FIX 4.4: MarketDataRequest¶
The current ScaleTrade FIX server supports market-data subscription
through MarketDataRequest (MsgType = V).
This message is used to:
- subscribe to symbol quotes
- unsubscribe from symbol quotes
- request snapshot mode semantics at protocol level
MarketDataRequest (MsgType = V)¶
Subscribe Example¶
8=FIX.4.4|9=121|35=V|34=2|49=CLIENT_1|52=20260408-20:34:17|56=SERVER|
262=MD-1775680457331-9a3cba|263=1|264=1|267=1|269=0|146=1|55=EURUSD|10=161|
Unsubscribe Example¶
8=FIX.4.4|9=127|35=V|34=3|49=CLIENT_1|52=20260408-20:34:22|56=SERVER|
262=MD-1775680457331-9a3cba-UNSUB|263=2|264=1|267=1|269=0|146=1|55=EURUSD|10=095|
Fields Used by Current Implementation¶
| Tag | Name | Description |
|---|---|---|
| 35=V | MsgType | MarketDataRequest |
| 262 | MDReqID | Client market-data request identifier |
| 263 | SubscriptionRequestType | 0 = Snapshot, 1 = Snapshot + Subscribe, 2 = Unsubscribe |
| 264 | MarketDepth | Requested depth |
| 267 | NoMDEntryTypes | Repeating group count for MD entry types |
| 269 | MDEntryType | Current implementation uses quote-side request semantics |
| 146 | NoRelatedSym | Repeating group count for instruments |
| 55 | Symbol | Requested symbol |
Current Server Rules¶
The server validates subscription against FIX slot rules:
- session must be authenticated
can_market_data = true- symbol must pass
allowed_symbol_mask - total subscriptions must not exceed
max_symbols
Current Behaviour¶
263=1 Subscribe¶
- symbol is added to the runtime subscription set for this session
- future live ticks are delivered as
MarketDataSnapshotFullRefresh
263=2 Unsubscribe¶
- symbol is removed from the runtime subscription set
263=0 Snapshot¶
- the request is accepted at FIX protocol level
- current implementation may wait for the next live tick rather than sending an immediate snapshot from symbol storage
Important Notes¶
- use the FIX slot as
49=SenderCompID - use server CompID as
56=TargetCompID - current implementation supports one-symbol smoke tests cleanly
- if a request uses unsupported field layout, QuickFIX may reject it before business handling