Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A Market Data Request is a general request for market data on specific securities or forex quotes.
Added in protocol FIX.4.2
See in: FIX.4.2, FIX.4.3, FIX.4.4, FIX.5.0, FIX.5.0SP2, FIX.5.0SP2 EP240.
| Field or Component | Name | Description | Is Required | Added | Is Deprecated |
|---|---|---|---|---|---|
| Block | StandardHeader | MsgType = V | Y | FIX.4.2 | |
| 262 | MDReqID | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2). | Y | FIX.4.2 | |
| 263 | SubscriptionRequestType | SubcriptionRequestType 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. | Y | FIX.4.2 | |
| BlockRepeating | Parties | Insert here the set of Parties (firm identification) fields defined in “Common Components of Application Messages | FIX.5.0 | ||
| 264 | MarketDepth | Y | FIX.4.2 | ||
| 265 | MDUpdateType | Required if SubscriptionRequestType = Snapshot + Updates (1). | FIX.4.2 | ||
| 266 | AggregatedBook | FIX.4.2 | |||
| 286 | OpenCloseSettlFlag | Can be used to clarify a request if MDEntryType = Opening Price(4), Closing Price(5), or Settlement Price(6). | FIX.4.3 | ||
| 546 | Scope | Defines the scope(s) of the request | FIX.4.3 | ||
| 547 | MDImplicitDelete | Can be used when MarketDepth >= 2 and MDUpdateType = Incremental Refresh(1). | FIX.4.3 | ||
| ImplicitBlockRepeating | MDReqGrp | Number of MDEntryType (269) fields requested. | Y | FIX.4.4 | |
| ImplicitBlockRepeating | InstrmtMDReqGrp | Number of symbols (instruments) requested. | Y | FIX.4.4 | |
| ImplicitBlockRepeating | TrdgSesGrp | Number of trading sessions for which the request is valid. | FIX.4.4 | ||
| 815 | ApplQueueAction | Action to take if application level queuing exists | FIX.4.4 | ||
| 812 | ApplQueueMax | Maximum application queue depth that must be exceeded before queuing action is taken. | FIX.4.4 | ||
| 1070 | MDQuoteType | FIX.4.4 | |||
| Block | StandardTrailer | Y | FIX.4.2 |