Market Data

SecurityListRequest (35=x)

TAG	NAME	TYPE	REQ	DESCRIPTION
320	SecurityReqID	string	Y	Unique identifier for the security request used to correlate the response to the request.
559	SecurityListRequestType	string	Y	Specifies the scope of the security request. 0 — Symbol 4 — All Securities
55	Symbol	string	C	Required when SecurityListRequestType (tag 559) is set to Symbol (0). Human representation of the security.
263	SubscriptionRequestType	char	Y	Indicates whether or not the request should enable or disable a subscription: 0 — Snapshot 1 — Snapshot + Updates 2 — Disable previous Snapshot + Update request (i.e. unsubscribe)

SecurityList (35=y)

TAG	NAME	TYPE	REQ	DESCRIPTION
146	NoRelatedSym	int	Y	When >0 a repeating group of instrument definitions follows.
↳55	Symbol	string	Y	**Start of a new symbol group entry.**The symbol used to represent the instrument.
↳167	SecurityType	string	Y	Type of instrument. Currently the only value supported is: CSPOT — Crypto spot pairs
↳870	NoInstrAttrib	int	C	Marks the beginning of the Instrument Attributes repeating group component.
↳↳871	InstrAttribType	int	C	**Start of a new instrument attribute group entry.**Identifies the type of instrument attribute the InstrAttribValue (872) represents. 40 — Average daily notional amount 41 — Average daily trade quantity
↳↳872	InstrAttribValue	string	C	The value corresponding to the InstrAttribType (871).
320	SecurityReqID	string	Y	The SecurityReqID of the SecurityListRequest that this message is in response to.
322	SecurityResponseID	string	Y	A unique response ID.
393	TotNoRelatedSym	int	Y	Used to indicate the total number of securities being returned for this request. Used in the event that message fragmentation is required.
560	SecurityRequestResult	string	Y	0 — Valid request 1 — Invalid or unsupported request 2 — No instrument found 4 — Instrument data temporarily unavailable
893	LastFragment	char	N	N — Not Last message Y — Last Message for SecurityListRequest

SecurityListUpdateReport (35=BK)

TAG	NAME	TYPE	REQ	DESCRIPTION
146	NoRelatedSym	int	Y	When >0 a repeating group of instrument definitions follows.
↳55	Symbol	string	Y	**Start of a new symbol group entry.**The symbol used to represent the instrument (e.g. USDP, BTC, ETH, etc...).
↳1324	ListUpdateAction	char	Y	Indicates the type of change for the instrument: A — Add D — Delete M — Modify S — Snapshot
↳167	SecurityType	string	Y	Type of instrument, currently the only value supported is: CSPOT — Crypto spot pairs
↳870	NoInstrAttrib	int	C	Marks the beginning of the Instrument Attributes repeating group component.
↳↳871	InstrAttribType	int	C	**Start of a new instrument attribute group entry.**Identifies the type of instrument attribute the InstrAttribValue (872) represents. 40 — Average daily notional amount 41 — Average daily trade quantity
↳↳872	InstrAttribValue	string	C	The value corresponding to the InstrAttribType (871).
320	SecurityReqID	string	Y	The SecurityReqID of the SecurityListRequest that this update relates to.
322	SecurityResponseID	string	Y	A unique response ID.
393	TotNoRelatedSym	int	Y	Total number of securities being returned for this update.
560	SecurityRequestResult	string	Y	0 — Valid request 1 — Invalid or unsupported request 2 — No instrument found 4 — Instrument data temporarily unavailable
893	LastFragment	char	N	N — Not Last message Y — Last Message for SecurityListRequest

MarketDataRequest (35=V)

TAG	NAME	TYPE	REQ	DESCRIPTION
146	NoRelatedSym	int	N	The number of symbols in the repeating group defined below. If unspecified or set to 0, the request applies to all symbols.
↳55	Symbol	string	C	**Start of a new symbol group entry.**The symbol used to represent the instrument.
↳167	SecurityType	string	C	Identifies the type of instrument. CSPOT — Crypto spot pairs
262	MDReqID	string	Y	Unique identifier for Market Data Request.
263	SubscriptionRequestType	char	Y	Type of subscription request: 0 — Snapshots only 1 — Subscribe (snapshots + updates) 2 — Unsubscribe
264	MarketDepth	int	N	Number of price levels to deliver. Supported range is 1 (top of book) through 20 (maximum). If unset or 0, the gateway treats the request as 20 levels. Negative values are rejected. 0 — Treated as 20 (maximum) 1 — Top of book (exchange best bid and offer) 2–20 — Specific book depth (inclusive of EBBO)

MarketDataRequestReject (35=Y)

TAG	NAME	TYPE	REQ	DESCRIPTION
58	Text	string	Y	Human readable text describing reason for reject limited to 256 characters.
262	MDReqID	string	Y	The same value provided for the MDReqID on the MarketDataRequest message.

