The following article provides information on making Market Data requests.
Making Market Data Requests
Ensure you are connected to a valid Security Definition/Market Data FIX session. You also need to be entitled for FIX Market Data on the exchange you want to subscribe to.
Requesting a Snapshot Plus Updates
With the SubscriptionRequestType tag, you can request a snapshot and optionally subscribe to updates, or unsubscribe from them.
Set the MarketDepth for the snapshot and choose the type of updates you would like to receive with MDUpdateType .
| Tag # | Field Name | Comments |
|---|---|---|
| 263 | SubscriptionRequestType |
Type of request:
|
| 264 | MarketDepth |
Market depth to return in a snapshot:
|
| 265 | MDUpdateType |
Type of messages TT FIX sends when updating market data:
|
Sample Request for JPX 225 – Snapshot plus updates
In this example, we retrieve a snapshot of the top of the book of the Nikkei 225 Futures index (tags: 55=NK, 167=FUT, 207=SGX ) and request to be updated incrementally with changes.
-
SubscriptionRequestType(tag 263) set to1indicates that we want the snapshot with updates. -
MarketDepth(tag 264) set to1indicates that we want just top of the book. -
MDUpdateType(tag 265) set to1indicates that we want only the changed items in a refresh, not a full snapshot.
Including Trading Stats in Updates
Trading stats can be included in an market data subscription by specifying which entries you are interested in.
Enter the total number of trade stats in the NoMDEntryTypes field, followed by a list of MDEntryType codes, one for each stat you would like to subscribe to.
| Tag # | Field Name | Comments |
|---|---|---|
| 267 | NoMDEntryTypes |
Number of different Tab 269 (MDEntryType) fields in the request |
| 269 | MDEntryType |
Type of market data to request. See possible values. |
Sample Request for LME AH – Updates including trading stats
In this example, we retrieve a full book snapshot of the London Metal Exchange Aluminum Futures with incremental updates (tags: 55=AH, 167=FUT, 207=LME, 264=0, 265=1 ). We’ll also subscribe to 8 trading stats.
NoMDEntryTypes (tag 267) set to 8 indicates that we want to subscribe to eight trading stats. Include 8 MDEntryTypes in the request:
-
MDEntryType(tag 269) set to0subscribes to Bid -
MDEntryType(tag 269) set to1subscribes to Ask -
MDEntryType(tag 269) set to2subscribes to Trade -
MDEntryType(tag 269) set to4subscribes to Opening price -
MDEntryType(tag 269) set to5subscribes to Closing price -
MDEntryType(tag 269) set to6subscribes to Settlement price -
MDEntryType(tag 269) set to7subscribes to Trading session High price -
MDEntryType(tag 269) set to8subscribes to Trading session Low price
Requesting Multiple Instruments
Market Data for multiple instruments can be included in one request.
Set the NoRelatedSym to the number of Instruments
| Tag # | Field Name | Comments |
|---|---|---|
| 146 | NoRelatedSym | Number of underlying instruments contain in this repeating group. |
Sample Request for multiple CME instruments
In this example, we will request multiple CME instruments in a single message by setting NoRelatedSym (tag 146) to 5.
Then list the 5 instrument identifiers in order.
Instruments are identified by a group of tags listed in numerical order:
- All E-mini S&P Futures (tags: 55=ES, 167=FUT, 207=CME )
- Euro FX EUR/USD for Dec22 (tags: 55=6E, 167=FUT, 200=202212, 207=CME )
- Eurodollar for Dec22 (tags: 55=GE, 167=FUT, 200=202212, 207=CME )
- E-mini S&P for Dec22 (tags: 55=ES, 167=FUT, 200=202212, 207=CME )
The request is for a full snapshot with incremental updates:
SubscriptionRequestTypetag 263 = 1 (Snapshot plus updates)MarketDepthtag 264 = 0 (Full book)MDUpdateTypetag 265 = 1 (Incremental)
We also want our update to include two trading stats:
MDEntryType tag
267 = 2 (Total number of request trading stats)
Request for Multi-Leg Instrument Using TT Security ID
| Tag # | Field Name | Comments |
|---|---|---|
| 167 | SecurityType |
Set to `MLEG` |
| 48 | SecurityID |
ID of the instrument. See data type notes. |
Sample Request for multi-leg Eurex FESX Dec22-Dec23 Calendar – using TT Security ID
Sample Request for multi-leg Eurex FESX Dec22-Dec23 Calendar – using TT Security ID
Requesting for Multi-Leg Instrument using RIC code
| Tag # | Field Name | Comments |
|---|---|---|
| 22 | IDSource |
Set source for tag 48 = 5 (RIC code) |
| 48 | SecurityID |
ID of the instrument. See IDSource notes for supported `RIC code` markets. |