FIX Trading API

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. 

TagField NameRequiredDescription
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.
1 = Snapshot + Updates (Subscribe)
2 = Disable previous Snapshot (Unsubscribe).

264

MarketDepth

Y

The value to use will be given by Saxobank and is dependent on current agreement.
0 = Full Book Depth
1 = Top of Book
2 = Two Price Levels
3 = Three Price Levels
Etc.

265

MDUpdateType

C

Required if SubscriptionRequestType = 1 (Snapshot + Updates)
0 = Full Refresh

267

NoMDEntryTypes

Y

Number of MDEntryType (269) fields requested. Must be 2. One Bid and one Offer.

=>269

MDEntryTypes

Y

0 = Bid
1 = Offer

146

NoRelatedSym

Y

Always 1. Saxo FIX API only accepts one currency pair per request.

=>55

Symbol

C

‘CCY1/CCY2’ Currency Pair. Mandatory for 167 = ‘FOR’

=>167

SecurityType

Y

’FOR’ for Forex spot.

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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.

TagField NameRequiredDescription
Standard Header, MsgType 35=Y

262

MDReqID

Y

Unique identifier from Market Data Request message

281

MDReqRejReason

N

0 = Unknown symbol
1 = Duplicate MDReqID (262)
2 = Insufficient Bandwidth
3 = Insufficient Permissions
4 = Unsupported SubscriptionRequestType (263)
5 = Unsupported MarketDepth (264)
6 = Unsupported MDUpdateType (265)

58

Text

N


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Market Data Snapshot Full Fresh (35=W)

Market data snapshot fullRefresh message is used as response to a MarketDataRequest (35=V) message and provide a market data snapshot. It is sent by Saxo FIX API to FIX Client.

TagField NameRequiredDescription
Standard Header, MsgType 35=W

262

MDReqID

Y

Unique identifier for Market Data Request message

55

Symbol

C

‘CCY1/CCY2’ Currency Pair. Mandatory for 167 = ‘FOR’

167

SecurityType

Y

FOR’ for Forex spot.

268

NoMDEntries

Y

Number of entire in Market Data message

=>269

MDEntryTypes

Y

0 = Bid
1 = Offer

=>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
'A’ Open / Tradable
‘I’ NonFirm / Indicative

=>278

MDEntryID

Y

Unique Market Data Entry Identifier

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