Market Data Request (35=V)
Market data request currently supports FX spot and one currency pair per request. The MarketDataRequest (35=V) message is used to request a static book snapshot or subscribe to a stream of snapshots and updates.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=V | |||
262 | MDReqID | Y | Unique identifier for Market Data Request message. Must be a positive integer. |
263 | SubscriptionRequestType | Y | 0 = Snapshot. |
264 | MarketDepth | Y | The value to use will be given by Saxobank and is dependent on current agreement. |
265 | MDUpdateType | C | Required if SubscriptionRequestType = 1 (Snapshot + Updates) |
267 | NoMDEntryTypes | Y | Number of MDEntryType (269) fields requested. Must be 2. One Bid and one Offer. |
=>269 | MDEntryTypes | Y | 0 = Bid |
146 | NoRelatedSym | Y | Always 1. Saxo FIX API only accepts one currency pair per request. |
=>55 | Symbol | C | Currency pair in CCY1/CCY2 format, for example 'USD/JPY', mandatory for 167=FOR, 167=INDEX and 167=FUT for CFD on Futures |
=>167 | SecurityType | Y | 'FOR' for Foreign Exchange (FX) 'INDEX' for CFD Indices 'FUT' for CFD on Futures Other products are not supported currently. |
| Standard Trailer | |||
MarketDataRequestReject (35=Y)
Market data request reject is used when Saxo FIX API cannot honor the MarketDataRequest (35=V) message due to business or technical reasons. It is sent by Saxo FIX API to FIX Client.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=Y | |||
262 | MDReqID | Y | Unique identifier from Market Data Request message |
281 | MDReqRejReason | N | 0 = Unknown symbol |
58 | Text | N | |
| Standard Trailer | |||
Market Data Snapshot Full Fresh (35=W)
Market data snapshot FullRefresh message is used as response to a MarketDataRequest (35=V) message where tag 265=0 and provide a market data snapshot. It is sent by Saxo FIX API to FIX Client.
| Tag | Field Name | Required | Description |
|---|---|---|---|
| Standard Header, MsgType 35=W | |||
262 | MDReqID | Y | Unique identifier for Market Data Request message |
55 | Symbol | C | Currency pair in CCY1/CCY2 format, for example 'USD/JPY', mandatory for 167=FOR,INDEX and FUT |
167 | SecurityType | Y | 'FOR' for Foreign Exchange (FX) 'INDEX' for CFD Indices 'FUT' for CFD on Futures |
268 | NoMDEntries | Y | Number of entire in Market Data message |
=>269 | MDEntryTypes | Y | 0 = Bid |
=>270 | MDEntryPx | Y | Price of the Market Data entry |
=>271 | MDEntrySize | Y | Quantity of the Market Data entry |
=>276 | QuoteCondition | Y | Conditions describing a quote |
=>278 | MDEntryID | Y | Unique Market Data Entry Identifier |
| Standard Trailer | |||
Market Data Incremental Update (35=X)
MarketDataIncrementalRefresh (35=X) messages are used as response to a MarketDataRequest (35=V) message where tag 265=1. Full snapshot 35=W will be sent first and followed with incremental update 35=X
Tag No. | Tag Name | Required | Description |
262 | MDReqID | Y | Unique identifier for Market Data Request message |
268 | NoMDEntries | Y | Number of entire in Market Data message |
=>279 | MDUpdateAction | Y | ‘0’ New |
=>278 | MDEntryID | Y | Identifier for the market data entry if New or ID of existing entry being Modified or Deleted |
=>269 | MDEntryTypes | C | ‘0’ Bid |
=>270 | MDEntryPx | C | Price of the Market Data entry |
=>271 | MDEntrySize | C | Quantity of the Market Data entry Always be 0 for CFD on Futures |
=>276 | QuoteCondition | Y | Conditions describing a quote |