MarketDataRequest (V)

Message sent by the client to subscribe to market data. Many different types of data are supported.

Tag

Name

Req

Type

Description

Example

Header

Y

MsgType='V'

262

MDReqID

Y

String

Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType = Disable previous Snapshot + Updates Request (2).

262=234dsj

263

SubscriptionRequestType

Y

char

Indicates what type of response is expected:
   - a snapshot request asks for current information
   - an update request asks for new information as soon as it is available
   - an unsubscribe request cancels a previous update request

Types:
   0 = Current Order Book Snapshot
   1 = Current Order Book Snapshot followed by Order Book Events
   2 = Cancel previous request of type 1

263=1

=> 559

SecurityListRequestType

N

int

The type/criteria of the request:
   6 = Spot
   7 = Futures
   8 = Swaps
Default is 6 if not provided.

559=6

264

MarketDepth

Y

int

Used to specify the number of bids/asks to receive.

At this time, only 0 = full order book is supported.

264=0

265

MDUpdateType

N*

int

Required if SubscriptionRequestType = 1
   0 = Full Refresh
   1 = Incremental Updates

265=1

267

NoMDEntryTypes

Y

NumInGroup

Number of MDEntryType (269) fields requested.

=> 269

MDEntryType

Y

char

Type Market Data entry:
   0 = Bid
   1 = Offer
   2 = Trade
   o = OHLCV

Only the following combinations are supported:
   1) Both bid and ask at the same time
   2) Trades
   3) OHLCV

If a Market Data Request contains other combinations of MDEntryType, the request will be rejected.

269=0

146

NoRelatedSym

Y

NumInGroup

Number of symbols requested.
At this time, only one symbol at a time is supported.

146=1

=> 55

Symbol

Y

String

Symbol Name

55=BTC/USD

=> 207

SecurityExchange

N

String

Exchange Name - if not specified, all supported exchanges will be returned.

207=huobi

=> 916

StartDate

N

LOCALMKTDATE

Used in Replay mode - note that both start & end dates have to be specified at this time.

=> 917

EndDate

N

LOCALMKTDATE

Used in Replay mode - note that both start & end dates have to be specified at this time.

Trailer

Y