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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