Market Data

◀ WebSocket API (V2)

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.)

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:

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):

• MarketSnapshot — full current state on subscribe (bundles depth, trades, high/low, price limits, settlement).
• MarketDepth — incremental bid/offer/implied updates thereafter.

Market by Order Feed (MARKET_BY_ORDER):

• MarketByOrderSnapshot — all resting orders plus last_sequence.
• MarketByOrderUpdate — per-order changes; each has a sequence and updates[] of type ADD_OR_UPDATE, DELETE or CLEAR. Apply in order; on a gap, resubscribe.

Ticker Feed

• MarketTrade — when ticker is set. For an MBO subscription it also carries the trade sequence and the participating resting orders

Always:

• MarketDetails — the instrument definition.
• MarketHighLow, MarketPriceLimits, MarketSettlement — as they occur.
• MarketSubscribeReject — subscription refused.