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
- Smart buffering (265=5) recommended for most use cases
- MarketDepth=1 for quote boards, =10 for full depth
- Higher depth and faster updates increase bandwidth
- SecurityDesc=262 enables MDReqID matching in responses