Some systems allow the transmission of real-time quote, order, trade, trade volume, open interest, and/or other price information on a subscription basis. A Market Data Request is a general request for market data on specific securities or forex quotes.
A successful Market Data Request returns one or more Market Data messages containing one or more Market Data Entries. Each Market Data Entry is a Bid, an Offer, a Trade associated with a security, the opening, closing, or settlement price of a security, the buyer or seller imbalance for a security, the value of an index, the trading session high price, low price, or VWAP, or the trade volume or open interest in a security. Market Data Entries usually have a price and a quantity associated with them. For example, in an order book environment, requesting just the top of book will result in only two active Market Data Entries at a time one for the best Bid and one for the best Offer. For a full book, the Bid and Offer side may each have several Market Data Entries. Each Market Data Entry might represent an aggregate for each price tier, and only one Market Data Entry per side per price would be active at a time. This is referred to as an Aggregated book. When several Market Data Entries at one price tier could each represent a broker, Market Maker, ECN or Exchanges quote in a security, or individual orders in a book, this is a Non-Aggregated book. Alternately, a Market Data Entry could represent a completed trade in a security, the value of an index, the opening, closing, or settlement price of an instrument, the trading session high price, low price, or VWAP, or the volume traded or open interest in a security.
If the message is used for disseminating imbalance information, conventions are as follows:
MDEntrySize <271> represents the size of the imbalance and is always a positive integer.
A TradeCondition <277> of either P or Q is required to indicate the side of the imbalance.
Markets may wish to indicate the presence of an imbalance but not the actual size. In this case, MDEntrySize <271> need not be specified.
One specifies whether a list of trades, a 1-sided or 2-sided book, index, opening, closing, settlement, high, low and VWAP prices and imbalance volumes should be returned by using the NoMDEntryTypes <267> field and MDEntryType <269> repeating group to list all MDEntryType <269> values that should be returned.
Types of Market Data Requests
1. A market data feed may consist of both Market Data Snapshot Full Refresh messages and Market Data Incremental Refresh messages.
2. The Market Data Request message is used to request a static book snapshot or subscribe to a stream of snapshots and updates.
3. Market Data Snapshot Full Refresh should be used to provide a snapshot of the market when Snapshot is requested using SubscriptionRequestType <263> (263). Use of Market Data Incremental Refresh is being discouraged for this purpose.
4. Market Data Snapshot Full Refresh will be used to provide initial snapshot when Snapshot + Updates are requested using SubscriptionRequestType <263> (263)
5. The Market Data Request scenarios that will be supported are as follows: