MarketDataRequest

V

Market Data

√

-

MarketDataFullRefresh

W

Market Data

-

√

MarketDataIncrementalRefresh

X

Market Data

-

√

MarketDataRequestReject

Y

Market Data

-

√

NewOrderSingle

D

Order

√

-

ExecutionReport

8

Order

-

√

OrderCancelRequest

F

Order

√

-

OrderCancelReject

9

Order

-

√

OrderStatusRequest

H

Order

√

-

OrderMassCancelReport

r

Order

-

√

BusinessMessageReject

j

All

√

√

128

DeliverToCompId

N

4.4

Used to target a specific LP (Pass-Through) for this Market Data Request.

262

MDReqID

Y

4.4

Unique identifier for the MarketDataRequest. Should be unique for at least 1 week.

263

SubscriptionRequestType

Y

4.4

1 = Subscribe

2 = Unsubscribe (MDReqID must match original subscription)

265

MDUpdateType

C

4.4

Required when SubscriptionRequestType=1.
0 = Snapshot Message

1 = Incremental Update Messages - only supported on Sweepable (1300=D) segment

12003

UpdateInterval

N

Custom (Int)

Requested frequency of updates in milliseconds.

Valid Values:

0-1000

1021

MDBookType

C

5.0*

Required when SubscriptionRequestType=1.
2 – PriceDepth (sweepable)

1104 – MultiLevelPriceDepth (SIngle TIcket, custom).

264

MarketDepth

Y

4.4

For Unsubscribe, the value will be ignored by EBS.
Number of price levels requested.

0 = Full book

PriceDepth (Sweepable) – All prices

MultiLevelPriceDepth (Single Ticket) –All prices at each LP Level.
1 = Top of book

PriceDepth (Sweepable) – Best price. (Not supported for MDUpdateType of 1, Incremental.)

MultiLevelPriceDepth (Single Ticket) –Best price at each LP Level.
n = number of price levels

PriceDepth (Sweepable) – Not supported for MDUpdateType of 1, Incremental.

MultiLevelPriceDepth (Single Ticket) - Number of price entries at each LP Level.

266

AggregatedBook

N

4.4

Specifies whether book entries should be aggregated.
Y = Market by Price –MDUpdateType of Snapshot. One entry per side per price. Amounts of multiple quotes at the same price are aggregated together in a single MDEntry. No attribution possible.
N = Market by Order - Each MDEntry reflects a single quote of a single LP. Attribution may be provided.
Default value is N.
If MDBookType = MultiLevelPriceDepth (1104) and AggregatedBook is Y, the request will be rejected.

MDReqGrp

267

NoMDEntryTypes

Y

4.4

For Subscribe:Set to '2' (All requests must be two-sided price requests)
For Unsubscribe, the value will be ignored by EBS.

→

269

MDEntryType

Y

4.4

For Unsubscribe, the value will be ignored.

0 = Bid

1 = Offer

END – MDReqGrp

InstrmtMDReqGrp - All values in this group will be ignored on unsubscribe requests.

146

NoRelatedSym

Y

4.4

Set to '1' – each ccy pair must be requested separately.

→

55

Symbol

Y

4.4

The currency pair requested, in CCY1/CCY2 format, where CCY1 and CCY2 are the ISO codes of the base and local currencies for which a price is requested, e.g. EUR/USD.

→

167

SecurityType

C

5.0

Instrument type. Required for subscribing. Valid values:

FXSPOT

→

1300

MarketSegment ID

C

5.0

Required for subscribing and ignored for unsubscribing.
EBS Market Segment of this request.

D = Sweepable

DF = Single Ticket

→

63

SettlType

N

5.0

Instrument tenor. Valid values are listed in the Tenor and Settlement Dates section.

→

271

MDEntrySize

N

4.4

For Sweepable pricing, this is the cumulative notional depth you would like to see. EBS will return the minimum number of levels required to achieve your desired depth. Cannot be used in conjunction with MarketDepth(264)>0.
For Single Ticket pricing this is the ceiling notional depth you would like to see. EBS will return all volume levels at or below the depth specified.

Specified value must be between 1000000 and 100000000 (1m and 100m).

END - InstrmtMDReqGrp

262

MDReqID

Y

4.4

Unique identifier for the initial MarketDataRequest. Echoes back the value on the MDRequest message.

1021

MDBookType

Y

4.4*

Echoed from the request.

2 – PriceDepth (Sweepable)

1104 – MultiLevelPriceDepth (Single Ticket, custom)

55

Symbol

Y

4.4

Currency pair in CCY1/CCY2 format.

1300

MarketSegmentID

Y

5.0

EBS Market Segment of this snapshot.

D = Sweepable

DF = Single Ticket

167

SecurityType

Y

5.0

Instrument type. Valid values:

FXSPOT

63

SettlType

C

5.0

Instrument tenor. Valid values are listed in the Tenor and Settlement Dates section.

64

SettlDate

N

4.4

Standard FIX field - custom on this message.

MDFullGrp

268

NoMDEntries

Y

4.4

Number of entries in the MarketData message.

→

269

MDEntryType

Y

5.0

0 = Bid

1 = Offer

J = Empty Book - Indicates no bids or offers.

→

278

MDEntryID

N

5.0

Used to reference the MD entry for updates and deletions. Will be zero for an empty book entry.
Will be unique among currently active non-empty book entries for this MDReqID.

Not sent on SnapshotFullRefresh (35=W) messages.

→

270

MDEntryPx

C

4.4

Price of the market data entry.
For MDBookType of MultiLevelPriceDepth, there may be multiple entries with the same price when multiple LPs provide the same price.
Not provided if MDEntryType = EmptyBook (J).

