Market Data
Every price or size values should be represented with FineryMarkets internal corresponding types.
Description of all the types can be found here.
Market Data Request<V>
Market data request allows the client to receive market data on a subscription basis.
| Tag | Name | Required | Example | Description |
|---|---|---|---|---|
262 | MDReqID | Y | 1 | Unique market data request Id |
263 | SubscriptionRequestType | Y | 2 | Subscription request type(see below) |
265 | MDUpdateType | N | 1 | Required if SubscriptionRequestType<263> is 1. 1 means incremental update. |
267 | NoMDEntryTypes | Y | 2 | Number of MDEntryType <269> fields requested. Should always be 2 for bid and offer. |
269 | => MDEntryType | Y | 0 | Must be the first field in this repeating group. This is a list of all the types of Market Data Entries that the firm requesting the Market Data is interested in receiving (see below) |
146 | NoRelatedSym | Y | 1 | Number of symbols (instruments) requested. |
55 | => Symbol | Y | BTC-USD | Requested instruments |
| Subscription Request Type | Description |
|---|---|
1 | Subscribe |
2 | Unsubscribe |
| MDEntryType | Description |
|---|---|
0 | Bid |
1 | Offer |
| MDUpdateType | Description |
|---|---|
1 | Incremental refresh |
In case of successful subscription Market Data - Snapshot/Full Refresh<W> message sent to the client and Market Data - Incremental Refresh<X> are sent to the client upon every book update.
If subscription failed Market Data Request Reject<Y> message sent to the client.
Makers are subscribed to the feed 'B'. Takers are subscribed to the feed 'F'.
Market Data - Snapshot/Full Refresh<W>
The Market Data messages are used as the response to a Market Data Request<V> message. In all cases, one Market Data message refers only to one Market Data Request<V> . Each Market Data message contains information about only one symbol(instrument).
| Tag | Name | Required | Example | Description |
|---|---|---|---|---|
262 | MDReqID | Y | 1 | Contains MDReqId<262> from corresponding Market Data Request |
55 | Symbol | Y | BTC-USD | Instrument |
268 | NoMDEntries | Y | 1 | Number of entries following. |
269 | => MDEntryType | Y | 0 | Must be the first field of the repeating group. Entry type(see below) |
270 | => MDEntryPx | Y | 1 | Price, value of type Price |
271 | => MDEntrySize | Y | 1 | Size, value of type Size |
| MDEntryType | Description |
|---|---|
0 | Bid |
1 | Offer |
J | Empty Book |
Market Data - Incremental Refresh<X>
The Market Data messages are used as the response to a Market Data Request<V> message. In all cases, one Market Data message refers only to one Market Data Request<V> . Contains incremental update for market data.
| Tag | Name | Required | Example | Description |
|---|---|---|---|---|
262 | MDReqID | Y | 1 | Contains MDReqId<262> from corresponding Market Data Request |
268 | NoMDEntries | Y | 1 | Number of entries following. |
279 | => MDUpdateAction | Y | 0 | Update Action(see below) |
269 | => MDEntryType | Y | 0 | Must be the first field of the repeating group. Entry type(see below) |
55 | => Symbol | Y | BTC-USD | Instrument |
270 | => MDEntryPx | Y | 1 | Price, value of type Price |
271 | => MDEntrySize | Y | 1 | Size, value of type Size |
| Update Action Code | Description |
|---|---|
0 | New |
1 | Change |
2 | Delete |
3 | Top of the book removed till specified price. Price and size of a new top level are returned (both zeros if book side became empty) |
| MDEntryType | Description |
|---|---|
0 | Bid |
1 | Offer |
J | Empty Book |
Market Data - Reject <Y>
The Market Data Request Reject<Y> is used when FineryMarkets cannot honor the Market Data Request<V> , due to business or technical reasons.
| Tag | Name | Required | Example | Description |
|---|---|---|---|---|
262 | MDReqID | Y | 1 | Contains MDReqId<262> from corresponding Market Data Request |
281 | MDReqRejReason | N | 0 | Rejection reason code(see below) |
58 | Text | N | 25 | Contains FM error code if MDReqRejReason<281> == F |
| Rejection reason code | Description |
|---|---|
0 | Unknown symbol(instrument) |
3 | Insufficient Permissions |
4 | Unsupported SubscriptionRequestType <263> |
F | Finery Markets error, see code in Text<58> field |
A | Finery Markets error, see code in Text<58> field |
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