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 OHLCV1 = 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.