Market Data

◀ WebSocket API (V2)

One message — MarketSubscribe — subscribes to a market. A single quotes level picks how much order-book detail you want, and a ticker flag adds the trade feed. Market-data volumes are integers (int32); prices are decimal strings (see Prices & Data Types).

Subscriptions are keyed by exchange_id, contract_id and market_id (all strings). Retrieve them from the REST Instruments API (Swagger: https://api-sim.t4login.com/markets/swagger/index.html). A MarketDetails message with the full instrument definition is also delivered on subscribe.

market_subscribe {
  exchange_id: "CME"
  contract_id: "..."
  market_id:   "..."
  quotes: QUOTES_FULL_ORDER_BOOK   // detail level (see below)
  ticker: true                     // also stream trade prints
}

quotes (Quotes enum) selects the feed:

ticker — when true, trade prints stream as MarketTrade messages.

Unsubscribe — resend MarketSubscribe for the same market with quotes: QUOTES_NONE.

Price feeds (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.

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.

Always:

• MarketDetails — the instrument definition.
• MarketHighLow, MarketPriceLimits, MarketSettlement — as they occur.
• MarketTrade — when ticker is set. For an MBO subscription it also carries the trade sequence and the participating resting orders.
• MarketSubscribeReject — subscription refused; check mode.

Every message carries a mode (MarketMode: open, closed, halted, …) and a delayed flag.

Messages and every field: proto/t4/v2/market/market.proto. Enums (Quotes, MarketMode, BidOffer): proto/t4/v2/common/enums.proto. See the Message Catalog.