Coinbase Derivatives: Predictions FIX Market Data Messages

The Coinbase Derivatives: Predictions FIX Market Data API lets you subscribe to order books, public trades, trade volume, open interest, and instrument status changes over FIX 5.0 SP2.

Market Data Message Types

The Coinbase Derivatives: Predictions Market Data FIX API supports the following message types. For Logon, heartbeats, and sequence recovery, see Session.

Client Message Types

MarketDataRequest (35=V): Subscribes to or unsubscribes from market data.

System Message Types

MarketDataSnapshotFullRefresh (35=W): Initial order book snapshot.
MarketDataIncrementalRefresh (35=X): Order book changes, trades, trade volume, and open interest.
MarketDataRequestReject (35=Y): Rejection of a MarketDataRequest.
SecurityStatus (35=f): Instrument trading status changes.
BusinessMessageReject (35=j): Rejection of a malformed or unsupported application message.

Session Message Types

Logon (35=A), Logout (35=5), Heartbeat (35=0), TestRequest (35=1), ResendRequest (35=2), Reject (35=3), and SequenceReset (35=4). See Session.

Connection

Connect with TargetCompID (56) = CPMMD and your API key in SenderCompID (49). The API key must have the MARKET_DATA permission. You can open several sessions with one API key; see Multiple sessions per API key. Host and port are listed on the Coinbase Derivatives: Predictions Connectivity page. Header fields are on Header/Trailer. Logon, the Logon signature, heartbeats, and sequence recovery are on Session. SendingTime (52) and TransactTime (60) on messages you receive are UTC timestamps with microsecond precision.

MarketDataRequest (35=V)

Subscribes to or unsubscribes from market data for one or more instruments, or for all instruments.

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID for the request. Echoed on every response for the subscription and used to unsubscribe. Must be unique among active subscriptions on the session.
263	SubscriptionRequestType	Char	Y	`1` = Snapshot plus updates (subscribe). `2` = Disable previous snapshot plus updates (unsubscribe the `MDReqID`). Other values are rejected.
264	MarketDepth	Int	C	Order book depth. `0` = Full book. `1` = Top of book (best bid and best offer). `10` = Top 10 levels per side. Required when MDEntryType (269) includes `0` or `1`. Not allowed otherwise.
267	NoMDEntryTypes	NumInGroup	Y	Number of entry types requested. Must be at least `1`.
→ 269	MDEntryType	Char	Y	Data to subscribe to. `0` = Bid (YES bids). `1` = Offer (NO bids). `2` = Trade. `B` = Trade volume. `C` = Open interest. `L` = Instrument lifecycle (specific to Coinbase Derivatives: Predictions). See Entry types.
146	NoRelatedSym	NumInGroup	Y	Number of instruments. `0` = All instruments (send no Symbol entries). A value greater than `0` must equal the number of distinct `Symbol (55)` entries. `0` is not allowed when MDEntryType (269) includes `0` or `1`.
→ 55	Symbol	String	C	Instrument ticker or numeric instrument ID. Required when `146` is greater than `0`.

Entry types

MDEntryType (269)	Data	Scope	Response messages
`0` = Bid	Order book, YES bids	Per instrument only	One 35=W snapshot, then 35=X updates
`1` = Offer	Order book, NO bids, priced as the NO price	Per instrument only	One 35=W snapshot, then 35=X updates
`2` = Trade	Public trades	Per instrument or all instruments	35=X only
`B` = Trade volume	Total contracts traded	Per instrument or all instruments	35=X only
`C` = Open interest	Number of open contracts	Per instrument or all instruments	35=X only
`L` = Instrument lifecycle	Instrument trading status	Per instrument or all instruments	35=f only

Request instrument lifecycle (269=L) on its own MDReqID. A request that combines 269=L with any other entry type is rejected with 281=8.

Only order book requests (269=0 or 1) receive an initial 35=W snapshot. Trade, trade volume, open interest, and lifecycle subscriptions deliver only changes that occur after you subscribe.

A multi-instrument request is all-or-nothing: if any Symbol (55) does not resolve, or a snapshot cannot be delivered, the whole request is rejected and no subscription is created.
To unsubscribe, send 263=2 with the MDReqID of the subscription. All instruments subscribed under that MDReqID are removed.

