Fields

Requesting data using the FIX specification can be challenging at first, especially with all the different possible combinations.

As a reminder, here are all the fields that control the type of data one can request:

263 = SubscriptionRequestType

  • 0 = Subscribe to Snapshot
  • 1 = Subscribe to Snapshot + Updates
  • 2 = Un-subscribe/Disable

264 = MarketDepth

  • 0 = Full Book
  • 1 = Quotes/Top of Book/BBO -- not supported today

265 = MDUpdateType

  • 0 = Full refresh (no events, instead full order book snapshot is sent) - used for Order Book Snapshots and OHLCV
  • 1 = Incremental refresh - used for Order Book updates and Trades

267/269 = MDEntryType

  • 0 = Order Book Bids
  • 1 = Order Book Asks/Offers
  • 2 = Trades
  • o = OHLCV

559 = SecurityListRequestType

  • 4 = All Securities - Only supported for SecurityListRequest
  • 6 = Spot contract
  • 7 = Futures contract
  • 8 = Swaps contract

146/207 = SecurityExchange - same exchange at this time
146/55 = Symbol - when requesting ongoing/historical data, only one symbol is supported
146/916 = StartDate - start of the replay
146/917 = EndDate - end of the replay

Replay requests have exactly the same configuration as normal or real-time requests, the only difference is the inclusion of the start and end dates in the request.