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.
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
1
Subscribe
2
Unsubscribe
0
Bid
1
Offer
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).
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
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.
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
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.
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.
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
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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