FIX Gateway

Market Data Request (V) Message

Purpose

Used to request or manage subscriptions for market data

Message Direction

From the TT FIX Price Gateway to a third-party FIX acceptor

Supported Tags

Tag # Field Name Req’d Data type Comments
Component: Standard Header Y 35=V (MsgType)
262 MDReqID Y String

Unique ID for this request

The third-party FIX acceptor must return this ID in all responses related to this request.

263 SubscriptionRequestType Y char

Type of subscription

TT FIX Price Gateway always sends 1 (subscription plus updates).

264 MarketDepth Y int

Market depth to return in a snapshot

TT FIX Price Gateway always sets this tag value to 20.

265 MDUpdateType Y int

Type of market data messages the third-party FIX acceptor should send in response to the request

TT FIX Price Gateway always sets this tag value to 1 (incremental refresh).

266 AggregatedBook Y Boolean

TT FIX Price Gateway always sets this tag value to Y

18214 IncludeNumberOfOrders Y Boolean

Whether or not to include the number of orders that comprise the quantity in aggregated depth and an indicator as to whether or not that number is exact

TT FIX Price Gateway always sets the tag value to Y.

Component: NoRelatedSymMDRequestGroup Y Number of symbols (instruments) requested
146 NoRelatedSym Y NumInGroup

Number of symbols (instruments) requested

55 Symbol Y String

Exchange-provided product symbol for the tradable product

48 SecurityID Y String

ID that uniquely identifies an instrument

The value must match one of the IDs provided in response to the Security Definition Request (c) made at connection initiation.

Component: NoMDEntryTypesGroup Y Number of different Tag 269 (MDEntryType) fields in the request
267 NoMDEntryTypes Y int

Number of MDEntryType fields in the group

Note: TT FIX Price Gateway always requests all possible market data for an instrument, so the value will always be the number of supported values for tag 269 (MDEntryType).

269 MDEntryType N char

Type of market data to request

Values that will be sent are:

  • 0: Bid
  • 1: Offer
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session low price
  • Y: Implied bid
  • Z: Implied ask
Component: Standard Trailer Y

Message Notes

The Market Data Request (V) message is used by the TT FIX Price Gateway to request market data information from a third-party FIX acceptor.