MarketDataSnapshotFullRefresh (35=W)

Sent once per instrument when you subscribe to the order book (269=0 or 1). The snapshot contains only the requested sides, up to the requested MarketDepth (264).

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	`MDReqID` of the subscription.
55	Symbol	String	Y	Instrument ticker. If the instrument has no ticker, the numeric instrument ID.
48	SecurityID	String	Y	Numeric instrument ID.
268	NoMDEntries	NumInGroup	Y	Number of price levels in the snapshot. `0` when the requested sides are empty.
→ 269	MDEntryType	Char	Y	`0` = Bid (YES bid). `1` = Offer (NO bid).
→ 1023	MDPriceLevel	Int	Y	Rank of the level within its side. `1` = Best price.
→ 270	MDEntryPx	Price	Y	Price of the level, 3 decimal places. Offer (`269=1`) levels are expressed as the NO price, `1.000` minus the YES ask price.
→ 271	MDEntrySize	Qty	Y	Quantity resting at the level, 2 decimal places.
60	TransactTime	UTCTimestamp	Y	UTC time of the last event that changed the book, in microseconds. Sent once per message, not per entry.

MarketDataIncrementalRefresh (35=X)

Carries order book level changes, trades, trade volume, and open interest. Each message carries one kind of update: order book levels, one trade, or trade volume and open interest.

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	`MDReqID` of the subscription.
268	NoMDEntries	NumInGroup	Y	Number of entries in the message.
→ 279	MDUpdateAction	Char	Y	`0` = New. `1` = Change. `2` = Delete. Trade, trade volume, and open interest entries are always `0`.
→ 269	MDEntryType	Char	Y	`0` = Bid (YES bid). `1` = Offer (NO bid). `2` = Trade. `B` = Trade volume. `C` = Open interest.
→ 55	Symbol	String	Y	Instrument ticker. If the instrument has no ticker, the numeric instrument ID.
→ 48	SecurityID	String	Y	Numeric instrument ID.
→ 1023	MDPriceLevel	Int	C	Rank of the level within its side. `1` = Best price. Sent on order book entries with `279=0` or `279=1`. Not sent on `279=2`.
→ 270	MDEntryPx	Price	C	Price, 3 decimal places. Sent on order book and trade entries. Offer (`269=1`) levels are expressed as the NO price. Trade (`269=2`) prices are the YES price. Not sent on trade volume (`269=B`) or open interest (`269=C`).
→ 271	MDEntrySize	Qty	Y	2 decimal places. Order book: absolute quantity now resting at the level. `0.00` on `279=2`. Trade: contracts traded. Trade volume: cumulative contracts traded. Open interest: number of open contracts.
→ 278	MDEntryID	String	C	Trade ID. Sent on trade entries (`269=2`). Unique per execution; use it to deduplicate.
→ 2446	AggressorSide	Int	C	Side of the aggressor on trade entries (`269=2`). `0` = No aggressor (opening fill). `1` = Buy. `2` = Sell. Not sent when the side is unknown.
60	TransactTime	UTCTimestamp	Y	UTC time of the event, in microseconds. Sent once per message, not per entry.

Order book entries carry the absolute quantity at the price level. Replace your local level with MDEntrySize (271); do not add or subtract. 279=2 removes the level.

The gateway sends 279=2 only when a level’s resting quantity drops to zero. When better prices push a level out of your requested depth, no Delete is sent; truncate your local book to the requested depth.

Trade volume (269=B) and open interest (269=C) are sent with 279=0. At settlement, the message may carry only open interest (269=C), without trade volume.

MarketDataRequestReject (35=Y)

Sent when a MarketDataRequest is well-formed but cannot be accepted. No subscription is created.

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	`MDReqID` of the rejected request.
281	MDReqRejReason	Char	N	Reason for the rejection. See the values below.
58	Text	String	N	Human-readable reason. Distinguishes conditions that share one `281` value.

