Some systems allow the transmission of real-time quote, order, trade 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.4.4, FIX.5.0, FIX.5.0SP1, 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 | |
| 264 | MarketDepth | Y | FIX.4.2 | ||
| 265 | MDUpdateType | Required if SubscriptionRequestType = Snapshot + Updates (1). | FIX.4.2 | ||
| 266 | AggregatedBook | FIX.4.2 | |||
| 286 | OpenCloseSettleFlag | 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 | ||
| 267 | NoMDEntryTypes | Number of MDEntryType (269) fields requested. | Y | FIX.4.2 | |
| 269 | MDEntryType | Must be the first field in this 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. | Y | FIX.4.2 | |
| 146 | NoRelatedSym | Number of symbols (instruments) requested. | Y | FIX.4.2 | |
| Block | Instrument | Insert here the set of “Instrument” (symbology) fields defined in “COMMON COMPONENTS OF APPLICATION MESSAGES” | Y | FIX.4.3 | |
| 386 | NoTradingSessions | Number of trading sessions for which the request is valid. | FIX.4.3 | ||
| 336 | TradingSessionID | FIX.4.2 | |||
| 625 | TradingSessionSubID | FIX.4.3 | |||
| Block | StandardTrailer | Y | FIX.4.2 |