Send a MarketSubscribe message in order to subscribe for market data. You may have multiple active market subscriptions (up to the subscription limit set for your user.)
| Feed | Description |
|---|---|
| Depth of Market (Top of Book) | Provides the best bid and best offer. |
| Depth of Market (Full Order Book) | Provides the 10 best bids and offers in the market. |
| Market by Order (CME Only) | Provides the complete order book, including order id's and position in queue information. |
| Ticker | Provides a ticker of every trade in the market. |
Note: Trade ticker includes order id's when subscribed for MBO.
Subscriptions are keyed by exchange_id, contract_id and market_id. Retrieve them from the REST-based Instruments API
market_subscribe {
exchange_id: "CME_Eq"
contract_id: "ES"
market_id: "XME_Eq ES ()"
quotes: QUOTES_FULL_ORDER_BOOK // detail level (see below)
ticker: true // also stream trade prints
}
The Quotes enum selects the market data feed:
| Value | You receive |
|---|---|
QUOTES_NONE | Unsubscribes the market |
QUOTES_TOP_OF_BOOK | Best bid / best offer (TOB) market depth feed |
QUOTES_FULL_ORDER_BOOK | Top-10 bids and offfers (FOB) market depth feed |
QUOTES_MARKET_BY_ORDER | Market by order (MBO) feed |
ticker — when true, trade prints stream as MarketTrade messages.
Unsubscribe — Send a MarketSubscribe for the same market with quotes: QUOTES_NONE.
Quote Feed (TOP_OF_BOOK / FULL_ORDER_BOOK):
Market by Order Feed (MARKET_BY_ORDER):
last_sequence.sequence and updates[] of type ADD_OR_UPDATE, DELETE or CLEAR. Apply in order; on a gap, resubscribe.Ticker Feed
ticker is set. For an MBO subscription it also carries the trade sequence and the participating resting ordersAlways: