Market Data Request (V) Message
Purpose
Used to request or manage subscriptions for market data
Message Direction
From the TT FIX Price Gateway to a third-party FIX acceptor
Using the FIX Tag Directory
- Context – Select to filter by context (e.g., “Order routing, FIX client to TT FIX”, “Request by security ID”, “TT Premium Order Types”). Only tags available for the selected context will be displayed.
- Show Comments – Select to display text in the Comments column of the table. Clear to display a condensed table without text in the Comments column.
- Flat tag list – Select to display all tags for the selected context in one list. Clear to display all tags for the selected context separated by component (e.g., Header, Instrument, Parties)
An asterisk (*) on the tag number button indicates that it appears in the table more than once for the selected context.
| Tag | Name | Type | Required | Comments | |||||
|---|---|---|---|---|---|---|---|---|---|
| Header | Y | For additional information about this component group, consult the documentation. 35=V (MsgType) | |||||||
| 262 | MDReqID | STRING | Y | Unique ID for this request The third-party FIX acceptor must return this ID in all responses related to this request. | |||||
| 263 | SubscriptionRequestType | CHAR | Y | Type of subscription The TT FIX Price Gateway always sends 1 (snapshot plus updates). | |||||
| 264 | MarketDepth | INT | Y | Market depth to return in a snapshot. TT FIX Price Gateway always sets this tag value to 20. | |||||
| 265 | MDUpdateType | INT | Y | Type of messages TT FIX sends when updating market data. TT FIX Price Gateway always sets this tag value to 1 (incremental refresh). Possible values:
| |||||
| 266 | AggregatedBook | BOOLEAN | Y | TT FIX Price Gateway always sets this tag value to Y Possible values:
| |||||
| 18214 | IncludeNumberOfOrders | CHAR | Y | 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 TT FIX Price Gateway always sets the tag value to Y. Possible values:
| |||||
| NoRelatedSymMDRequestGroup | Y | Number of symbols (instruments) requested | |||||||
| NoMDEntryTypesGroup | Y | Number of different Tag 269 (MDEntryType) fields in the request | |||||||
| Trailer | Y | For additional information about this component group, consult the full documentation. | |||||||
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Message Notes
The Market Data Request (V) message is used by the TT FIX Price Gateway to request market data information from a third-party FIX acceptor.