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 MarketDataRequest (V) is a general request for market data on specific securities or forex quotes. The values in the fields provided within the request will serve as further filter criteria for the result set.
Added in protocol FIX.4.2
See in: FIX.4.2, FIX.4.3, FIX.4.4, FIX.5.0, FIX.5.0SP1, FIX.5.0SP2.
| 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 (263) = 2(Disable previous Snapshot + Updates Request). | Y | FIX.4.2 | |
| 263 | SubscriptionRequestType | SubscriptionRequestType (263) 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 | FIX.5.0 | |||
| 264 | MarketDepth | Y | FIX.4.2 | ||
| 265 | MDUpdateType | Required if SubscriptionRequestType (263) = 1(Snapshot + Updates). | FIX.4.2 | ||
| 266 | AggregatedBook | FIX.4.2 | |||
| 286 | OpenCloseSettlFlag | Can be used to clarify a request if MDEntryType (269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price). | FIX.4.3 | ||
| 546 | Scope | Defines the scope(s) of the request | FIX.4.3 | ||
| 547 | MDImplicitDelete | Can be used when MarketDepth(254) >= 2 and MDUpdateType (265) = 1(Incremental Refresh). | FIX.4.3 | ||
| ImplicitBlockRepeating | MDReqGrp | Y | FIX.4.4 | ||
| BlockRepeating | MarketSegmentScopeGrp | Can be used to limit the result set to the specified markets or market segments. | FIX.5.0SP2 (EP 190) | ||
| ImplicitBlockRepeating | InstrmtMDReqGrp | Y | FIX.4.4 | ||
| ImplicitBlockRepeating | TrdgSesGrp | 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 | |||
| 2447 | FastMarketIndicator | FIX.5.0SP2 (EP 190) | |||
| Block | StandardTrailer | Y | FIX.4.2 |