Template name: MarketDataRequest
Template ID: 59
Name | Tag ID | Type | Opt. | Operator | Valid values | Description |
|---|---|---|---|---|---|---|
MsgType | 35 | String | No | Constant: V | ||
MDReqID | 262 | String | No | Unique request ID assigned by client application | ||
SubscriptionRequestType | 263 | Int32 | No | Default: 1 | 0 - Snapshot 1 - Snapshot and subscription | |
MarketDepth | 264 | Int32 | No | Default: 0 | 0 - DOM subscription 1 - Quote or Tick subscription | |
MDUpdateType | 265 | Int32 | No | Default: 0 | 0 - Full Refresh 1 - Incremental Refresh | |
SubscriptionType | 1000 | Int32 | Yes | 0 - Quotes 1 - DOM 2 - Ticks 4 - Histogram | ||
StartTime | 1001 | Int64 | Yes |
UTC timestamp, YYYYMMDDhhmmss Start time for historical ticks Do not load historical ticks, if missed Note: SubscriptionType should be 2 (Ticks) | ||
EndTime | 1002 | Int64 | Yes |
UTC timestamp, YYYYMMDDhhmmss End time for historical ticks Load up to the latest tick, if missed Note: SubscriptionType should be 2 (Ticks) | ||
MDEntries | Sequance | No | ||||
->NoMDEntryTypes | 267 | Length | No | |||
->MDEntryType | 269 | String | No | Default: 2 | Quote Subscription 0 - Bid 1 - Offer 2 - Last Trade 4 - Opening Price 6 - Settlement Price 7 - High Price 8 - Low Price B - Trade Volume C - Open Interest DOM Subscription 0 - Bid 1 - Offer 0 - Bid Tick Subscription 1 - Offer 2 - Last Trade Histogram Subscription 2 - Last Trade | |
Instruments | Sequance | No | ||||
->NoRelatedSym | 146 | Length | No | Should be 1 | ||
->Symbol | 55 | String | No |
OEC symbol Example: “ES” for E-Mini S&P | ||
->MaturityMonthYear | 200 | Int32 | Yes |
Format: YYYYMM Example: “201303” for ESH3 | ||
->StrikePrice | 202 | Decimal | Yes |
Options only Example: “1530” for OESH3 C1530 | ||
->SecurityExchange | 207 | String | Yes | OEC name of exchange | ||
->CFICode | 431 | String | No | FXXXXS - Futures OPXFXS - Options, put OCXFXS - Options, call OPXFXN - Non-standard options, put OCXFXN - Non-standard options, call ERXXXN - Forex |
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Subscription request with duplicate MDReqID cancels previous subscription
-
SubscriptionRequestType = 0 (snapshot) is allowed for loading historical ticks only
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The first response for MDUpdateType = 1 (incremental refresh) is Market Data Snapshot/Full Refresh
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Historical ticks are transferred in Market Data Snapshot/Full Refresh in spite of MDUpdateType
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SubscriptionType is optional field. If it is missed, subscription will be treated as DOM or quote subscription on the base of MarketDepth value
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Empty MDEntries group is treated as "everything"
- Symbol, StrikePrice and SecurityExchange should follow OEC symbology