Exchange-Bound Messages
Market Data Request <V>
Subscribes the current session to a Market Data - Snapshot/Full Refresh <W> followed by zero or more Market Data - Incremental Refresh <X> messages.
See Examples: Market Data Requests for sample requests and responses.
Fields
| Tag | Name | Req | Description |
|---|---|---|---|
| Standard Header | Y | MsgType = V | |
| 262 | MDReqID | Y | Unique identifier of the market data request. Uniqueness must be guaranteed by the institution for the duration of the connection to the market data channel. |
| 263 | SubscriptionRequestType | Y | Indicates what type of response is expected. Valid values: 1 = Snapshot + Updates (Subscribe) |
| 264 | MarketDepth | Y | Depth of the book to receive snapshot and updates for. Valid values: 0 = Full Book1 = Top of Book |
| 267 | NoMDEntryTypes | Y | Number of MDEntryType <269> fields requested. |
| ⇒ 269 | MDEntryType | Y | Type of market data entry to receive snapshots and updates for. Valid values: 0 = Bid1 = Offer2 = TradeR = MarkPriceS = FundingAmount |
| 146 | NoRelatedSym | Y | Number of symbols requested. |
| ⇒ 55 | Symbol | Y | Market data symbol requested. See Symbol List <y> for a list of supported symbols. |
| 9003 | EnableMDEntryMakerSide | N | Optional custom field to enable showing MDEntryMakerSide <9002> in Market Data – Incremental Refresh messages when MDEntryType <269> had the value 2 = Trade.See Examples: Request to enable maker side on trades. |
| 9009 | MDEntryFundingIsRealized | N | Optional custom field used in Market Data – Incremental Refresh <X> MDEntry groups when MDEntryType had the value S = Funding Amount to indicate the IsRealized field of Funding Amount. |
| Standard Trailer | Y |
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