Market Data

Overview

EDX Markets FIX specifications are based on the FIX Trading Community FIX 5.0 SP2 specifications.

Supported Messages

The following convention is used in this document to indicate message direction:

IN: a message type received by EDX.
OUT: a message type originating from EDX.
IN/OUT: a message type that can be sent to or from EDX.

The values under the “Required” column indicate one of the following:

‘Y’ – field is mandatory and must be sent or received as a part of the message.
‘N’ – field is not required and should be omitted unless otherwise directed by EDX.
‘N/A’ – Field is not used in the context of the message.

Security List

SecurityListRequest (IN)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=x
320	SecurityReqID	Y	The ID of the Security List Request.
559	SecurityListRequestType	Y	The type of Security List Request being made. ALL_SECURITIES [4]
	Standard Footer	Y

Example

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 55
[MsgType]                   35 = x
[MsgSeqNum]                 34 = 5
[SendingTime]               52 = 20240716-22:27:23.907
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[SecurityReqID]            320 = 1
[SecurityListRequestType]  559 = 4
[CheckSum]                  10 = 160

SecurityList (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=y
320	SecurityReqID	Y	The ID of the Security List Requested.
322	SecurityResponseID	Y	A unique ID for the response.
560	SecurityRequestResult	Y	The result of the request. VALID_REQUEST [0]
893	LastFragment	Y	N – There are more Security List messages to come. Y – This is the last Security List message for this Security List Request.
146	NoRelatedSym	Y	Number of instrument definitions in the repeating group to follow.
55	Symbol	Y	The symbol of the instrument.
969	MinPriceIncrement	Y	The smallest increment in which the instrument’s price can be increased/decreased.
996	UnitOfMeasure	Y	The unit of measure of the underlying asset upon which the instrument is based.
1716	UnitOfMeasureCurrency	Y	Indicates the currency of the unit of measure.
562	MinTradeVol	Y	The smallest tradeable quantity for the instrument.
561	RoundLot	Y	The trading lot size of an instrument.
15	Currency	Y	The quote currency of the instrument.
167	SecurityType	Y	SPOT PERP †
	Standard Footer	Y

† = EDXM enum value, not standard to FIX 5.0 SP2

Example

[BeginString]               8 = FIXT.1.1
[BodyLength]                9 = 1955
[MsgType]                  35 = y
[SenderCompID]             49 = EDXM
[TargetCompID]             56 = USERNAME
[MsgSeqNum]                34 = 6
[SendingTime]              52 = 20240723-18:46:02.414
[SecurityReqID]           320 = 325235
[SecurityResponseID]      322 = 0
[SecurityRequestResult]   560 = 0
[LastFragment]            893 = Y
[NoRelatedSym]            146 = 3
[Symbol]                   55 = BTC/USD
[MinPriceIncrement]       969 = 0.01
[UnitOfMeasure]           996 = Ccy
[UnitOfMeasureCurrency]  1716 = BTC
[MinTradeVol]             562 = 0.00000001
[RoundLot]                561 = 0.00000001
[Currency]                 15 = USD
[Symbol]                   55 = ETH/USD
[MinPriceIncrement]       969 = 0.01
[UnitOfMeasure]           996 = Ccy
[UnitOfMeasureCurrency]  1716 = ETH
[MinTradeVol]             562 = 0.000001
[RoundLot]                561 = 0.000001
[Currency]                 15 = USD
[Symbol]                   55 = LTC/USD
[MinPriceIncrement]       969 = 0.01
[UnitOfMeasure]           996 = Ccy
[UnitOfMeasureCurrency]  1716 = LTC
[MinTradeVol]             562 = 0.000001
[RoundLot]                561 = 0.000001
[Currency]                 15 = USD
[CheckSum]                 10 = 226

Security Status

SecurityStatusRequest (IN)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=e
324	SecurityStatusReqID	Y	The ID of the Security Status Request; must be unique or an exact match of a previous ID if disabling an update request. May utilize any format.
55	Symbol	Y	The Symbol of the Instrument whose Order Book Status is requested. Only one instrument is supported for the Security Status Request.
263	SubscriptionRequestType†	Y	The type of Market Data Subscription Request for this Security Status Request. SNAPSHOT [0] – Will only provide Snapshot messages at set intervals. SNAPSHOT_PLUS_UPDATES [1] – Will provide Snapshot and Incremental update messages for any activity on the Order Book. DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST [2] – Allows the client to stop their existing Market Data Subscription messages. Must reference a previously used SecurityStatusReqID.
	Standard Footer	Y

† = If the user sends SubscriptionRequestType(263) = DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST (2), but no request has been made with the requestID they send in, the user will get a reject with reason 'DUPLICATE_ID'.

Example (SNAPSHOT)

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 100
[MsgType]                   35 = e
[MsgSeqNum]                 34 = 7
[SendingTime]               52 = 20240723-05:32:21.000
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[SecurityStatusReqID]      324 = 1
[SubscriptionRequestType]  263 = 0
[Symbol]                    55 = BTC/USD
[CheckSum]                  10 = 046

Example (SNAPSHOT PLUS UPDATES)

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 180
[MsgType]                   35 = e
[MsgSeqNum]                 34 = 8
[SendingTime]               52 = 20240724-00:12:30.000
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[SecurityStatusReqID]      324 = 32542542
[SubscriptionRequestType]  263 = 1
[Symbol]                    55 = BTC/USD
[CheckSum]                  10 = 196

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 180
[MsgType]                   35 = e
[MsgSeqNum]                 34 = 9
[SendingTime]               52 = 20240724-00:14:35.000
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[SecurityStatusReqID]      324 = 32542542
[SubscriptionRequestType]  263 = 2
[Symbol]                    55 = BTC/USD
[CheckSum]                  10 = 196

SecurityStatus (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=f
324	SecurityStatusReqID	Y	The ID of the Security Status Request; must be unique, any format.
55	Symbol	Y	The Symbol of the Instrument whose Order Book Status is provided.
969	MinPriceIncrement	N	The smallest increment in which the Instrument’s price can be increased/decreased.
326	SecurityTradingStatus	Y	The status of the order book for the specified Instrument. TRADING_HALT [2] RESUME [3] READY_TO_TRADE_START_OF_SESSION [17] ITS_PRE_OPENING [14]
327	HaltReason	N	If trading on the Order Book has been halted, this field provides additional information. ORDER_BOOK_IN_SUSPENDED_STATE [S] ORDER_BOOK_IN_HALT_STATE [N]
	Standard Footer	Y

Example (READY TO TRADE)

[BeginString]              8 = FIXT.1.1
[BodyLength]               9 = 81
[MsgType]                 35 = f
[SenderCompID]            49 = EDXM
[TargetCompID]            56 = USERNAME
[MsgSeqNum]               34 = 10
[SendingTime]             52 = 20240723-05:32:21.591
[SecurityStatusReqID]    324 = 986768uvhv7
[Symbol]                  55 = BTC/USD
[SecurityTradingStatus]  326 = 17
[CheckSum]                10 = 016

Example (HALT)

[BeginString]              8 = FIXT.1.1
[BodyLength]               9 = 77
[MsgType]                 35 = f
[SenderCompID]            49 = EDXM
[TargetCompID]            56 = USERNAME
[MsgSeqNum]               34 = 10
[SendingTime]             52 = 20240723-05:58:49.303
[SecurityStatusReqID]    324 = 235234
[Symbol]                  55 = BTC/USD
[SecurityTradingStatus]  326 = 2
[HaltReason]             327 = N
[CheckSum]                10 = 212

Example (RESUME)

[BeginString]              8 = FIXT.1.1
[BodyLength]               9 = 91
[MsgType]                 35 = f
[SenderCompID]            49 = EDXM
[TargetCompID]            56 = USERNAME
[MsgSeqNum]               34 = 11
[SendingTime]             52 = 20240723-06:04:15.027
[SecurityStatusReqID]    324 = 34534523
[Symbol]                  55 = BTC/USD
[SecurityTradingStatus]  326 = 3
[CheckSum]                10 = 167

Example (SUSPENDED)

[BeginString]              8 = FIXT.1.1
[BodyLength]               9 = 87
[MsgType]                 35 = f
[SenderCompID]            49 = EDXM
[TargetCompID]            56 = USERNAME
[MsgSeqNum]               34 = 12
[SendingTime]             52 = 20240723-06:06:44.782
[SecurityStatusReqID]    324 = 235426523
[Symbol]                  55 = BTC/USD
[SecurityTradingStatus]  326 = 2
[HaltReason]             327 = S
[CheckSum]                10 = 221

