Market Data
SecurityListRequest (35=x)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 320 | SecurityReqID | string | Y | Unique identifier for the security request used to correlate the response to the request. |
| 559 | SecurityListRequestType | string | Y | Specifies the scope of the security request. 0 = Symbol 4 = All Securities |
| 55 | Symbol | string | C | Required when SecurityListRequestType (tag 559) is set to Symbol (0). Human representation of the security. |
| 263 | SubscriptionRequestType | char | C | Indicates whether or not the request should enable or disable a subscription: 0 = Snapshot 1 = Snapshot + Updates 2 = Disable previous Snapshot + Update request (i.e. unsubscribe) |
SecurityList (35=y)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 146 | NoRelatedSym | int | Y | When >0 a repeating group of instrument definitions follows. |
| ↳55 | Symbol | string | Y | Start of a new symbol group entry. The symbol used to represent the instrument. |
| ↳15 | Currency | string | Y | Currency used for prices, price increments, fees, etc. |
| ↳167 | SecurityType | string | Y | Type of instrument. Currently the only value supported is: CSPOT = Crypto spot pairs |
| ↳870 | NoInstrAttrib | int | C | Marks the beginning of the Instrument Attributes repeating group component. |
| ↳↳871 | InstrAttribType | int | C | Start of a new instrument attribute group entry. Identifies the type of instrument attribute the InstrAttribValue (872) represents. 40 = Average daily notional amount 41 = Average daily trade quantity |
| ↳↳872 | InstrAttribValue | string | C | The value corresponding to the InstrAttribType (871). |
| 320 | SecurityReqID | string | Y | The SecurityReqID of the SecurityListRequest that this message is in response to. |
| 322 | SecurityResponseID | string | Y | A unique response ID. |
| 393 | TotNoRelatedSym | int | Y | Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required. |
| 560 | SecurityRequestResult | string | Y | 0 = Valid request 1 = Invalid or unsupported request 2 = No instrument found 4 = Instrument data temporarily unavailable |
| 893 | LastFragment | char | N | N = Not Last message Y = Last Message for SecurityListRequest |
SecurityListUpdateReport (35=BK)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 146 | NoRelatedSym | int | Y | When >0 a repeating group of instrument definitions follows. |
| ↳55 | Symbol | string | Y | Start of a new symbol group entry. The symbol used to represent the instrument (e.g. USDP, BTC, ETH, etc...). |
| ↳1324 | ListUpdateAction | char | Y | Indicates the type of change for the instrument: A = Add D = Delete M = Modify S = Snapshot |
| ↳15 | Currency | string | C | Currency used for prices, MPVs, fees, etc. |
| ↳167 | SecurityType | string | Y | Type of instrument, currently the only value supported is: CSPOT = Crypto spot pairs |
| ↳870 | NoInstrAttrib | int | C | Marks the beginning of the Instrument Attributes repeating group component. |
| ↳↳871 | InstrAttribType | int | C | Start of a new instrument attribute group entry. Identifies the type of instrument attribute the InstrAttribValue (872) represents. 40 = Average daily notional amount 41 = Average daily trade quantity |
| ↳↳872 | InstrAttribValue | string | C | The value corresponding to the InstrAttribType (871). |
MarketDataRequest (35=V)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 146 | NoRelatedSym | int | N | The number of symbols in the repeating group defined below. If unspecified or set to 0, the request applies to all symbols. |
| ↳55 | Symbol | string | C | Start of a new symbol group entry. The symbol used to represent the instrument. |
| ↳167 | SecurityType | string | C | Identifies the type of instrument. CSPOT = Crypto spot pairs |
| 262 | MDReqID | string | Y | Unique identifier for Market Data Request. |
| 263 | SubscriptionRequestType | char | Y | Type of subscription request: 0 = Snapshots only 1 = Subscribe (snapshots + updates) 2 = Unsubscribe |
MarketDataRequestReject (35=Y)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 58 | Text | string | Y | Human readable text describing reason for reject limited to 254 characters. |
| 262 | MDReqID | string | Y | The same value provided for the MDReqID on the MarketDataRequest message. |
MarketDataSnapshotFullRefresh (35=W)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 55 | Symbol | string | Y | The symbol used to represent the instrument. |
| 167 | SecurityType | string | Y | Identifies the type of instrument. CSPOT = Crypto spot pairs |
| 262 | MDReqID | string | Y | The same value provided for the MDReqID on the MarketDataRequest message. |
| 268 | NoMDEntries | int | Y | Marks the beginning of a repeating group for market data entries while also indicating the number of market data entries in the group. Value must be > 0. |
| ↳269 | MDEntryType | char | Y | Start of a new market data group entry. Indicates the type of MD entry, values include: 0 = Bid (aggregated quantity interested in buying that is resting on the book at MDEntryPx) 1 = Offer (aggregated quantity interested in selling that is resting on the book at MDEntryPx) 2 = Trade (quantity and price of the most recent trade)" |
| ↳278 | MDEntryID | long | C | A unique identifier used to reference the entry, only used for trades. |
| ↳270 | MDEntryPx | decimal128 | Y | The price of the MD entry. |
| ↳271 | MDEntrySize | decimal128 | C | The size of the MD entry. |
| ↳273 | MDEntryTime | utc timestamp | Y | The timestamp representing when the MD entry was generated. |
| ↳1023 | MDPriceLevel | int | C | Indicates the level of price from the BBO with the BBO price as level 1. |
| ↳2446 | AggressorSide | int | C | Indicates what side was the aggressor causing the match to occur. 1 = Buy 2 = Sell Only used for trades. |
MarketDataIncrementalRefresh (35=X)
| TAG | NAME | TYPE | REQ | DESCRIPTION |
|---|---|---|---|---|
| 262 | MDReqID | string | Y | The same value provided for the MDReqID on the MarketDataRequest message. |
| 268 | NoMDEntries | int | Y | Marks the beginning of a repeating group for market data entries while also indicating the number of market data entries in the group. Value must be > 0. |
| ↳279 | MDUpdateAction | char | Y | Start of a new market data group entry. Indicates the type of update, supported values include: 0 = New 1 = Change 2 = Delete |
| ↳269 | MDEntryType | char | Y | Indicates the type of MD entry, values include: 0 = Bid (aggregated quantity interested in buying that is resting on the book at MDEntryPx) 1 = Offer (aggregated quantity interested in selling that is resting on the book at MDEntryPx) 2 = Trade (quantity and price of the most recent trade)" |
| ↳278 | MDEntryID | long | C | A unique identifier used to reference the entry, only used for trades. |
| ↳270 | MDEntryPx | decimal128 | Y | The price of the MD entry. |
| ↳271 | MDEntrySize | decimal128 | C | The size of the MD entry. |
| ↳273 | MDEntryTime | utc timestamp | Y | The timestamp representing when the MD entry was generated. |
| ↳55 | Symbol | string | Y | The symbol used to represent the instrument. |
| ↳1023 | MDPriceLevel | int | C | Indicates the level of price from the BBO with the BBO price as level 1. |
| ↳2446 | AggressorSide | int | C | Indicates what side was the aggressor causing the match to occur. 1 = Buy 2 = Sell Only used for trades. |