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FIX Adapter Reference

Market data

Overview

These examples show how TT FIX Adapter responds to a Market Data Request (V) message in the following scenarios:

Subscribing for market data (with no Bids or Offers)

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message to subscribe to Bids and Offers for the CME,FUT,6E,Jun12 and CBOT,FUT,ZT,SEP12 contracts by setting Tag 263 (SubscriptionRequestType) to 1 (snapshot and updates).

Request:

8=FIX.4.2‡9=166‡35=V‡34=2‡49=REMOTE‡52=20120409-15:47:17‡56=TT_PRICE‡146=255=6E48=00A0FM006EZ207=CME55=ZT48=00A0IM00ZTZ207=CBOT‡262=2‡263=1264=1265=1‡266=Y‡267=2269=0269=1‡10=042‡

Initially, TT FIX Adapter responds by sending two Market Data Snapshot Full Refresh (W) messages, one for each instrument. The first response shows Tag 268 (NoMDEntries) as 0, indicating that no market data is available for the 6E Jun12 contract. The second response shows that no market data is available for the ZT SEP12 contract. The response also includes Tag 387 (TotalVolumeTraded), if volume exists.

Response:

200=200306207=TTSIM‡262=2‡268=0‡10455=Jun03‡10=072‡8=FIX.4.2‡9=00150‡35=W‡49=TT_PRICE‡56=REMOTE‡34=2‡52=20120409-15:47:17.195‡55=6E48=00A0FM006EZ‡10455=6EM2‡167=FUT207=CME‡15=USD‡262=2‡200=201206‡18210=1‡387=30‡268=0‡10=061‡

Response:

8=FIX.4.2‡9=00144‡35=W‡49=TT_PRICE‡56=REMOTE‡34=3‡52=20120409-15:47:17.195‡55=ZT48=00A0IM00ZTZ‡10455=ZTU2‡167=FUT207=CBOT‡15=USD‡262=2‡200=201209‡18210=1‡268=0‡10=248‡

As the market moves for the contracts, TT FIX Adapter sends Market Data Incremental Refresh (X) messages as changes occur.

Response:

8=FIX.4.2‡9=00175‡35=X‡49=TT_PRICE‡56=REMOTE‡34=18‡52=20120409-16:01:35.705‡262=2‡268=1279=055=6E48=00A0FM006EZ10455=6EM2167=FUT207=CME15=USD200=20120618210=1269=0270=6271=1387=30‡10=166‡

Response:

8=FIX.4.2‡9=00205‡35=X‡49=TT_PRICE‡56=REMOTE‡34=19‡52=20120409-16:01:45.002‡262=2‡268=2‡279=2‡55=6E‡48=00A0FM006EZ‡10455=6EM2‡167=FUT‡207=CME‡15=USD‡200=201206‡290=1‡18210=1‡269=0‡270=6‡271=1‡387=30‡279=0‡269=0‡270=5‡271=1‡10=217‡

Response:

8=FIX.4.2‡9=00178‡35=X‡49=TT_PRICE‡56=REMOTE‡34=35‡52=20120409-16:14:06.734‡262=2‡268=1‡279=0‡55=ZT‡48=00A0IM00ZTZ‡10455=ZTU2‡167=FUT‡207=CBOT‡15=USD‡200=201209‡18210=1‡269=0‡270=109.953125‡271=5‡10=050‡

Subscribing for market data (with Bids and Offers)

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message to subscribe to Bids and Offers for the CME,FUT,ES,SEP12 and CBOT,FUT,ZB,SEP12 contracts by setting Tag 263 (SubscriptionRequestType) to 1 (snapshot and updates).

Request:

8=FIX.4.2‡9=166‡35=V‡34=5‡49=REMOTE‡52=20120326-15:50:16‡ 56=TT_PRICE‡146=2‡55=ES‡48=00A0IM00ESZ‡207=CME‡55=ZB‡48=00A0IM00ZBZ‡ 207=CBOT‡262=2‡263=1‡264=1‡265=1‡266=Y‡267=2‡269=0‡269=1‡10=061‡

Initially, TT FIX Adapter responds by sending two Market Data Snapshot Full Refresh (W) messages, one for each instrument, showing the following:

  • For the ES,SEP12 contract, a bid for 1 at 139500 and an offer for 1 at 139475
  • For the ZB,SEP12 contract, an offer for 2 at 136.84375

The response includes Tag 387 (TotalVolumeTraded) to show the volume, if it exists.

Response:

8=FIX.4.2‡9=00215‡35=W‡49=TT_PRICE‡56=REMOTE‡34=5‡ 52=20120326-15:50:16.652‡55=ES‡48=00A0IM00ESZ‡10455=ESU2‡167=FUT‡ 207=CME‡15=USD‡262=2‡200=201209‡18210=1‡387=8448‡268=2‡269=0‡290=1‡ 270=139475‡271=1738‡269=1‡290=1‡270=139500‡271=450‡10=127‡

Response:

8=FIX.4.2‡9=00183‡35=W‡49=TT_PRICE‡56=REMOTE‡34=6‡ 52=20120326-15:50:16.652‡55=ZB‡48=00A0IM00ZBZ‡10455=ZBU2‡167=FUT‡ 207=CBOT‡15=USD‡262=2‡200=201209‡18210=1‡387=17‡268=1‡269=1‡290=2‡ 270=136.84375‡271=5‡10=215‡

As the market moves for the contracts, TT FIX Adapter sends Market Data Incremental Refresh (X) messages as changes occur. In this conversation, both contracts show activity.

Response:

8=FIX.4.2‡9=00189‡35=X‡49=TT_PRICE‡56=REMOTE‡34=7‡ 52=20120326-15:50:29.292‡262=2‡268=1‡279=1‡55=ES‡48=00A0IM00ESZ‡ 10455=ESU2‡167=FUT‡207=CME‡15=USD‡200=201209‡290=1‡18210=1‡269=1‡ 270=139500‡271=400‡387=8448‡10=195‡

Response:

8=FIX.4.2‡9=00190‡35=X‡49=TT_PRICE‡56=REMOTE‡34=8‡ 2=20120326-15:51:03.949‡262=2‡268=1‡279=1‡55=ES‡48=00A0IM00ESZ‡ 10455=ESU2‡167=FUT‡207=CME‡15=USD‡200=201209‡290=1‡18210=1‡269=0‡ 270=139475‡271=1705‡387=8481‡10=254‡

Response:

8=FIX.4.2‡9=00190‡35=X‡49=TT_PRICE‡56=REMOTE‡34=34‡ 52=20120326-16:01:09.792‡262=2‡268=1‡279=2‡55=ZB‡48=00A0IM00ZBZ‡ 10455=ZBU2‡167=FUT‡207=CBOT‡15=USD‡200=201209‡290=1‡18210=1‡269=1‡ 270=136.84375‡271=5‡387=22‡10=025‡

Requesting incremental updates for an unsupported exchange

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message for market data for an unsupported exchange (XXX). TT FIX Adapter responds by sending a Market Data Request Reject (Y) message with the reject reason in Tag 58 (Text).

Request:

8=FIX.4.2‡9=137‡35=V‡34=44‡49=REMOTE‡52=20120326-16:28:17‡56=TT_PRICE‡ 146=1‡48=00A0IM00ZBZ‡55=ZB‡207=XXX‡262=2‡263=0‡264=1‡265=1‡266=Y‡267=2‡269=0‡269=1‡10=004‡

Response:

8=FIX.4.2‡9=00103‡35=Y‡49=TT_PRICE‡56=REMOTE‡34=77‡ 52=20120326-16:28:17.042‡262=2‡58=Unknown or missing market: Entry #1‡10=077‡

Cancelling a market data subscription

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message. By setting Tag 263 (SubscriptionRequestType) to 2 (unsubscribe), the FIX client asks TT FIX Adapter to cancel market data updates.