→

271

MDEntrySize

C

4.4

LP's quantity available at this price.

Not provided if MDEntryType = EmptyBook (J).

→

282

MDEntryOriginator

N

4.4

Indicates the LP account ID associated with the MDEntry.
Relevant only for non-aggregated prices.

Not provided if MDEntryType = EmptyBook (J).

END - MDFullGrp

262

MDReqID

Y

4.4

Identifier of the Market Data stream.

Echoes back the value on the MDRequest message.

1021

MDBookType

Y

4.4*

Describes the characteristics of prices provided in this message. Echoed from the request.
2 – PriceDepth (sweepable)

1104 – MultiLevelPriceDepth (Custom)

1300

MarketSegmentID

C

5.0

EBS Market Segment of this snapshot.

D = Direct

DF = Direct – Single Ticket – Only for MultiLevelPriceDepth book type.

MDIncGrp

268

NoMDEntries

Y

4.4

Number of entries in the MarketData message. Must be ≥ 1

→

279

MDUpdateAction

Y

4.4

0 = New

1 = Change

2 = Delete
Will be New (0) when MDEntryType = Empty Book (J)

Will be Change (1) whenever MDEntryPx, or MDEntrySize changes.

→

269

MDEntryType

C

5.0

0 = Bid

1 = Offer

J = Empty Book - Indicates no bids or offers.
Provided when MDUpdateAction = New.

→

278

MDEntryID

Y

4.4

If MDUpdateAction = New, will be unique among currently active entries for this MDReqID.
If MDUpdateAction = Change, will be the same as a previous MDEntryID.
If MDUpdateAction = Delete, will be the same as a previous MDEntryID.

→

55

Symbol

C

4.4

Currency pair in CCY1/CCY2 format.
Provided when MDUpdateAction = New. Not provided when MDUpdateAction = Change or Delete.

→

167

SecurityType

C

5.0

Instrument type. Valid values:

FXSPOT

Provided when MDUpdateAction = New.

Not provided when MDUpdateAction = Change or Delete.

→

63

SettlType

C

5.0

Instrument tenor. Not provided on empty book messages. Valid values are listed in the Tenor and Settlement Dates section.

→

64

SettlDate

N

4.4*

The settlement date of the instrument.
May be provided when MDUpdateAction = New.

May be provided when MDUpdateAction = Change

Not provided when MDUpdateAction = Delete.
Custom field (outside of component)

→

270

MDEntryPx

C

4.4

Price of the market data entry.
For MDBookType of MultiLevelPriceDepth, there may be multiple entries with the same price when multiple LPs provide the same price.
Provided depending on value of MDUpdateAction:

If MDUpdateAction = New and MDEntryType ≠ Empty Book, always provided.

If MDUpdateAction = Change, provided for change of this field.

If MDUpdateAction = Delete, not present.

If MDEntryType = Empty Book, not present.

→

271

MDEntrySize

C

4.4

LP's quantity available at this price.
Provided depending on value of MDUpdateAction.
If MDUpdateAction = New and MDEntryType ≠ Empty Book, always provided.

If MDUpdateAction = Change, provided.

If MDUpdateAction = Delete, not present

If MDEntryType = Empty Book, not present.

→

282

MDEntryOriginator

N

4.4

Indicates the LP account ID associated with the MDEntry. Relevant only for non-aggregated prices. Provided if MDUpdateAction = New and MDEntryType ≠ Empty Book.

END – MDIncGrp

262

MDReqID

Y

4.4

Market Data request id which is being rejected.

281

MDReqRejReason

N

4.4*

Rejection reason code:
0 – UnknownSymbol

1 – DuplicateMDReqID

2 – InsufficientBandwidth

3 – InsufficientPermissions

4 – UnsupportedSubscriptionRequestType

5 – UnsupportedMarketDepth

6 – UnsupportedMDUpdateType

8 – UnsupportedMDEntryType

i - Invalid UpdateFrequency

x – Market Data Unavailable (Custom)

y – Throughput Violation (Custom)

z – Other – Reason to be provided in Text field (Custom)

58

Text

C

5.0

Textual description of the reason for the market data request rejection.

128

DeliverToCompId

N

4.4

Used to target a specific LP (Pass-Through). Only supported when sending 59=3 (IOC) or 4 (FOK).

11

ClOrdID

Y

4.4

A unique identifier for the order assigned by the client. This should be unique for at least a week.

1

Account

Y

4.4

Trader's floor code.

55

Symbol

Y

4.4

Currency pair to be traded, in CCY1/CCY2 format.

167

SecurityType

Y

5.0

Valid Values:

FXSPOT

1300

MarketSegmentID

Y

5.0

EBS Market Segment of this order:

D = Sweepable

DF = Single Ticket

63

SettlType

N

4.4

Instrument tenor. Valid values are listed in the Tenor and Settlement Dates section

64

SettlDate

N

4.4

Settlement date of the instrument (value date). Valid values are listed in the Tenor and Settlement Dates section.

54

Side

Y

4.4

Trading intention from client perspective.

1 = Client Buys

2 = Client Sells

40

OrdType

Y

4.4

Type of order:

2 = Limit

59

TimeInForce

N

5.0

Specifies how long the order will remain in effect.
0 = Day

1 = Good Till Cancel (GTC)

3 = Immediate or Cancel (IOC)

Default value for Sweepable (MarketSegmentID=D). Not supported on Single Ticket (MarketSegmentID=DF)

4 = Fill or Kill.