Market Data Request (V)
The client may send a Market Data Request (35=V) in order to subscribe to market data updates.
Server sends market data in snapshots (35=W). To achieve optimal network performance, the server sends a single snapshot on receipt of a subscription request followed by incremental refreshes only. Servers may allow client-specific configurations to deviate from this behavior. Incremental refreshes (35=X) are not supported.
Market data requests are reset when the client is disconnected. When the client is reconnected, the client must request the market data again.
字段
- 标签姓名
Header
要求Y描述Standard header, with 35=V.
- 标签262姓名
MDReqID
要求Y描述The ID of the Market Data Request. It must be new and unique unless 263=2 and refers to the previous market data request.
- 标签263姓名
SubscriptionRequestType
要求Y描述Supported values: 1 = Snapshot + Updates (e.g. “subscribe”) 2 = Stop updates (e.g. “unsubscribe”)
- 标签264姓名
MarketDepth
要求Y描述The book depth to report. Supported values: 0 = Full book, unlimited depth ¹ 1 = Top of Book only N = Number of layers to deliver ² Note: If the server does not support the requested depth, it may send a Market Data Request Reject with one of the supported values. It may also accept the request and silently reduce the depth of the delivered market data. Contact project manager to see level of bandwidth supported for client.
- 标签265姓名
MDUpdateType
要求Y描述The format of market data updates. Supported values: 0 = Full refresh (e.g. snapshot) 1 = Incremental refresh
- 标签547姓名
MDImplicitDelete
要求N描述Specifies whether the client needs to implicitly delete layers in the truncated book. The tag is required when MarketDepth (264) >= 2 and MDUpdateType = Incremental Refresh(1). Supported values: Y = The client needs to implicitly delete bids or offers falling outside the MarketDepth of the request.
- 标签267姓名
NoMDEntryTypes
要求Y描述The tag must always be set to at least 2. When requesting for the last trade, set it to 3. Both 269=0 (bid) and 269=1 (ask) must be specified. 269=2 (trade) is optional.
- Begin Repeating Group
- 标签269姓名
MDEntryType
要求Y描述Supported values: 0 = Bid 1 = Ask 2 = Trade
- End Repeating Group
- 标签146姓名
NoRelatedSym
要求Y描述The number of symbols in the request. The tag must be always set to 1.
- Begin Repeating Group
- 标签55姓名
Symbol
要求Y描述The instrument symbol.
- End Repeating Group
- 标签姓名
Trailer
要求Y描述
This specification requires NoRelatedSym (146) to be set to 1. This means that the client can subscribe only to a single symbol in a FIX message.
The MDReqID defines a domain for snapshots and market data updates. Market Data Snapshots (35=W) sent for an MDReqID will effectively cancel all outstanding quotes sent for that MDReqID.
