ2 
-48=LVCME_20121200_ZCZ2 +[SecurityType] 167 = FUT (FUTURE) 
-167=FUT +[SecurityExchange] 207 = LVCME_C 
-207=LVCME_C +[TradeDateStart] 3200 = 20121212 
-3200=20121212                      # TradeDateStart (YYYYMMDD) +[TradeDateEnd] 3201 = 20121213 
-3201=20121213                      # TradeDateEnd (YYYYMMDD) +[SessionStartTime] 3202 = 09:00:00 
-3202=09:00:00                     # SessionStartTime (HH:MM:SS, CST) +[SessionEndTime] 3203 = 09:10:00 
-3203=09:10:00                     # SessionEndTime (HH:MM:SS, CST) +[ChartType] 3204 = 2 (MINUTE) 
-3204=2                            # ChartType = Minute bars +[DataFormat] 3205 = U (UNCOMPRESSED)
-3205=U                            # DataFormat = Uncompressed+
  
 +</code>
  
-Chart Data Response (Excerpt)+**Chart Data Response**
  
 +<code>
 +<< 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] [FIXMARKETDATASNAPSHOT]
-34=3 +[MsgSeqNum] 34 = 3 
-49=T4 +[SenderCompID] 49 = T4 
-56=T4Example +[TargetCompID] 56 = T4Example 
-50=T4FIX +[SenderSubID] 50 = T4FIX 
-52=20130626-23:40:01.528 +[SendingTime] 52 = 20130626-23:40:01.528 
-262=mdc-6/26/2013 6:40:01 PM-0       # Response referencing the request ID +[MDReqID] 262 = mdc-6/26/2013 6:40:01 PM-0 
-55=ZC +[Symbol] 55 = ZC 
-48=LVCME_20121200_ZCZ2 +[SecurityID] 48 = LVCME_20121200_ZCZ2 
-207=LVCME_C +[SecurityExchange] 207 = LVCME_C 
-965=16                              # Success status code +[SecurityStatus] 965 = 16 (SUCCESS) 
-3200=20121212                      # TradeDateStart +[TradeDateStart] 3200 = 20121212 
-3201=20121213                      # TradeDateEnd +[TradeDateEnd] 3201 = 20121213 
-3202=09:00:00.000                  # SessionStartTime +[SessionStartTime] 3202 = 09:00:00.000 
-3203=09:10:00.000                  # SessionEndTime +[SessionEndTime] 3203 = 09:10:00.000 
-3204=2                            # ChartType (Minute) +[ChartType] 3204 = 2 (MINUTE) 
-3205=2                            # DataFormat (compressed T4 binary) +[DataFormat] 3205 = 2 (T4BIN) 
-268=2                            # Number of Market Data Entries (NoMDEntries)+[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
  
-269=Y                            # MDEntryType = CHART_DATA_BATCH (chart data block) 
-75=20121213                      # TradeDate for this batch 
-3210=15                          # NoChartDatas (number of data points) 
-...                             # Followed by trade bars, market modes, settlements, and other fields 
 </code> </code>
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  • faq/marketdata_request.1753470465.txt.gz
  • Last modified: 2025/07/25 19:07
  • by rob