TT® FIX

Market Data Request (V) Message

Purpose

Used to request or manage subscriptions for market data

Message Direction

From FIX client to TT FIX

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. TT FIX returns this ID in all responses to the request.

263 SubscriptionRequestType Y char

Type of request.

Possible values include:

  • 0: Snapshot
  • 1: Snapshot plus updates (subscribe)
  • 2: Disable previous (unsubscribe)

Notes:

  • For Snapshot subscriptions, updates are delivered at one-second intervals or greater.
  • For Snapshot plus updates subscriptions, updates are delivered at 100-millisecond intervals or greater.
264 MarketDepth C int

Market depth to return in a snapshot.

Possible values include:

  • 0: Full book
  • 1: Top of book

Note: While TT FIX Adapter 7.X supported 264 > 1 (Best number of price tiers), TT FIX does not currently support the value.

Condition: Required when Tag 263 (SubscriptionRequestType) is 0 or 1.

265 MDUpdateType C int

Type of messages TT FIX sends when updating market data.

Possible values include:

  • 0: Full refresh
  • 1: Incremental

Restrictions: Incremental Refresh updates are coalseced at (100) milliseconds; Full Refresh updates are coalseced at (1) second.

Uncoalsesced data is available by special request and requires dedicated infrastructure and additional service fees. Contact TT for more information.

Condition: Required when Tag 263 (SubscriptionRequestType) is 1.

266 AggregatedBook N Boolean

Whether FIX should send aggregated book entries.

TT currently supports only Y. It always sends aggregated book entries, even if this tag is omitted.

267 NoMDEntryTypes Y NumInGroup

Number of different Tag 269 (MDEntryType) fields in the request.

269 MDEntryType Y char

Type of market data to request.

Possible values include:

  • 0: Bid
  • 1: Ask
  • 2: Trade
  • 4: Opening price
  • 5: Closing price
  • 6: Settlement price
  • 7: Trading session high price
  • 8: Trading session Low price
  • B: Trade volume
  • J: Empty book
  • Y: Implied bid
  • Z: Implied ask
  • m: OTC trade (New for TT FIX)
  • p: Indicative open
  • q: Indicative close
  • r: Indicative bid
  • s: Indicative ask
  • t: Indicative settlement
  • u: Exchange sending time
  • v: Exchange transaction time
  • w: Exchange sequence number (TT internal only)
  • x: Last traded

Note: The number of tag 269 tags must match the value of tag 267 (NoMDEntryTypes).

146 NoRelatedSym Y NumInGroup

Number of underlying instruments contained in this repeating group.

Component: <Instrument> Y

For tags that you include in the Instrument Component and any restrictions in their use, refer to Component: Instrument (FIX client request).

18214 IncludeNumberOfOrders N char

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, when the exchange provides this information. Valid values include Y and N (default).

Note: This tag is supported when tag 269 (MDEntryType) contains any of the following:

  • 0: Bid
  • 1: Ask
  • Y: Implied bid
  • Z: Implied ask
Component: <Standard Trailer> Y

Message Notes

The Market Data Request (V) message is used by a FIX client to request market data information from TT FIX. You can request information like the top of book (Bid, Ask, and session prices) and market depth data.

TT FIX responds to a Market Data Request (V) message with a Market Data Snapshot Full Refresh (W) message. Additionally:

  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 0, TT FIX sends no further messages. It does not update the market data.

  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 1, TT FIX updates market data according to the setting the FIX Client uses in Tag 265 (MDUpdateType):

  • If the FIX Client sets Tag 263 (SubscriptionRequestType) to 2, TT FIX stops sending updates.

If TT FIX cannot fulfill a request for market data because the request contains an invalid instrument, it sends a Market Data Request Reject (Y) message.

Note: If you submit this request for an exchange whose Price Server is down, TT FIX also responds with a Market Data Request Reject (Y) message.

Some exchanges disseminate implied prices as well as direct (Bid/Ask) prices. Trying to merge these two separate price streams can result in crossed markets for a brief moment. TT FIX forwards all market data updates from exchanges, so FIX clients can encounter this scenario as well. FIX clients that subscribe for direct and implied prices should be written to account for this possibility.