MDReqRejReason (281)	Sent when
`0` = Unknown symbol	A Symbol (55) does not resolve to an instrument, an unsubscribe (`263=2`) names an `MDReqID` with no active subscription, or the request could not be processed.
`1` = Duplicate MDReqID	The `MDReqID` is already active on this session.
`2` = Insufficient bandwidth	An order book snapshot could not be delivered. No subscription is created; retry the request.
`4` = Unsupported SubscriptionRequestType	SubscriptionRequestType (263) is not `1` or `2`.
`5` = Unsupported MarketDepth	MarketDepth (264) is missing or has an unsupported value on an order book request, or is present on a request without `269=0` or `269=1`.
`8` = Unsupported MDEntryType	An MDEntryType (269) is unknown or not supported, NoMDEntryTypes (267) is `0`, or `269=L` is combined with other entry types.
`9` = Unsupported scoping	NoRelatedSym (146) is missing or negative, the number of distinct Symbol (55) values does not equal `146`, or `146=0` is sent with `269=0` or `269=1`.

SecurityStatus (35=f)

Sent to instrument lifecycle subscriptions (269=L) when an instrument is created or its trading status or symbol changes. No snapshot is sent on subscribe.

Tag	Name	FIX Type	Req	Description
55	Symbol	String	Y	Instrument ticker. If the instrument has no ticker, the numeric instrument ID.
48	SecurityID	String	Y	Numeric instrument ID.
326	SecurityTradingStatus	Int	Y	Instrument trading status. See SecurityTradingStatus values.
60	TransactTime	UTCTimestamp	Y	UTC time of the status change, in microseconds.

SecurityTradingStatus values

Coinbase Derivatives: Predictions assigns its own meanings to SecurityTradingStatus (326). Interpret the values by this table, not by the standard FIX descriptions.

Value	Status	Description
`21`	Listed	Instrument is listed and not yet open for trading.
`17`	Open	Instrument is open for trading.
`2`	Pause	Trading is paused.
`18`	Closed	Trading is closed.
`27`	Determined	The outcome is determined.
`28`	Settled	The instrument is settled.
`26`	Amended	The instrument was amended.
`29`	Delisted	The instrument is delisted.

BusinessMessageReject (35=j)

Sent when an application message cannot be processed:

A MarketDataRequest that is structurally malformed, for example a missing required tag or an invalid value format.
Any application message type other than MarketDataRequest (35=V).

Tag	Name	FIX Type	Req	Description
45	RefSeqNum	SeqNum	N	MsgSeqNum (34) of the rejected message.
372	RefMsgType	String	Y	MsgType (35) of the rejected message.
379	BusinessRejectRefID	String	C	`MDReqID (262)` of a rejected `MarketDataRequest`, when it could be read.
380	BusinessRejectReason	Int	Y	`0` = Other. Sent for every BusinessMessageReject.
58	Text	String	N	Human-readable reason, for example the invalid tag, or `unsupported message type`.

Values specific to Coinbase Derivatives: Predictions

The gateway uses standard FIX 5.0 SP2 tags. The following values are specific to Coinbase Derivatives: Predictions.

Tag	Value	Description
MDEntryType (269)	`L` = Instrument lifecycle	Subscribes to instrument status changes, delivered as SecurityStatus (35=f).
SecurityTradingStatus (326)	`2`, `17`, `18`, `21`, `26`, `27`, `28`, `29`	Instrument trading statuses with meanings specific to Coinbase Derivatives: Predictions. See SecurityTradingStatus values.

REST API Overview

REST Endpoints

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WebSocket

Coinbase Derivatives: Predictions FIX Market Data Messages

Market Data Message Types

Connection

MarketDataRequest (35=V)

Entry types

MarketDataSnapshotFullRefresh (35=W)

MarketDataIncrementalRefresh (35=X)

MarketDataRequestReject (35=Y)

SecurityStatus (35=f)

SecurityTradingStatus values

BusinessMessageReject (35=j)

Values specific to Coinbase Derivatives: Predictions

​Market Data Message Types

​Connection

​MarketDataRequest (35=V)

​Entry types

​MarketDataSnapshotFullRefresh (35=W)

​MarketDataIncrementalRefresh (35=X)

​MarketDataRequestReject (35=Y)

​SecurityStatus (35=f)

​SecurityTradingStatus values

​BusinessMessageReject (35=j)

​Values specific to Coinbase Derivatives: Predictions

Market Data Message Types

Connection

MarketDataRequest (35=V)

Entry types

MarketDataSnapshotFullRefresh (35=W)

MarketDataIncrementalRefresh (35=X)

MarketDataRequestReject (35=Y)

SecurityStatus (35=f)

SecurityTradingStatus values

BusinessMessageReject (35=j)

Values specific to Coinbase Derivatives: Predictions