Example (POST ONLY)

[BeginString]              8 = FIXT.1.1
[BodyLength]               9 = 81
[MsgType]                 35 = f
[SenderCompID]            49 = EDXM
[TargetCompID]            56 = USERNAME
[MsgSeqNum]               34 = 13
[SendingTime]             52 = 20240724-01:01:01.404
[SecurityStatusReqID]    324 = 235535
[Symbol]                  55 = BTC/USD
[SecurityTradingStatus]  326 = 14
[CheckSum]                10 = 164

BusinessMessageReject (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=j
372	RefMsgType	Y	The Message Type (35) of the FIX message that is being referenced. SecurityStatusRequest [35=e]
380	BusinessRejectReason	Y	Identifies reason for a Business Message Reject message. OTHER [0] UNKNOWN_SECURITY [2]
58	Text	N	Freeform text describing the reason for rejection. DUPLICATE_ID INVALID_SYMBOL
	Standard Footer	Y

Example (INVALID SYMBOL)

[BeginString]             8 = FIXT.1.1
[BodyLength]              9 = 78
[MsgType]                35 = j
[SenderCompID]           49 = EDXM
[TargetCompID]           56 = USERNAME
[MsgSeqNum]              34 = 14
[SendingTime]            52 = 20240724-00:46:02.408
[RefMsgType]            372 = e
[BusinessRejectReason]  380 = 2
[Text]                   58 = INVALID_SYMBOL
[CheckSum]               10 = 105

Example (INCORRECT SECURITY STATUS REQUEST ID)

[BeginString]             8 = FIXT.1.1
[BodyLength]              9 = 85
[MsgType]                35 = j
[SenderCompID]           49 = EDXM
[TargetCompID]           56 = USERNAME
[MsgSeqNum]              34 = 15
[SendingTime]            52 = 20240724-01:08:07.205
[RefMsgType]            372 = e
[BusinessRejectReason]  380 = 0
[Text]                   58 = DUPLICATE_ID
[CheckSum]               10 = 176

Market Data

MarketDataRequest (IN)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=V
262	MDReqID	Y	This is the ID for the MarketDataRequest. It must be unique or must be the ID of the previous request to stop the message stream.
263	SubscriptionRequestType	Y	The supported Subscription Request Types outlined earlier specify the type of response expected from the market data gateway. SNAPSHOT_PLUS_UPDATES [1] – will provide Snapshot and Incremental update messages for any activity on the Order Book. DISABLE_PREVIOUS_SNAPSHOT_PLUS_UPDATE_REQUEST [2] – Allows the client to stop their existing Market Data Subscription messages.
264	MarketDepth	Y	This field indicates the depth of the order book snapshot requested. FULL_BOOK [0] - This indicates the most comprehensive request containing all orders on the order book.
265	MDUpdateType	Y	For Snapshot and Update subscriptions, this specifies the type of market data update requested. Only incremental updates are supported. INCREMENTAL_REFRESH [1]
>267	NoMDEntryTypes	Y	The number of MDEntryType fields requested from the gateway.
>269	MDEntryType	Y	Comprehensive list of the types of Market Data Entries requested whose number is specified in NoMDEntryTypes. GW supports Bid, Offer & Trade as values. BID [0] OFFER [1] TRADE [2]
>146	NoRelatedSym	Y	The requested number of Symbols. One or more symbols can be requested; each must be specified in the Symbol field.
	Standard Footer	Y

Example (SNAPSHOT PLUS UPDATES)

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 114
[MsgType]                   35 = V
[MsgSeqNum]                 34 = 234
[SendingTime]               52 = 20240727-21:35:13.000
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[MDReqID]                  262 = 24525
[SubscriptionRequestType]  263 = 1
[MarketDepth]              264 = 0
[MDUpdateType]             265 = 1
[NoRelatedSym]             146 = 1
[Symbol]                    55 = BTC/USD
[NoMDEntryTypes]           267 = 1
[MDEntryType]              269 = 0
[CheckSum]                  10 = 002

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)

