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