FIX API Specification – Market Data

XTRDFIX API Specification – Market Data
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Contents
Workflow 
Messages Structure 
Header
Footer
Messages 
Logon
Logout
SecurityListRequest
SecurityList
MarketDataRequest
MarketDataRequestReject
MarketDataSnapshotFullRefresh
MarketDataIncrementalRefresh

Workflow 

 

Messages Structure 

The Feed server is using a slightly modified FIX 4.4. specification(see Market Data Incremental Refresh). 

Header

Tag Field Name Required Comments Example
8 BeginString Y Identifies the beginning of the message and represents the Transmission
Protocol version.
Supported Value:
FIX4.4		 8=FIX4.4
9 BodyLength Y Message length (number of bytes) forward to the CheckSum tag. 9=502
35 MsgType Y Defines message type e.g. Logon(A) 35=A
49 SenderCompID Y Assigned value used to identify sender of a message 49=COMPANY_NAME
56 TargetCompID Y Assigned value used to identify receiving firm
Supported Values:
XTRD-MD-1		 56=XTR-MD-1
34 MsgSeqNum Y Integer message sequence number 34=1000123
52 SendingTime Y Time of message transmission (always expressed in UTC (Universal Time
Coordinated, also known as "GMT")		 52=2018-08-02T03:30:30.658

Footer

Tag Field Name Required Comments Example
10 CheckSum Y Three bytes, simple checksum 10=250

Messages 

Logon

MsgType: A

Direction: IN/OUT

Description: Logon should be sent as a very first message to establish FIX session and pass authentication process. In the case of successful authentication, server will respond with corresponding Logon message. 

Tag Field Name Required Comments Example
98 EncryptMethod Y Supported Values:

  • 0 - None

 89=0
108 HeartBtInt Y 108=5
141 ResetSeqNumFlag N Indicates both sides of a FIX session should reset sequence numbers 141=Y
553 Username Y Session Username

Required for Outgoing message		 553=account_1
554 Password Y Session Password

Required for Outgoing message		 554=StR0nG_P

Logout

MsgType: 5

Direction: IN/OUT

Description: Logout message is used as a confirmation 

Tag Field Name Required Comments Example
58 Text N Disconnection reason in human-readable format

Please note, that this field might be absent		 58=Incorrect Username or Password

SecurityListRequest

MsgType: x

Direction: OUT

Description: this message is used to receive a list of all tradable instruments on a particular exchange. 

Tag FieldName Required Comments Example
320 SecurityReqID Y Unique request ID 320=REQ_1
559 SecurityListRequestType Y Type of request being performed by a counterparty.
Supported values:
  • 4 - All Securities
    		 559=0
    207 SecurityExchange Y Exchange name to extract a list of all instruments 207=HUOBI

    SecurityList

    MsgType: y

    Direction: IN

    Description: this message is used to return a list of Securities that matched criteria, specified in SecurityListRequest. Taking into account, that such lists could be big enough, all instruments will be streamed one by one(one instrument per SecurityList message). 

    Combination of TotNoRelatedSym(393) and LastFragment(893) tags can be used to identify the end of a transmission. 

    Tag FieldName Required Comments Example
    320 SecurityReqID Y ID from the initiating SecurityListRequest 320=REQ_1
    322 SecurityResponseID Y
    560 SecurityRequestRe
    sult    		 Y Supported Values:

    • 0 - Valid request

    • 1 - Invalid or unsupported request

    • 2 - No instruments found those match selection criteria

    • 3 - Not authorized to retrieve instruments data
    		 560=0
    393 TotNoRelatedSym N This field contains information about a number of instruments that matched initial
    search criteria.    		 393=51
    893 LastFragment N Boolean field that indicates is given message is last in particular transmission or not 893=false
    58 Text C Optional field that will held human-readable information about the error(if occurred) 58=Exchange ABC not found
    146 NoRelatedSym C In case of successful request - always 1 146=1
    ↦ 55 Symbol C 55=ETH
    /BTC
    ↦ 207 SecurityExchange C 207=HUO
    BI
    ↦ 5001 Price Precision C Integer value that represents a number of decimal points in prices for given Symbol/Exchange 5001=8
    ↦ 5002 Size Precision C Integer value that represents a number of deciman points in size for given Symbol/Exchange 5002=4

    MarketDataRequest

    MsgType: V

    Direction: OUT

    Description: given command used to initiate subscription on real-time market data for symbol(s) on the particular exchange(s). In case of a successful request, the server will respond with a book’s snapshot followed by incremental updates for this book. 

    Server provides flexibility to choose between a quantity of information being transmitted by configuring MarketDepth. Caller might choose to receive a full book(sometimes a way big) by specifying setting zero to tag 264 or use a custom quantity such as 5(5 BIDSs and 5 ASKs). 

    MDEntryTypes should always contain two types – BID(0) and OFFER(1). 

    Caller might subscribe on several instruments from several exchanges using single MarketDataRequest message.