MarketDataSnapshotFullRefresh (35=W)

Snapshot full refresh messages publish current quote depth only. Entries use MDEntryType (269)=0 for bid levels and 269=1 for offer levels; trade entries are sent on MarketDataIncrementalRefresh (35=X).

TAG	NAME	TYPE	REQ	DESCRIPTION
55	Symbol	string	Y	The symbol used to represent the instrument.
167	SecurityType	string	Y	Identifies the type of instrument. CSPOT — Crypto spot pairs
262	MDReqID	string	Y	The same value provided for the MDReqID on the MarketDataRequest message.
268	NoMDEntries	int	Y	Marks the beginning of a repeating group for market data entries while also indicating the number of market data entries in the group. Value must be > 0.
↳269	MDEntryType	char	Y	**Start of a new market data group entry.**Indicates the type of MD entry, values include: 0 — Bid (aggregated quantity interested in buying that is resting on the book at MDEntryPx) 1 — Offer (aggregated quantity interested in selling that is resting on the book at MDEntryPx)
↳278	MDEntryID	long	Y	A unique identifier used to reference the book level entry.
↳270	MDEntryPx	decimal128	Y	The price of the MD entry.
↳271	MDEntrySize	decimal128	Y	The size of the MD entry.
↳273	MDEntryTime	utc timestamp	Y	The timestamp representing when the book level was last updated.
↳1023	MDPriceLevel	int	Y	Indicates the level of price from the BBO with the BBO price as level 1.

MarketDataIncrementalRefresh (35=X)

Incremental refresh entries differ by MDEntryType (269):

• Quote updates (269=0 Bid or 269=1 Offer) carry book-level identifiers and price-level position. MDUpdateAction (279) can be 0 New, 1 Change, or 2 Delete.
• Trade updates (269=2) carry the trade match identifier in MDEntryID (278) and the aggressor side in AggressorSide (2446). This MDEntryID is the same value sent as TrdMatchID (880) on related trade ExecutionReport (35=8) messages from order entry and drop copy sessions. MDUpdateAction (279) is 1 Change and MDPriceLevel (1023) is not included.

TAG	NAME	TYPE	REQ	DESCRIPTION
262	MDReqID	string	Y	The same value provided for the MDReqID on the MarketDataRequest message.
268	NoMDEntries	int	Y	Marks the beginning of a repeating group for market data entries while also indicating the number of market data entries in the group. Value must be > 0.
↳279	MDUpdateAction	char	Y	**Start of a new market data group entry.**Indicates the type of update, supported values include: 0 — New 1 — Change 2 — Delete
↳269	MDEntryType	char	Y	Indicates the type of MD entry, values include: 0 — Bid (aggregated quantity interested in buying that is resting on the book at MDEntryPx) 1 — Offer (aggregated quantity interested in selling that is resting on the book at MDEntryPx) 2 — Trade (quantity and price of the most recent trade)
↳278	MDEntryID	string	Y	A unique identifier used to reference the entry. For quote updates this is the book level identifier; for trade updates this is the trade match identifier, matching TrdMatchID (880) on related trade execution reports sent over order entry and drop copy sessions.
↳270	MDEntryPx	decimal128	Y	The price of the MD entry.
↳271	MDEntrySize	decimal128	Y	The size of the MD entry.
↳273	MDEntryTime	utc timestamp	Y	The timestamp representing when the MD entry was generated.
↳55	Symbol	string	Y	The symbol used to represent the instrument.
↳167	SecurityType	string	Y	Identifies the type of instrument. CSPOT — Crypto spot pairs
↳1023	MDPriceLevel	int	C	Quote updates only. Indicates the level of price from the BBO with the BBO price as level 1. Not included on trades.
↳2446	AggressorSide	int	C	Trade updates only. Indicates what side was the aggressor causing the match to occur. 1 — Buy 2 — Sell