Table of Contents

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: 

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|

Unsubscribe from Market: 

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|

Notes