[BeginString]                8 = FIXT.1.1
[BodyLength]                 9 = 114
[MsgType]                   35 = V
[MsgSeqNum]                 34 = 2354
[SendingTime]               52 = 20240727-21:35:24.000
[SenderCompID]              49 = USERNAME
[TargetCompID]              56 = EDXM
[MDReqID]                  262 = 24525
[SubscriptionRequestType]  263 = 2
[MarketDepth]              264 = 0
[MDUpdateType]             265 = 1
[NoRelatedSym]             146 = 1
[Symbol]                    55 = BTC/USD
[NoMDEntryTypes]           267 = 1
[MDEntryType]              269 = 0
[CheckSum]                  10 = 006

MarketDataIncrementalRefresh (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=X
262	MDReqID	N	This is the ID for the Market Data Subscription stream. It must be unique, and it is echoed back from the Market Data Subscription Request message.
5010	MarketDataGlobalID	N	The first component of a composite ID uniquely identifying a market data update message (MarketDataGlobalID, MarketDataGlobalIDVersion).
5011	MarketDataGlobalIDVersion	N	The second component of a composite ID uniquely identifying a market data update message (MarketDataGlobalID, MarketDataGlobalIDVersion).
>268	NoMDEntries	Y	The number of market data entry groups that clients should expect to receive in the snapshot message.
>279	MDUpdateAction	Y	This will be the first field in each market data entry group, and it indicates the type of update sent on this message as outlined below. NEW [0] - This indicates a new order has been added to the order book CHANGE [1] - This indicates an existing price or order quantity on the order book has been updated DELETE [2] - This indicates that an order has been removed from the order book
>269	MDEntryType †	Y	The type of market data entry, mirroring the specification of the subscription request. BID [0] OFFER [1] TRADE [2] INDEX_PRICE [3] - Latest spot index price, applicable to perpetual futures OPEN_INTEREST [C] - Open interest contract units, applicable to perpetual futures †PRELIMINARY_MARK_PRICE [m] - Latest Mark Price of the Instrument †FINAL_MARK_PRICE [n] - Mark price of the instrument used for marking realized PnL †PRELIMINARY_FUNDING_RATE [p] - Real time funding rate of the instrument, applicable to perpetual futures †FINAL_FUNDING_RATE [f] - Funding rate of the instrument used for perpetuals funding payments Note, perpetuals specific MDEntryType values (3, C, m, n, f, p) will only be sent as incremental updates for market data subscriptions for FULL_BOOK data. For perpetuals contracts, index price, open interest, preliminary mark price, and preliminary funding rate will be published every 5 seconds. Final funding rate and final mark price will be published at an interval configured in the contract specification.
>278	MDEntryID	Y	A unique ID for the market data entry in the group. It should be referenced for a Delete or Change Action.
>55	Symbol	Y	The Symbol of the Instrument and the ID of the Order Book whose Market Data is provided on this message. Only one Symbol per Message is supported.
>969	MinPriceIncrement	N	The smallest increment in which the instrument’s price can be increased/decreased.
>270	MDEntryPx	Y	The price of the market data entry.
>271	MDEntrySize	N	The size of the market data entry at the specified price; remaining order quantity where MDUpdateAction is Change.
>1003	TradeID	N	A unique ID for the trade, when reporting trades.
>5797	AggressorSide	N	For trades, designates the side of the aggressing order. BUY [1] SELL [2]
>9416	ExtendedExecInst	N	Designates that an order is a Retail order or a Retail Liquidity Providing order. DESIGNATED_RETAIL [R] - Indicates that this is a Retail Taker order. RETAIL_LIQUIDITY_PROVIDER [T] - Indicates that this is a Retail Maker order.
60	TransactTime	N	Time of execution/order creation. UTC timestamp.
	Standard Footer	Y