Request:

8=FIX.4.2‡9=166‡35=V‡34=5‡49=REMOTE‡52=20120326-15:50:16‡ 56=TT_PRICE‡146=2‡55=ES‡48=00A0IM00ESZ‡207=CME‡55=ZB‡ 48=00A0IM00ZBZ‡207=CBOT‡262=2‡263=2‡264=1‡265=1‡266=Y‡267=2‡269=0‡ 269=1‡10=061‡

Response:

[no response]

Cancelling a market data subscription with an unsupported exchange

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message for an unsupported exchange (XXX). By setting Tag 263 (SubscriptionRequestType) to 2, the FIX client asks TT FIX Adapter to cancel market data updates. TT FIX Adapter responds by sending a Market Data Request Reject (Y) message with the reject reason in Tag 58 (Text)

Request:

8=FIX.4.2‡9=131‡35=V‡34=62‡49=REMOTE‡52=20120326-16:41:51‡56=TT_PRICE‡ 146=1‡48=00A0IM00ZBZ‡55=ZB‡207=XXX‡262=4‡263=2‡264=1‡265=1‡266=Y‡267=2‡269=0‡10=235‡

Response:

8=FIX.4.2‡9=00103‡35=Y‡49=TT_PRICE‡56=REMOTE‡34=95‡ 52=20120326-16:41:51.183‡262=4‡58=Unknown or missing market: Entry #1‡10=078‡

Requesting market data with market depth

In this conversation, a FIX client sends TT FIX Adapter a Market Data Request (V) message to subscribe to Bid and Ask for the CME,ES,FUT,SEP12 contract. By setting Tag 264 (MarketDepth) to 5, the FIX client asks TT FIX Adapter to send five levels of depth.

Request:

8=FIX.4.2‡9=137‡35=V‡34=67‡49=REMOTE‡52=20120326-16:46:16‡56=TT_PRICE‡ 146=1‡55=ES‡48=00A0IM00ESZ‡207=CME‡262=8‡263=1‡264=5‡265=1‡266=Y‡267=2‡269=0‡269=1‡10=216‡

Initially, TT FIX Adapter responds by sending a Market Data Snapshot Full Refresh (W) message with the current volume traded in Tag 387 (TotalVolumeTraded). This example contains a bid for 562 at 139475 and an offer for 25 at 139500.

Response:

8=FIX.4.2‡9=00215‡35=W‡49=TT_PRICE‡56=REMOTE‡34=100‡ 52=20120326-16:46:16.605‡55=ES‡48=00A0IM00ESZ‡10455=ESU2‡167=FUT‡ 207=CME‡15=USD‡262=8‡200=201209‡18210=1‡387=9800‡268=2‡269=0‡290=1‡ 270=139475‡271=562‡269=1‡290=1‡270=139500‡271=25‡10=118‡

As the market moves for the contract, TT FIX Adapter sends Market Data Incremental Refresh (X) messages as changes occur.

Response:

8=FIX.4.2‡9=00190‡35=X‡49=TT_PRICE‡56=REMOTE‡34=102‡ 52=20120326-16:46:16.730‡262=8‡268=1‡279=1‡55=ES‡48=00A0IM00ESZ‡ 10455=ESU2‡167=FUT‡207=CME‡15=USD‡200=201209‡290=1‡18210=1‡269=1‡ 270=139500‡271=26‡387=9800‡10=233‡

Response:

8=FIX.4.2‡9=00190‡35=X‡49=TT_PRICE‡56=REMOTE‡34=103‡ 52=20120326-16:46:16.730‡262=8‡268=1‡279=1‡55=ES‡48=00A0IM00ESZ‡ 10455=ESU2‡167=FUT‡207=CME‡15=USD‡200=201209‡290=1‡18210=1‡269=1‡ 270=139500‡271=27‡387=9800‡10=235‡