Definition
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(35=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.
Message structure 3981 distinct fields
Source order, including nested components and groups. Group counts precede the repeated entries. “Required here” is relative to the enclosing component or group, not unconditional in the message. A dash means not marked required; conditional requirements remain in the source notes. This is a reference, not a counterparty-specific validator.
Nested fields load when needed. Open the full static layout (also works without JavaScript).
StandardHeaderComponentRequired
MsgType = V
StandardHeader definition & usage →
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Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request).
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.
PartiesRepeating groupCount tag 453—
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Required if SubscriptionRequestType(263) = 1(Snapshot + Updates).
Can be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price).
Defines the scope(s) of the request
Can be used when MarketDepth(264) >= 2 and MDUpdateType(265) = 1(Incremental Refresh).
MDReqGrpRepeating groupCount tag 267Required
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MarketSegmentScopeGrpRepeating groupCount tag 1310—
Can be used to limit the result set to the specified markets or market segments.
MarketSegmentScopeGrp definition & usage →
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InstrmtMDReqGrpRepeating groupCount tag 146Required
InstrmtMDReqGrp definition & usage →
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TrdgSesGrpRepeating groupCount tag 386—
TrdgSesGrp definition & usage →
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Action to take if application level queuing exists
Maximum application queue depth that must be exceeded before queuing action is taken.
StandardTrailerComponentRequired
StandardTrailer definition & usage →
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