A successful Market Data Request returns one or more Market Data messages containing one or more Market Data Entries. Each Market Data Entry is a Bid, an Offer, a Trade associated with a security, the opening, closing, or settlement price of a security, the buyer or seller, the value of an index, the trading session high price, low price, or VWAP, or the trade volume or open interest in a security. Market Data Entries usually have a price and a quantity associated with them. The market data request message format is as follows.
Table 10 – Market Data Request
|
FieldName |
Req’d |
Comments |
Format | ||
|
StandardHeader |
Y |
MsgType = V |
| ||
|
262 |
MDReqID |
Y |
Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2). |
String | |
|
263 |
SubscriptionRequestType |
Y |
SubscriptionRequestType indicates to the other party what type of response is expected. A snapshot request only asks for current information. A subscribe request asks for updates as the status changes. Unsubscribe will cancel any future update messages from the counter party. |
Char | |
|
264 |
MarketDepth |
Y |
Depth of market for Book Snapshot / Incremental updates. For market by price (MBP) this is limited to a depth of five. For market by order (MBO) or non-aggregated book this is limited to ten (10). |
Int | |
|
265 |
MDUpdateType |
N |
Required if SubscriptionRequestType = Snapshot + Updates (1). Specifies the type of Market Data update. |
Int | |
|
266 |
AggregatedBook |
N |
Specifies whether or not book entries should be aggregated. ‘Y’ = Market by Price (MBP), ‘N’ = Market by Order (MBO) – default. |
Boolean | |
|
Start of Component block, expanded in line < MDReqGrp > |
| ||||
|
267 |
NoMDEntryTypes |
Y |
Number of MDEntryType fields requested. |
NumInGrp | |
|
à |
269 |
MDEntryType |
Y |
Must be first field in repeating group. This is a list of all the category of Market Data Entries that the firm requesting the Market Data is interested in receiving. |
Char |
|
End of Component block, expanded in line < MDReqGrp > |
| ||||
|
Start of Component block, expanded in line < InstrmtMDReqGrp > |
| ||||
|
146 |
NoRelatedSym |
Y/N |
Number of symbols (instruments) requested. This is a required field if specifying a snapshot request for specific set of securities (limited to five+). |
Int | |
|
à |
Component block <Instrument> |
Y/N |
Insert here the set of “Instrument” (symbology) fields. This is a required field if tag 146 is > 0. |
| |
|
End of Component block, expanded in line < InstrmtMDReqGrp > |
| ||||
|
StandardTrailer |
Y |
|
| ||