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. Masters and makers will receive Market Data - Snapshot/Full Refresh<W> messages when the book changes. Takers will receive Market Data - Incremental Refresh<X> upon every book update.

If subscription failed Market Data Request Reject<Y> message sent to the client.

Makers and Masters 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)

If you receive tag <279>=3; <270>=12300000000; <271> =100000000, then you must delete levels from the existing order book starting from the top of the book and ending with the order at a price of 123 and size of 1. Therefore, price 123 and size 1 is the new top of the book

If you receive the following update <279>=3; <270>=0; <271> =0, the described side of the book is 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