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FIX Adapter Reference

Market Data Request (V)

Purpose

Used to request or manage subscriptions for market data

Message Direction

From FIX client to TT FIX Adapter

Message Availability

Use CasePrice SessionOrder Session

Drop Copy

Yes No

Order Routing

Yes No

Supported Tags

Tag # Field Name Req’d Comments
Component Block <Standard Header> Y 35=V (MsgType)
262 MDReqID Y

Unique ID for this request. TT FIX Adapter returns this ID in all responses to the request.

Data type: String

263 SubscriptionRequestType Y

Type of request. Valid values include:

  • 0: Snapshot
  • 1: Snapshot plus updates (subscribe)
  • 2: Disable previous (unsubscribe)

Data type:char

264 MarketDepth C

Market depth to return in a snapshot. Valid values include:

  • 0 : Full book
  • 1 : Top of book
  • >1: Best specified number of price tiers data

Data type: int

Condition: Required when Tag 263 (SubscriptionRequestType) is 0 or 1.

Note: If this value exceeds the Max Depth Levels setting defined in the FIX Adapter configuration for the FIX session, FIX Adapter returns the depth specified in the configuration. For more information about the setting, refer to the TT FIX Adapter System Administration Manual.

265 MDUpdateType C

Type of messages TT FIX Adapter sends when updating market data. Valid values include:

  • 0: Full refresh
  • 1: Incremental refresh

Data type: int

Condition: Required when Tag 263 (SubscriptionRequestType) is 1.

266 AggregatedBook C

Whether the FIX Adapter should send aggregated book entries.

Data type: Boolean

Condition: Required when Tag 263 (SubscriptionRequestType) is 0 or 1. When used, you must send Y.

267 NoMDEntryTypes Y

Number of different Tag 269 (MDEntryType) fields in the request.

Data type: NumInGroup

Condition: Required when Tag 265 (SubscriptionRequestType) is 0 or 1.

  269 MDEntryType Y

Type of market data to request. Valid values include:

  • 0: Bid
  • 1: Ask
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session low price
  • A: Imbalance
  • P: Workup state
  • Y: Implied bid
  • Z: Implied ask
  • n: Market bid
  • o: Market ask
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask
  • t: Indicative settlement

Data type: char

Condition: Required for the number of requests specified in Tag 267 (NoMDEntryTypes).

146 NoRelatedSym Y

Number of underlying instruments contained in this repeating group.

Data type: NumInGroup

  Component Block <Instrument> Y

For tags that you include in the Instrument Component Block and any restrictions in their use, refer to Component block: Instrument (FIX client request).

18214

IncludeNumberOfOrders

N

Whether or not to include the number of orders that comprise the quantity in aggregated depth and an indicator as to whether or not that number is exact, when the TT Gateway provides this information. Tag 18214 (IncludeNumberOfOrders) values include Y and N.

Data type: char

Default Value: N

Note: This tag is valid only for market data refresh messages when Tag 269 (MDEntryType) contains: 0 (Bid), 1 (Ask), Y (Implied bid), or Z (Implied ask).

Note: Supported only for the TT OSE Gateway.

Component Block <Standard Trailer> Y  

Message Notes

The Market Data Request (V) message is used by a FIX client to request market data information from TT FIX Adapter. You can request information like the top of book (Bid, Ask, and session prices) and market depth data.

TT FIX Adapter responds to a Market Data Request (V) message with a Market Data Snapshot Full Refresh (W) message. Additionally:

  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 0, TT FIX Adapter sends no further messages. It does not update the market data.
  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 1, TT FIX Adapter updates market data according to the setting the FIX Client uses in Tag 265 (MDUpdateType):
    • 0: To update market data, TT FIX Adapter sends Market Data Snapshot Full Refresh (W) messages.
    • 1: To update market data, TT FIX Adapter sends Market Data Incremental Refresh (X) messages.
  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 2, TT FIX Adapter stops sending updates.

If the FIX Adapter cannot fulfill a request for market data because the request contains an invalid instrument, it sends a Market Data Request Reject (Y) message.

Note: If you submit this request for a TT Gateway whose Price Proxy or Price Server is down, FIX Adapter also responds with a Market Data Request Reject (Y) message.

Some exchanges disseminate implied prices as well as direct (Bid/Ask) prices. Trying to merge these two separate price streams can result in crossed markets for a brief moment. TT FIX Adapter forwards all market data updates from exchanges, so FIX clients can encounter this scenario as well. FIX clients that subscribe for direct and implied prices should be written to account for this possibility.

Related Information

Market Data Snapshot/Full Refresh (W)

Market Data Request Reject (Y)

Market Data - Incremental Refresh (X)