† = EDXM enum value, not standard to FIX 5.0 SP2

Example

[BeginString]       8 = FIXT.1.1
[BodyLength]        9 = 232
[MsgType]          35 = X
[SenderCompID]     49 = EDXM
[TargetCompID]     56 = USERNAME
[MsgSeqNum]        34 = 44
[SendingTime]      52 = 20240727-19:53:22.477
[MDReqID]         262 = 24525
[NoMDEntries]     268 = 2
[MDUpdateAction]  279 = 2
[MDEntryType]     269 = 1
[MDEntryID]       278 = 3252368965348989338
[Symbol]           55 = BTC/USD
[MDEntryPx]       270 = 68022.72
[MDUpdateAction]  279 = 0
[MDEntryType]     269 = 1
[MDEntryID]       278 = 3272347897345987339
[Symbol]           55 = BTC/USD
[MDEntryPx]       270 = 67968.02
[MDEntrySize]     271 = 0.7535934
[TransactTime]     60 = 20240727-19:53:22.434147871
[CheckSum]         10 = 218

MarketDataSnapshotFullRefresh (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=W
911	TotNumReports	Y	Total number of reports returned in response to a request.
262	MDReqID	Y	This is the ID for the Market Data Subscription stream. It must be unique, and it is echoed back from the Market Data Subscription Request message.
55	Symbol	Y	The Symbol of the Instrument and the ID of the Order Book whose Market Data is provided on this message. Only one Symbol per Message is supported.
969	MinPriceIncrement	N	The smallest increment in which the instrument’s price can be increased/decreased.
>268	NoMDEntries	Y	The number of market data entry groups that clients should expect to receive in the snapshot message.
>269	MDEntryType	Y	The type of market data entry, mirroring the specification of the subscription request. BID [0] OFFER [1] TRADE [2]
>278	MDEntryID	Y	A unique ID for the market data entry in the group.
>270	MDEntryPx	Y	The price of the market data entry; these are ranked from best to worst in a snapshot message.
>271	MDEntrySize	N	The size available at the specified price within the group.
>9416	ExtendedExecInst	N	Indicates that an order is a Retail order or a Retail Liquidity Providing order. DESIGNATED_RETAIL [R] - Indicates that this is a Retail Taker order. RETAIL_LIQUIDITY_PROVIDER [T] - Indicates that this is a Retail Maker order.
60	TransactTime	N	Time of execution/order creation. UTC timestamp.
	Standard Footer	Y

Example

[BeginString]          8 = FIXT.1.1
[BodyLength]           9 = 914
[MsgType]             35 = W
[SenderCompID]        49 = EDXM
[TargetCompID]        56 = USERNAME
[MsgSeqNum]           34 = 324
[SendingTime]         52 = 20240727-20:48:27.747
[TotNumReports]      911 = 1
[MDReqID]            262 = 24525
[Symbol]              55 = BTC/USD
[NoMDEntries]        268 = 5
[MDEntryType]        269 = 0
[MDEntryID]          278 = 3252330397861675008
[MDEntryPx]          270 = 30000
[MDEntrySize]        271 = 1
[MDEntryType]        269 = 0
[MDEntryID]          278 = 3250870108007956480
[MDEntryPx]          270 = 30000
[MDEntrySize]        271 = 1
[MDEntryType]        269 = 0
[MDEntryID]          278 = 3250870108007956480
[MDEntryPx]          270 = 20000
[MDEntrySize]        271 = 0.0000001
[MDEntryType]        269 = 1
[MDEntryID]          278 = 3252382806600318978
[MDEntryPx]          270 = 67450.32
[MDEntrySize]        271 = 0.000557
[ExtendedExecInst]  9416 = T
[MDEntryType]        269 = 1
[MDEntryID]          278 = 3252382743593484293
[MDEntryPx]          270 = 67457.05
[MDEntrySize]        271 = 0.005937
[ExtendedExecInst]  9416 = T
[CheckSum]            10 = 164

MarketDataRequestReject (OUT)

Fields

Tag	Name	Required	Comments
	Standard Header	Y	MsgType 35=Y
262	MDReqID	Y	This is the ID for the Market Data Subscription stream. It must be unique, and it is echoed back from the Market Data Subscription Request message.
281	MDReqRejReason	Y	The rejection reason: UNKNOWN_SYMBOL [0] DUPLICATE_MDREQID [1] INSUFFICIENT_BANDWIDTH [2] INSUFFICIENT_PERMISSIONS [3] UNSUPPORTED_SUBSCRIPTIONREQUESTTYPE [4] UNSUPPORTED_MARKETDEPTH [5] UNSUPPORTED_MDUPDATETYPE [6] UNSUPPORTED_AGGREGATEDBOOK [7] UNSUPPORTED_MDENTRYTYPE [8] UNSUPPORTED_TRADINGSESSIONID [9] UNSUPPORTED_SCOPE [A] UNSUPPORTED_OPENCLOSESETTLEFLAG [B] UNSUPPORTED_MDIMPLICITDELETE [C]
58	Text	N	Describes reject reason.
	Standard Footer	Y

