266

AggregatedBook

N

Specifies whether or not book entries should be aggregated. Valid values:
Y – book entries to be aggregated
N – book entries should not be aggregated

Boolean

380

BusinessRejectReason

Y

Valid values:
0 – Other
1 – Unknown ID
2 – Unknown Security
3 – Unknown Message Type
4 – Application not available
5 – Conditionally required field missing
6 – Not Authorized

Int

264

MarketDepth

Y

Depth of market for Book Snapshot / Incremental updates.

Valid values:

0 – full book depth

1 – top of book

2 and above – book depth (number of levels)

Int

1395

MarketUpdateAction

N

Valid values are:

A = Add

D = Delete

M =Modify

Char

269

MDEntryType

Y

Must be first field in repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving.

Valid values:
0 – Bid
1 – Offer
2 – Trade
3 – Index Value
4 – Opening Price
5 – Closing Price
6 – Settlement Price
7 – Trading Session High Price
8 – Trading Session Low Price

B – Total volume

C – Open Interest

Char

281

MDReqRejReason

N

Reason for the rejection of a Market Data request.

Valid values:
0 – Unknown symbol
1 – Duplicate MDReqID
2 – Insufficient Bandwidth
3 – Insufficient Permissions
4 – Unsupported Subscription Request Type
5 – Unsupported MarketDepth
6 – Unsupported MDUpdateType
8 – Unsupported MDEntryType

Char

279

MDUpdateAction

Y

Must be first field in this repeating group.

Valid values:

0 – New

1 – Change

2 – Delete

Char

265

MDUpdateType

N

Required if SubscriptionRequestType = Snapshot + Updates (1). Specifies the type of Market Data update.

Valid values:
1 – Incremental refresh

Int

456

SecurityAltIDSource

N

Identifies class or source of the SecurityAltID (455) value.

Valid values:

4 = ISIN number

String

22

SecurityIDSource

N

Identifies class or source of the SecurityID (48) value. Valid values:

99 – Marketplace assigned identifier

String

559

SecurityListRequestType

N

Specifies the criteria of the request:

0 – Symbol

4 – All Securities

5 – MarketID (Specific Market)

Int

326

SecurityTradingStatus

N

Represents a specific market status for security.

int

560

SecurityRequestResult

N

Result of the Security Request identified by the SecurityReqID.

Valid values:
0 – Valid request
1 – Invalid or unsupported request
2 – No instruments found that match selection criteria
3 – Not authorized to retrieve instrument data
4 – Instrument data temporarily unavailable
5 – Request for instrument data not supported

Int

263

SubscriptionRequestType

N

Used to subscribe for Quote Status Report messages. Subscribe or unsubscribe for security status to security specified in request. Subscription type request.

Valid values are:

0 – Snapshot

1 – Snapshot+Updates (Subscribe)

2 – Disable previous Snapshot+Update Request (unsubscribe)

Char