faq:marketdata_request

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faq:marketdata_request [2025/07/28 11:53] – created robfaq:marketdata_request [2025/07/28 12:04] (current) – [Sample Messages] rob
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 ^ Tag ^ Field Name ^ Req’d ^ Description ^ ^ Tag ^ Field Name ^ Req’d ^ Description ^
-| Standard Header | | Y | MsgType = V | +| Standard Header |  | Y | MsgType = V | 
-| 262 | MDReqID | Y | Unique ID | +| 262 | MDReqID | Y | MarketData Request ID | 
-| 263 | SubscriptionRequestType | Y | Type of request | +| 263 | SubscriptionRequestType | Y | 0 = Snapshot, 1 = Subscribe, 2 = Unsubscribe, 4/5 = Chart | 
-| 264 | MarketDepth | Y | 1 (Top) to 10 (Full) |+| 264 | MarketDepth | Y | 1 = Top of book, 10 = Full depth |
 | 265 | MDUpdateType | N | Throughput mode | | 265 | MDUpdateType | N | Throughput mode |
 | 267 | NoMDEntryTypes | Y | Repeating Group | | 267 | NoMDEntryTypes | Y | Repeating Group |
-| 269 | MDEntryType | Y | 0=Bid, 1=Offer, 4=LastTrade, etc. |+| 269 | MDEntryType | Y | 0=Bid, 1=Offer, 2=Trade, 4=LastTrade, 5=Volume |
 | 146 | NoRelatedSym | Y | Repeating Group | | 146 | NoRelatedSym | Y | Repeating Group |
-| 55 | Symbol | Y | Contract ID | +| 55 | Symbol | Y | Contract Symbol | 
-| 48 | SecurityID | Y | Market ID |+| 48 | SecurityID | Y | T4 Market ID |
 | 167 | SecurityType | Y | FUT, OPT, STK, etc. | | 167 | SecurityType | Y | FUT, OPT, STK, etc. |
 | 207 | SecurityExchange | Y | Exchange ID | | 207 | SecurityExchange | Y | Exchange ID |
-| 107 | SecurityDesc | N | Set to 262 to identify by MDReqID | +| 107 | SecurityDesc | N | If 107=262, match by MDReqID | 
-| 1070 | QuoteType | N | 1=Ticks, 2=Decimal | +| 1070 | QuoteType | N | 1 = Ticks, 2 = Decimal | 
-| 3200-3205 | Chart Data Fields | N | See above | +| 3200 | StartDate | N | UTCDateOnly (for chart) | 
-| Standard Trailer | | Y | |+| 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 =====
  
-**Subscribe to Streaming Market**+**Subscribe to streaming data from a specific market**
  
 <code> <code>
-[FIXMARKETDATAREQUEST]   +>> 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| 
-34=1891|49=T4Example|56=T4|52=...|262=md-...|263=1|264=10|265=5|267=3|269=0|269=1|269=2|146=1|55=ES|48=CME_...|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> </code>
  
-**Unsubscribe from Market**+**UnSubscribe from a currently streaming market**
  
 <code> <code>
-[FIXMARKETDATAREQUEST]   +>> 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| 
-34=1892|49=T4Example|56=T4|52=...|262=md-...|263=2|264=10|...|+[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>
  
-**Chart Data Request**+**Chart Data Request (Uncompressed 1-minute bar for 10 minutes over 2 days)**
  
 <code> <code>
-[FIXMARKETDATAREQUEST]   +>> 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| 
-263=4|264=1|267=0|146=1|55=ZC|48=LVCME_...|207=...|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> </code>
  
-**Chart Data Response**   +**Chart Data Response**
-(Example compressed or uncompressed MarketDataSnapshot)+
  
 <code> <code>
-[FIXMARKETDATASNAPSHOT]   +<< 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| 
-262=mdc-...|55=ZC|48=...|207=...|3200=...|3201=...|3202=...|3203=...|3204=2|3205=U|268=2|269=Y|...|+[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> </code>
  
  • faq/marketdata_request.1753703585.txt.gz
  • Last modified: 2025/07/28 11:53
  • by rob