MarketDataRequest (35=V)

Subscribes to Market Data: Order Book, Trades.

Use MDReqID format: book.<Symbol>.<Depth> or trade.<Symbol>

Response Attributes: See MarketDataIncrementalRefresh (35=X) and MarketDataRequestReject (35=Y) for details.

Request

Body

required

MDReqID Tag 262 (string)required

Market Data channel. Possible values: book.{Symbol}.{MarketDepth}, e.g. book.BTC_USDT.50; trade.{Symbol}, e.g. trade.ETH_CRO

SubscriptionRequestType Tag 263 (string)required

Possible values: [0, 1, 2]

Possible values: 1: Subscribe, 2: Unsubscribe

MarketDepth Tag 264 (integer)required

Can be either 1 or 150 when 262 = book.{Symbol}.{MarketDepth}. Must be 0 when 262 = trade.{Symbol}

MDUpdateType Tag 265 (integer)required

Must be 1: Incremental Refresh.

AggregatedBook Tag 266 (string)required

Possible values: [Y, N]

Must be Y when 262 = book.{Symbol}.{MarketDepth}. Must be N when 262 = trade.{Symbol}

MDImplicitDelete Tag 547 (string)required

Possible values: [Y, N]

Must be N.

NoMDEntryTypes Tag 267 (integer)required

Possible values: >= 1

Must be 2 when 262 = book.{Symbol}.{MarketDepth}. Must be 1 when 262 = trade.{Symbol}

MDEntryTypesGrp objectrequired

MDEntryType Tag 269 (string)required

Possible values: [0, 1, 2, J]

Type of market data entry.

NoRelatedSym Tag 146 (integer)required

Possible values: >= 1

Must be 1

RelatedSymGrp objectrequired

Symbol Tag 55 (string)required

Ticker symbol. Common, "human understood" representation of the security. SecurityID (48) value can be specified if no symbol exists (e.g. non-exchange traded Collective Investment Vehicles) Use "[N/A]" for products which do not have a symbol.

MsgType Tag 35 (string)

Possible values: [V]

Message Type = V (Market Data Request)

MDEntryType

Possible values: 0: Bid, 1: Offer, 2: Trade. When 262 = book.{Symbol}.{MarketDepth}, both 0 and 1 must be in the repeating group. When 262 = trade.{Symbol}, 2 must be in the repeating group.

Symbol

Must be equal to {Symbol} as in 262.

Subscription confirmed

Schema

oneOf

MDReqID Tag 262 (string)required

Market Data channel. Possible values: book.{Symbol}.{MarketDepth}, e.g. book.BTC_USDT.50; trade.{Symbol}, e.g. trade.ETH_CRO

MDEntryID Tag 278 (string)

i. Trade ID when 269 = 2. ii. sequence id in order book

MDEntryRefID Tag 280 (string)

Referring to previous sequence id (MDEntryID) in order book

Symbol Tag 55 (string)required

MDEntryTimeMs Tag 10273 (integer)required

Same meaning as 272 and 273, with representation as epoch in milliseconds

NoMDEntries Tag 268 (integer)required

Possible values: >= 1

Number of market data entries.

MDEntriesGrp objectrequired

MDUpdateAction Tag 279 (string)required

Possible values: [0, 1, 2]

Type of Market Data update action.

MDEntryType Tag 269 (string)required

Possible values: [0, 1, 2, J]

Type of market data entry.

MDEntryPx Tag 270 (number)required

Price of the Market Data Entry.

MDEntrySize Tag 271 (number)required

Quantity or volume represented by the Market Data Entry.

NumberOfOrders Tag 346 (integer)

Number of orders in the market.

TakerSide Tag 10851 (string)

Possible values: [1, 2]

TrdMatchID Tag 880 (string)

Identifier assigned by a matching system to a match event that results in multiple executions or trades.

MsgType Tag 35 (string)

Possible values: [X]

Message Type = X (Market Data Incremental Refresh)

MDUpdateAction

Possible values: 0: New, 1: Update, 2: Delete.

MDEntryType

Possible values: 0: Bid, 1: Offer, J: Empty Book, 2: Trade. When 269 = J, please clean the entire order book.

MDEntryPx

MDEntrySize

NumberOfOrders

TakerSide

Similar meaning to 851 to indicate the liquidity taker side. 1: Buyer is the taker, 2: Seller is the taker.

TrdMatchID

Trade match ID