    Please note, that subscription request will be processed using “all or nothing” principles. This means that for complex requests that contain at least one error in subscription, the whole message will be rejected. 

    Tag Field Name Required Comments Example
    262 MDReqID Y Unique ID 262=1001_1
    263 SubscriptionRequestType Y Supported Values:

    • 1 - Snapshot plus Updates

    • 2 - disable previous Snapshot plus Updates request

    		 263=1
    264 MarketDepth Y The field used to specify the number of bids/asks to receive.
    Supported Values:

    • 0 - Full book

    • 1 - Top of the Book(best bid/ask)

    • N - up to N levels(where N is a positive integer)
    		 264=0
    265 MDUpdateType Y Supported values:

    • 1 - Incremental updates

      		 265=1
      267 NoMDEntryTypes Y You can choose one or several values
      ↦ 269 MDEntryType Y Supported Values:

      • 0 - BID

      • 1 - OFFER

      • 2 - TRADE

        		 269=0
        146 NoRelatedSym Y It is possible to subscribe to several symbols using a single MarketDataRequest
        message
        ↦ 55 Symbol Y Symbol name 55=ETH
        /BTC
        ↦ 207 SecurityExchange Y Name of the exchange to receive market data 207=HUOBI

        MarketDataRequestReject

        MsgType: Y

        Direction: IN

        Description: in case of logically incorrect MarketDataRequest message, subscription for the particular symbol will be rejected and server will provide additional information about the cause. 

        If initial MarketDataRequest messages contained several instruments that caused errors, then the server will respond with the only one MarketDataRequestReject messages under the same MDReqID and contains a description of the first error. 

        Tag Field Name Required Comments Example
        262 MDReqID Y Unique MDReqID provided in MarketDataRequest message that has been failed. 262=100_112
        281 MDReqRejReason Y

        • 0 - Unknown symbol

        • 1 - Duplicated MDReqID

        • 3 - Insufficient Permissions

        • E - Unknown SecurityExchange

        		 281=0
        58 Text Y Error description in a human-readable format 58=ABC/TEST

        MarketDataSnapshotFullRefresh

        MsgType: W

        Direction: IN

        Description: this message contains book snapshot for the particular instrument. A number of levels could be controlled by MarketDepth parameter submitted as part of MarketDataRequest message. 

        Tag Field Name Required Comments Example
        262 MDReqID Y MDReqID associated with the previous request 262=100_1
        55 Symbol Y Symbol name 55=ETH/BTC
        207 SecurityExchange Y Exchange name 207=HUOBI
        268 NoMDEntries Y
        83 RptSeq Y Sequence number of events 83=135
        ↦ 269 MDEntryType Y Supported Values:

        • 0 - BID

        • 1 - OFFER
          ↦ 270 MDEntryPx Y Price 270=0.035089
          ↦ 271 MDEntrySize Y Entry size 271=3.014
          ↦ 272 MDEntryDate Y Date when the given entry has been added or modified last time
          ISO 8601 format is used, UTC timezone          		 272=20180601
          ↦ 273 MDEntryTime Y Time when the given entry has been added or modified, UTC timezone 273=03:30:30.657145

          MarketDataIncrementalRefresh

          MsgType: X

          Direction: IN

          Description: given message is used to transmit sequential updates for the particular order book. It might contain any number of NEW, UPDATE, DELETE and TRADE events that reflect the most recent book’s changes. 

          Valid processing order: DELETE → UPDATE → NEW.

          Server always stream explicit DELETE events. 

          Please note, that standard FIX 4.4 MarketDataIncrementalRefresh message has been changed by moving Symbol(55) and Security Exchange(207) fields out of NoMDEntires(268) group.

          Tag Field Name Required Comments Example
          262 MDReqID Y MDReqID associated with the previous request 262=100_1
          55 Symbol Y Symbol Name 55=ETH/BTC
          207 SecurityExchange Y Exchange Name 207=HUOBI
          268 NoMDEntries Y
          ↦ 279 MDUpdateAction Y Supported Values:

          • 0 - NEW

          • 1 - CHANGE

          • 2 - DELETE

          • 3 - RESET


          For trade event should be NEW          		 279=1
          ↦ 269 9 MDEntryType Y Supported Values:

          • 0 - BID

          • 1 - OFFER

          • 2 - TRADE

          		 269=0
          ↦ 270 MDEntryPx Y Price 270=0.035089
          ↦ 271 MDEntrySize N Entry size. This field might be absent in case of DELETE event 271=3.214
          ↦ 272 MDEntryDate Y Date when the given entry has been added or modified last time
          ISO 8601 format is used, UTC timezone          		 272=20180601
          ↦ 273 MDEntryTime Y Time when the given entry has been added or modified, UTC timezone 273=03:30:32.506124
          ↦ 2446 AggressorSide N Indicates which side is the aggressor of the trade (MDEntryType = TRADE).
          Supported Values:

          • 0 - BID

          • 1 - ASK

          • 2 - UNDEFINED

          		 2446=0
          ↦ 83 RptSeq Y MD Entry sequence number per instrument update 83=587