MarketData Request

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 made available asynchronously and concurrently to order routing flow. The market data subscriptions are active during a FIX Session. They are initiated by Market Data Request messages (Tag 35=V). A Market Data Request is a general request for streaming of market data quotes on specific securities. Under the T4 FIX API, securities are defined by the Exchange, Contracts within an exchange and Markets for a specific contract. Exchanges are identified by a unique Exchange ID in Tag 207 (SecurityExchange). Contracts are characterized by its Contract ID in Tag 55 (Symbol). Markets are identified by a unique Market ID by Tag 48 (SecurityID).

Any time during a FIX Session, market data subscriptions can be requested for a specific market by specifying a Subscription Request Type (Tag 263=1). During the FIX session, the streaming market data (for any specific security) can also be unsubscribed (Tag 263=2).

A successful Market Data Request (for subscription) returns one or more Market Data messages containing one or more Market Data Entries. Currently, The T4 FIX API provides market updates with the MarketData Snapshot message (Tag 35=W) and the MarketData Incremental Refresh message (Tag 35=X). Market Data Snapshots carry multiple blocks of quote data delineated by Market Data Entries. Each Market Data Entry is a bid, an offer, a trade, settlement price of a security, the trading session high price, low price, or trade volume, open interest and low and high price limits. Market Data Entries usually have a price and a quantity (size) at a book level (for securities with market depth). For example, in an order book environment, requesting just the top of book would result in two active Market Data Entries; one for the best bid and one for the best offer. For a full book, the bid and offer sides may each have several Market Data Entries corresponding to multiple book levels. Market Data Incremental Refresh messages provide depth updates in an incremental fashion and are only applied to specific book levels as opposed to all levels of the entire depth book.

Market Data requests that cannot be honored are notified via the MarketData Request Reject message.

Subscription Types

The following Subscription Request Types control attributes, initiation and termination of streaming market data:

Subscribe: A Snapshot + Updates subscription (Tag 263=1) causes the current state of the market to be sent, and any updates as they occur, until the client requests that the Snapshot + Updates be unsubscribed. All asynchronous market data updates are sent as MarketData Snapshots. This request initiates a continuous feed of streaming data.
UnSubscribe: Unsubscribing from currently streaming market data is specified with an “Unsubscribe” Subscription Request Type (Tag 263=2).
SnapShot: A Market Data Snapshot (Tag 263=0) causes the current state of the market to be sent. Currently, this subscription type is equivalent to Snapshot + Updates (Tag 263=1). As the current data flow is driven by Market Data Snapshot messages, the complete view of a market may be rendered by a single Market Data Snapshot update. For a complete description of the market, the T4 FIX API also sends a Market Data Snapshot message associated with non-book entries (e.g. Trade Volume, Session high, Session low, etc.).
Subscribe Incremental: A Snapshot + Updates_Incremental subscription (Tag 263=7) causes the current state of the market to be sent, and any updates as they occur, until the client requests that the Snapshot + Updates_Incremental be unsubscribed. After an initial MarketData Snapshot, asynchronous market data updates are sent as MarketData Incremental Refreshes. This request initiates a continuous feed of streaming data.

Data Throughput and Buffering Levels

The T4 FIX API offers several levels of data throughput. The market data subscriber can control the number of quotes and the throughput rate (received by a client application). The T4 FIX API buffers streaming market data flow and disseminates quotes at the throughput level requested by the API client. Smart Buffering is recommended.

The following T4 buffering levels are available:

SlowTrade: Same as SlowSmart buffering plus every individual trade is received as well. High bandwidth usage during busy periods.
SmartTrade: Same as Smart buffering plus every individual trade is received.
SlowSmart: Slowed down version of Smart buffering for lower bandwidth usage. Produces depth updates about once per second per market if changes occurred.
Smart: Smart buffering (recommended), sends changes to best bid, offer, or last trade frequently; off-market changes less frequently.
FastSmart: Faster version of Smart buffering; sends best bid/offer changes more often.
All: All depth updates, no buffering. High bandwidth usage during busy markets.
FastTrade: Same as FastSmart plus every trade is received.
TradeOnly: Every individual trade is received; no depth, settlement, or price limit data.

Book Depth

The T4 FIX API Book Depth controls the number of book levels received for each update. Up to 10 book levels are available, depending on the security. The number of levels is requested with MarketDepth (Tag 264). Higher depth increases bandwidth usage. Level 1 is recommended for quote boards; Level 10 for full depth.

Matching Market Data Messages against Market Data Requests

Market Data messages can be matched (by the FIX API client) through either the (unique) SecurityID (Tag 48) or by the Request ID (MDReqID - Tag 262) of the Market Data Request that initiated the streaming. SecurityID (Tag 48) is the default identification mechanism. To request identification by MDReqID, the market's SecurityDesc (Tag 107) must be set to 262. If the client requests to identify by MDReqID, the SecurityID will not be included in the market data messages.

Message Dictionary

Tag	Field Name	Req'd	Comments
Standard Header	Y	MsgType = V
262	MDReqID	Y	Must be unique. In order to unsubscribe, may pertain to the MDReqID of a previous (subscription) Market Data Request.
263	SubscriptionRequestType	Y	0 = SNAPSHOT; 1 = SUBSCRIBE; 2 = UNSUBSCRIBE; 7 = SUBSCRIBE_INCREMENTAL
264	MarketDepth	Y	Requested Depth of market. TopOfBookOnly = 1; FullBook = 10
265	MDUpdateType	N	Type of Market Data throughput. 2 = Slow Trade; 3 = Smart Trade; 4 = Slow Smart; 5 = Smart; 6 = Fast Smart; 7 = All; 8 = Fast Trade; 9 = Trade Only
267	NoMDEntryTypes	Y	Number of MDEntryType fields requested.
269	MDEntryType	Y	0 = Bid; 1 = Offer; 2 = Implied Bid; 3 = Implied Offer; 4 = Last Trade; 6 = Settlement; 7 = Session High; 8 = Session Low; 9 = Session Open; K = Price High Limit; L = Price Low Limit; B = Trade Volume
146	NoRelatedSym	Y	Number of symbols requested.
55	Symbol	Y	T4 Contract ID.
48	SecurityID	Y	T4 Market ID.
167	SecurityType	Y	Futures=“FUT”, Options=“OPT”, Stock=“STK”, Synthetic=“SYN”, Binary Option=“BIN”
207	SecurityExchange	Y	T4 Exchange ID.
201	PutOrCall	N	For Options: 0 = Put; 1 = Call
107	SecurityDesc	N	Market Data Message Identification. Set to 262 for MDReqID matching.
1070	QuoteType	N	Obsolete. 1 = Ticks; 2 = Decimal
Standard Trailer	Y

Sample Messages

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]
[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

UnSubscribe from a currently streaming market

>> 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

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