Example

[BeginString]       8 = FIXT.1.1
[BodyLength]        9 = 68
[MsgType]          35 = Y
[SenderCompID]     49 = EDXM
[TargetCompID]     56 = USERNAME
[MsgSeqNum]        34 = 43
[SendingTime]      52 = 20240727-19:52:01.157
[MDReqID]         262 = 24525
[MDReqRejReason]  281 = 6
[CheckSum]         10 = 021

Change Log

Date	Section/Message	Description
3/4/2024	N/A	Initial v1.0 release of FIX Market Data specifications for EDX Markets match engine.
3/14/2024	Logon Message	v1.0.1 Updated sample Logon message to include standard header/footer.
4/4/2024	Market Data Incremental Refresh	v1.0.2 Added TradeID to Market Data Incremental Refresh messages for reporting trades.
4/8/2024	Interaction Model	v1.0.3 Added interaction model.
4/10/2024	Security List	v1.0.4 Removed references to unsupported AggregatedBook field.
4/19/2024	Security List	v1.0.5 Added references to fields 996, 1716, and 561.
5/1/2024	Throttle Limits	v1.0.6 Added Throttle Limits
5/13/2024	Sequence Reset	v1.0.7 Added Sequence Reset section.
6/10/2024	Market Data Snapshot Full Refresh (OUT)	v1.0.8 Removed aggregated price-level snapshot information from MDEntrySize.
6/10/2024	Sample Messages	v1.0.8 Removed sample Multiple Entries Snapshot – Aggregated Price Level Data
6/10/2024	Market Data Subscription Request (IN)	v1.0.8 Updated MarketDepth Tag 264
7/30/2024	Overview	v1.0.9 Interaction model broken down into several models for each corresponding message. Sequence Reset interaction model added. Test Request section added. Resend Request section added. Separated standard header into (IN) and (OUT) messages.
7/30/2024	Logon	v1.0.9 Value/Comment added for tag 553 (Username) and tag 554 (passphrase) Tag 1408 (DefaultCstmApplVerID) no longer in Logon (IN) Tag 141 (Reset Sequence Number Flag) in Logon (OUT) req’d changed to Y. Updated Logon (OUT) sample message. Added Logout (IN) matrix. Logout (IN) and Logout (OUT) sample messages added.
7/30/2024	Test Request	v1.0.9 Added Test Request interaction model. Added Test Request (OUT) matrix. Added Test Request (OUT) sample message. Added Heartbeat (IN) sample message.
7/30/2024	Resend Request	v1.0.9 Added Resend Request interaction model. Added Resend Request (OUT) matrix. Added Sequence Reset (IN) matrix. Added Reject (OUT) matrix. Added Resend Request (OUT) sample message. Added Sequence Reset (IN) sample message. Added Reject (OUT) sample message.
7/30/2024	Security List Request	v1.0.9 Added Security List Request interaction model. Security List (OUT) changed Tag 146 (NoRelatedSym) req’d to Y. Changed tag 969 (MinPriceIncrement) req’d to Y. Changed tag 996 (UnitOfMeasure) req’d to Y. Changed tag 1716 (UnitOfMeasureCurrency) req’d to Y Changed tag 561 (RoundLot) req’d to Y. Added req’d Y to Standard Footer. Added Security List Request (IN) sample message. Added Security List (OUT) sample message.
7/30/2024	Security Status Request	v1.0.9 Added Security Status Request interaction model. Added Security Status Request (IN) matrix. Security Status (OUT) changed tag 324 (SecurityStatusReqID) req’d to Y. Tag 326 (SecurityTradingStatus) changed req’d to Y and added values. Removed Tag 60 (TransactTime) Added values to tag 327 (HaltReason) Business Message Reject (OUT) matrix added. Security Status Request Snapshot (IN) sample message added. Security Status Request Snapshot Plus Updates (IN) sample message added Security Status Request Disable Previous snapshot Plus Updates (IN) sample message added. Security Status Ready to Trade (OUT) sample message added. Security Status Halt (OUT) sample message added. Security Status Resume (OUT) sample message added. Security Status Suspended (OUT) sample message added. Security Status Post Only (OUT) sample message added. Business Message Reject Invalid Symbol (OUT) sample message added. Business Message Reject Incorrect Security Status Request ID (OUT) sample message added.
7/30/2024	Market Data Request	v1.0.9 Added Market Data Request interaction model. Changed tag 265 (MD Update Type) req’d to Y. Added values to tag 269 (MDEntryType). Standard Footer added req’d Y. Changed tag 278 (MDEntryID) req’d to Y. Changed tag 270 (MDEntryPx) req’d to Y. Added tag 911 (TotNumReports). Changed tag 262 (MDReqID) req’d to Y. Changed tag 281 (MDReqRejReason) to Y. Added tag 58 (Text). Market Data Request Snapshot plus updates (IN) sample message added. Market Data Request Disable Previous Snapshot Plus Update Request (IN) sample message added. Market Data Snapshot Full Refresh (OUT) sample message added. Market Data Incremental Refresh (OUT) sample message added. Market Data Request Reject (OUT) sample message added.
08/31/2024	Security List Request	v1.0.10 TAG 167, Instrument Type, added PERP
08/31/2024	Market Data Incremental Refresh	v1.0.10 MD Entry Type added INDEX_PRICE, FINAL_MARK_PRICE, OPEN_INTEREST, PRELIMINARY_MARK_PRICE, FINAL_FUNDING_RATE, PRELIMINARY_FUNDING_RATE
12/12/2024	Market Data Incremental Refresh	V1.0.11 Added AggressorSide Added MarketDataGlobalID Added MarketDataGlobalIDVersion
06/10/2025	Market Data Incremental Refresh	V1.0.11 Updated value to reflect ‘remaining order quantity’ where MDUpdateAction is Change.
08/26/2025	Market Data Request (IN)	V1.0.12 Remove SubscriptionRequestType = SNAPSHOT [0]

