TT® FIX Market Data

Market Data Subscription Requests

Market Data Subscription Requests

The following article provides information on making Market Data requests.

Making Market Data Requests

Ensure you are connected to a valid Security Definition/Market Data FIX session. You also need to be entitled for FIX Market Data on the exchange you want to subscribe to.

Requesting a Snapshot Plus Updates

With the SubscriptionRequestType tag, you can request a snapshot and optionally subscribe to updates, or unsubscribe from them. Set the MarketDepth for the snapshot and choose the type of updates you would like to receive with MDUpdateType .

Required Fields
Tag # Field Name Comments
263 SubscriptionRequestType

Type of request:

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

Market depth to return in a snapshot:

  • 0: Full book
  • 1: Top of book
265 MDUpdateType

Type of messages TT FIX sends when updating market data:

  • 0: Full refresh
  • 1: Incremental

Sample Request for JPX 225 - Snapshot plus updates

In this example, we retrieve a snapshot of the top of the book of the Nikkei 225 Futures index (tags: 55=NK, 167=FUT, 207=SGX ) and request to be updated incrementally with changes.

  • SubscriptionRequestType (tag 263) set to 1 indicates that we want the snapshot with updates.
  • MarketDepth (tag 264) set to 1 indicates that we want just top of the book.
  • MDUpdateType (tag 265) set to 1 indicates that we want only the changed items in a refresh, not a full snapshot.
8=FIX.4.2 | 9=168 | 35=V | 34=342 | 49=WTEOUATSD | 52=20220705-08:15:34 | 56=TT_SD | 116=WTeoDTS | 262=rid_00022 | 263=1 | 264=0 | 265=1 | 266=Y | 146=1 | 55=NK | 207=SGX | 167=FUT | 200=202303 | 267=3 | 269=0 | 269=1 | 269=2 | 10=070 |

Including Trading Stats in Updates

Trading stats can be included in an market data subscription by specifying which entries you are interested in. Enter the total number of trade stats in the NoMDEntryTypes field, followed by a list of MDEntryType codes, one for each stat you would like to subscribe to.

Required Fields
Tag # Field Name Comments
267 NoMDEntryTypes

Number of different Tab 269 (MDEntryType) fields in the request

269 MDEntryType

Type of market data to request. See possible values.

Sample Request for LME AH - Updates including trading stats

In this example, we retrieve a full book snapshot of the London Metal Exchange Aluminum Futures with incremental updates (tags: 55=AH, 167=FUT, 207=LME, 264=0, 265=1 ). We'll also subscribe to 8 trading stats.

NoMDEntryTypes (tag 267) set to 8 indicates that we want to subscribe to eight trading stats. Include 8 MDEntryTypes in the request:

  1. MDEntryType (tag 269) set to 0 subscribes to Bid
  2. MDEntryType (tag 269) set to 1 subscribes to Ask
  3. MDEntryType (tag 269) set to 2 subscribes to Trade
  4. MDEntryType (tag 269) set to 4 subscribes to Opening price
  5. MDEntryType (tag 269) set to 5 subscribes to Closing price
  6. MDEntryType (tag 269) set to 6 subscribes to Settlement price
  7. MDEntryType (tag 269) set to 7 subscribes to Trading session High price
  8. MDEntryType (tag 269) set to 8 subscribes to Trading session Low price
8=FIX.4.2 | 9=198 | 35=V | 34=2 | 49=WTEOUATSD | 52=20220705-08:50:26 | 56=TT_SD | 116=WTeoDTS | 262=rid_00029 | 263=1 | 264=0 | 265=1 | 266=Y | 146=1 | 55=AH | 207=LME | 167=FUT | 541=20221005 | 267=8 | 269=0 | 269=1 | 269=2 | 269=4 | 269=5 | 269=6 | 269=7 | 269=8 | 10=157 |

Requesting Multiple Instruments

Market Data for multiple instruments can be included in one request. Set the NoRelatedSym to the number of Instruments

Required Fields
Tag # Field Name Comments
146 NoRelatedSym Number of underlying instruments contain in this repeating group.

Sample Request for multiple CME instruments

In this example, we will request multiple CME instruments in a single message by setting NoRelatedSym (tag 146) to 5. Then list the 5 instrument identifiers in order.

Instruments are identified by a group of tags listed in numerical order:

  1. All E-mini S&P Futures (tags: 55=ES, 167=FUT, 207=CME )
  2. Euro FX EUR/USD for Dec22 (tags: 55=6E, 167=FUT, 200=202212, 207=CME )
  3. Eurodollar for Dec22 (tags: 55=GE, 167=FUT, 200=202212, 207=CME )
  4. E-mini S&P for Dec22 (tags: 55=ES, 167=FUT, 200=202212, 207=CME )

The request is for a full snapshot with incremental updates:

  • SubscriptionRequestType tag 263 = 1 (Snapshot plus updates)
  • MarketDepth tag 264 = 0 (Full book)
  • MDUpdateType tag 265 = 1 (Incremental)

We also want our update to include two trading stats:

MDEntryType tag 267 = 2 (Total number of request trading stats)

  1. MDEntryType tag 269 = 0 (Bids)
  2. MDEntryType tag 269 = 1 (Asks)
8=FIX.4.2 | 9=296 | 35=V | 34=328 | 49=WTEOUATSD | 52=20220705-08:04:55 | 56=TT_SD | 116=WTeoDTS | 146=4 | 55=ES | 167=FUT | 200=202212 | 207=CME | 55=6E | 167=FUT | 200=202212 | 207=CME | 55=GE | 167=FUT | 200=202212 | 207=CME | 55=ES | 167=FUT | 200=202212 | 207=CME | 262=93475121135 | 263=1 | 264=0 | 265=1 | 266=Y | 267=2 | 269=0 | 269=1 | 10=082 |

Request for Multi-Leg Instrument Using TT Security ID

Required Fields
Tag # Field Name Comments
167 SecurityType

Set to `MLEG`

48 SecurityID

ID of the instrument. See data type notes.

Sample Request for multi-leg Eurex FESX Dec22-Dec23 Calendar - using TT Security ID

Sample Request for multi-leg Eurex FESX Dec22-Dec23 Calendar - using TT Security ID

8=FIX.4.2 | 9=190 | 35=V | 34=2 | 49=WTEOUATSD | 52=20220705-08:31:12 | 56=TT_SD | 116=WTeoDTS | 262=rid_00023 | 263=1 | 264=0 | 265=1 | 266=Y | 146=1 | 55=FESX | 207=Eurex | 167=MLEG | 48=17287808984235357550 | 22=96 | 267=3 | 269=0 | 269=1 | 269=2 | 10=161 |

Requesting for Multi-Leg Instrument using RIC code

Required Fields
Tag # Field Name Comments
22 IDSource

Set source for tag 48 = 5 (RIC code)

48 SecurityID

ID of the instrument. See IDSource notes for supported `RIC code` markets.

Sample Request for multi-leg ASX IR Sep23 - YT Sep22 Inter-Product - using RIC code

Sample Request

8=FIX.4.2 | 9=179 | 35=V | 34=8 | 49=WTEOUATSD | 52=20220705-08:36:52 | 56=TT_SD | 116=WTeoDTS | 262=rid_00024 | 263=1 | 264=0 | 265=1 | 266=Y | 146=1 | 55=IR | YT | 207=ASX | 167=MLEG | 48=YBAU3-YTTU2 | 22=5 | 267=3 | 269=0 | 269=1 | 269=2 | 10=231 |