Marketdata
Summary
List of message supported on the marketdata connection
- Market Data Request (Client → TDX)
- Market Data Request Reject (Client ← TDX)
- Market Data Snapshot Full Refresh (Client ← TDX)
- Market Data Incremental Refresh (Client ← TDX)
Market Data Request
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = V | ||
| 262 | MDReqID | Y | string | Unique client provided request ID |
| 263 | SubscriptionRequestType | Y | char | Type of request Valid values: 0 = Snapshot 1 = Snpshot + updates (subscribe) 2 = Disable previous subscription |
| 264 | MarketDepth | Y | int | Depth of market for Book Snapshot Valid values: 0 = Full Book 1 = Top of Book N>1 = N layers |
| 146 | NoRelatedSym | Y | int | Always 1 |
| 55 | Symbol | Y | String | Symbol for which the book is requested |
| Standard Trailer | Y |
Market Data Request Reject
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = Y | ||
| 262 | MDReqID | Y | string | Unique client provided request ID |
| 58 | Text | Y | String | Reason for market data request being rejected |
| Standard Trailer | Y |
Market Data Snapshot Full Refresh
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = V | ||
| 262 | MDReqID | Y | string | Unique client provided request ID |
| 55 | Symbol | Y | String | Symbol |
| 268 | NoMDEntries | Y | int | Number of entries following (repeating group fields marked →) |
| → 269 | MDEntryType | Y | int | Type of market data entry Valid values: 0 = Bid 1 = Ask |
| → 270 | MDEntryPx | Y | Price | Price of the entry |
| → 271 | MDEntrySize | Y | Quantity | Quantity of the layer |
| → 290 | MDEntryPositionNo | N | int | Position of offer, numbered from most competitive to least competitive, per market side |
| Standard Trailer | Y |
Market Data Incremental Refresh
| Tag | Field name | Req'd | Data Type | Comments |
|---|---|---|---|---|
| Standard Header | Y | MsgType = V | ||
| 262 | MDReqID | Y | string | Unique client provided request ID |
| 268 | NoMDEntries | Y | int | Always 1 |
| → 278 | MDEntryUpdateAction | Y | char | Type of update Valid values: 0 = New 1 = Change 2 = Delete |
| → 269 | MDEntryType | Y | int | Type of market data entry Valid values: 0 = Bid 1 = Ask 2 = Trade |
| → 278 | MDEntryID | N | String | Unique entry id |
| → 278 | MDEntryRefID | N | String | Refers to a previous entry id |
| → 55 | Symbol | Y | String | Symbol |
| → 270 | MDEntryPx | Y | Price | Price of the entry |
| → 271 | MDEntrySize | Y | Quantity | Quantity of the layer |
| Standard Trailer | Y |
Updated about 2 years ago