Overview​

Supported Messages​

Security List​

SecurityListRequest (IN)​

Fields​

Example​

SecurityList (OUT)​

Fields​

Example​

Security Status​

SecurityStatusRequest (IN)​

Fields​

Example (SNAPSHOT)​

Example (SNAPSHOT PLUS UPDATES)​

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)​

SecurityStatus (OUT)​

Fields​

Example (READY TO TRADE)​

Example (HALT)​

Example (RESUME)​

Example (SUSPENDED)​

Example (POST ONLY)​

BusinessMessageReject (OUT)​

Fields​

Example (INVALID SYMBOL)​

Example (INCORRECT SECURITY STATUS REQUEST ID)​

Market Data​

MarketDataRequest (IN)​

Fields​

Example (SNAPSHOT PLUS UPDATES)​

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)​

MarketDataIncrementalRefresh (OUT)​

Fields​

Example​

MarketDataSnapshotFullRefresh (OUT)​

Fields​

Example​

MarketDataRequestReject (OUT)​

Fields​

Example​

Change Log​

Overview

Supported Messages

Security List

SecurityListRequest (IN)

Fields

Example

SecurityList (OUT)

Fields

Example

Security Status

SecurityStatusRequest (IN)

Fields

Example (SNAPSHOT)

Example (SNAPSHOT PLUS UPDATES)

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)

SecurityStatus (OUT)

Fields

Example (READY TO TRADE)

Example (HALT)

Example (RESUME)

Example (SUSPENDED)

Example (POST ONLY)

BusinessMessageReject (OUT)

Fields

Example (INVALID SYMBOL)

Example (INCORRECT SECURITY STATUS REQUEST ID)

Market Data

MarketDataRequest (IN)

Fields

Example (SNAPSHOT PLUS UPDATES)

Example (DISABLE PREVIOUS SNAPSHOT PLUS UPDATE REQUEST)

MarketDataIncrementalRefresh (OUT)

Fields

Example

MarketDataSnapshotFullRefresh (OUT)

Fields

Example

MarketDataRequestReject (OUT)

Fields

Example

Change Log