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Market Data
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.
Identifying a Market
Subscriptions are keyed by exchange_id, contract_id and market_id. Retrieve them from the REST-based Instruments API
Subscribe
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 enumquotes (Quotes enum) selects the market data feed:
| Value | You receive |
|---|---|
QUOTES_NONE | Nothing — unsubscribes the market. |
QUOTES_TOP_OF_BOOK | Best bid / best offer only, as MarketDepth. |
QUOTES_FULL_ORDER_BOOK | Full depth ladder (volume aggregated per price), as MarketDepth. |
QUOTES_MARKET_BY_ORDER | Every individual resting order, as MarketByOrder*. |
ticker — when true, trade prints stream as MarketTrade messages.
Unsubscribe — resend MarketSubscribe for the same market with quotes: QUOTES_NONE.
What you receive
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 pluslast_sequence.MarketByOrderUpdate— per-order changes; each has asequenceandupdates[]of typeADD_OR_UPDATE,DELETEorCLEAR. Apply in order; on a gap, resubscribe.
Ticker Feed
MarketTrade— whentickeris set. For an MBO subscription it also carries the tradesequenceand the participating resting orders
Always:
MarketDetails— the instrument definition.MarketHighLow,MarketPriceLimits,MarketSettlement— as they occur.MarketSubscribeReject— subscription refused; checkmode.
Every message carries a mode (MarketMode: open, closed, halted, …) and a delayed flag.
Reference
Messages and every field: proto/t4/v2/market/market.proto. Enums (Quotes, MarketMode, BidOffer): proto/t4/v2/common/enums.proto. See the Message Catalog.