This message is used to request for market data for specific instruments. This includes real-time quotes, orders, trades, trade volumes, open interest, or other price information on a subscription basis.
A market data feed may consist of both Market Data Snapshot Full Refresh <35=W> and Market Data Incremental Refresh <35=X> messages. SubscriptionRequestType (263) is used in the request to specify whether updates are required and to unsubscribe.
To specify which types of market data are required, include one or more MDEntryType (269)s in the request.
| Tag | Name | Type | Required | Description |
|---|---|---|---|---|
| Component | ||||
| 262 | String | Must be unique, or the ID of previous Market Data Request to disable if SubscriptionRequestType(263) = 2(Disable previous Snapshot + Updates Request) | ||
| 263 | Char Enum | 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 | ||
| Component | ||||
| 264 | Int | |||
| 265 | Int Enum | Required if SubscriptionRequestType(263) = 1(Snapshot + Updates) | ||
| 266 | Boolean Enum | |||
| 286 | MultipleCharValue Enum | Can be used to clarify a request if MDEntryType(269) = 4 (Opening price), 5 (Closing price), or 6 (Settlement price) | ||
| 546 | MultipleCharValue Enum | Defines the scope(s) of the request | ||
| 547 | Boolean Enum | Can be used when MarketDepth(254) >= 2 and MDUpdateType(265) = 1(Incremental Refresh) | ||
| Component | ||||
| Component | Can be used to limit the result set to the specified markets or market segments | |||
| Component | ||||
| Component | ||||
| 815 | Int Enum | Action to take if application level queuing exists | ||
| 812 | Int | Maximum application queue depth that must be exceeded before queuing action is taken | ||
| 1070 | Int Enum | |||
| 2447 | Boolean | |||
| Component |