A dedicated Market Data FIX session supports Executable Streaming Prices (ESP) trading based on the FIX Market Data messages. Market Data (ESP) includes the following:

Market Data Overview

A separate MarketDataRequest subscription message will be sent for each Symbol(55). Optionally MDEntrySize(271) may be specified (only one size per message) on the MarketDataRequest(35=V) message to request streaming of market data for specific sizes, based on the Maker configuration settings. If sizes have not been configured, the MDEntrySize(271) is omitted from the subscription request, and the Maker will dynamically determine the sizes for which Market Data is published. Dynamic sizes are preferred where possible.

EBS Maker API supports Maker execution methods of Sweepable or Single Ticket, both of which were described in the Client Settings section. If a Maker supports multiple execution methods there will be separate segments for each. The association of a segment and the Maker quoting style will be set via configuration.

All Market Data should be provided using Snapshot updates with a two-sided view of the market unless it is the intention to only show one side of the book.

Market Data Snapshot Flow

The entire book is provided in each update, in the form of a MarketDataSnapshot (35=W) message. To request Snapshot pricing EBS sets MDUpdateType (265)=Snapshot(0) on the MarketDataRequest (35=V).

Market Data Reject Flow

In the event a Market Data Request cannot be processed a reject may be sent together with an explanation.

This may also be used to force a new subscription when the trade date rolls over. The EBS system will cancel the instrument's current MD subscription and reissue a new market data subscription.