Derivatives FIX Market Data Messages

The Coinbase Derivatives Exchange (CDE) FIX Market Data API allows market participants to receive market information including orders, trades, market state changes and instrument definitions.

Market Data Message Types

Client and server use the following administrative messages:

MarketDataRequest (35=V):
MarketDataRequestReject (35=Y):
MarketDataSnapshotFullRefresh (35=W):
MarketDataIncrementalRefresh (35=X):

MarketDataRequest (35=V)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
263	SubscriptionRequestType	Int	Y	Subscription type. `1` = Subscribe to CLOB order book, regular trades, and market statistics (an initial 35=W snapshot is sent). `2` = Unsubscribe an existing subscription. `3` = Subscribe to block trade events and block trade session volume (delivered via 35=X). See SubscriptionRequestType (263) code set.
146	NoRelatedSym	NumInGroup	N	Number of securities to subscribe to. If not specified, subscribes to all securities
→55	Symbol	String	N	Ticker symbol.
→167	SecurityType	String	N	See SecurityType (167) code set.

The futures subscription (263=1) and block trade subscription (263=3) are independent and can be active at the same time on a single FIX session. Send a separate MarketDataRequest for each, and unsubscribe either one with 263=2.

Block Trades

To receive block trade market data, subscribe with SubscriptionRequestType = 3 (UPDATES_ON_BLOCKS) on a MarketDataRequest (35=V). This subscription delivers all block trade activity via MarketDataIncrementalRefresh (35=X). It does not return a CLOB order book snapshot; if a block trade session volume already exists, it is included in the initial MarketDataSnapshotFullRefresh (35=W), and all subsequent updates arrive on 35=X. Regular CLOB trades are tagged TrdType = 0 (REGULAR_TRADE) and block trades are tagged TrdType = 1 (BLOCK_TRADE) within the NoMDEntries group.

Regular trade bust notifications (a 279=2 Delete on the 269=2 Trade entry) are broadcast to all market data subscribers.

Block Trade Timestamps

For block trade market data messages (35=X and 35=W):

Tag	Name	Behavior
60	TransactTime	Reflects the cluster time when the market data message is published (current dissemination time), not the negotiated trade time.
5796	TradingReferenceDate	Reflects the trading date of the original negotiated block trade.

MarketDataRequestReject (35=Y)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
281	MDReqRejReason	String	N	Reason for rejection of MarketDataRequest (as a numerical value).
58	Text	String	N	Reason for rejection of MarketDataRequest (as text).

MarketDataSnapshotFullRefresh (35=W)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
55	Symbol	String	Y	Ticker symbol.
167	SecurityType	String	Y	See SecurityType (167) code set.
762	SecuritySubType	String	C	Represents spread strategy if applicable. See SecuritySubType (762) code set.
268	NoMDEntries	NumInGroup	Y	Number of MDEntry groups included in a Market Data message.
→ 269	MDEntryType	Int	Y	See MDEntryType (269) code set.
→ 278	MDEntryID	String	N	Unique exchange ID representing the instrument, session, and entry type. Active entries with duplicate values should be replaced (delete is not allowed): MDUpdateAction=New/Change (`279= 0/1`): Replace active entry with the same MDEntryID (278)
→ 270	MDEntryPx	Price	N	All-in rate
→ 271	MDEntrySize	Qty	N	Entry size/quantity
→ 110	MinQty	Qty	N	Minimum fill size associated with the amount.
→ 60	TransactTime	UTCTimestamp(24)	Y	GMT time of event, in microseconds
→ 272	MDEntryDate	UTCDateOnly	C	Date of MDEntryType (269) = Funding Time (t) message
→ 273	MDEntryTime	UTCTimeOnly	C	Time of MDEntryType (269) = Funding Time (t) message
→ 286	OpenCloseSettllFlag	Int	C	Represents Open Price entry: 0=Daily Open Price 5=Indicative Opening Price (IOP)
→ 5796	TradingReferenceDate	LocalMktDate	C	Usually the current trading date, except for open interest and closing price (which is usually previous trading date). Value corresponds to MDEntryType (269).

MarketDataIncrementalRefresh (35=X)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
266	AggregatedBook	Char	C	Represents whether or not book entries are aggregated.
268	NoMDEntries	NumInGroup	Y	Repeating group. Number of entries in the Market Data message.
→279	MDUpdateAction	Int	Y	Represents type of Market Data update action. `279=0` (New), `279=1` (Change), `279=2` (Delete).
→ 269	MDEntryType	Int	Y	See MDEntryType (269) code set.
→ 278	MDEntryID	String	N	Order ID assigned by the exchange that is unique per instrument, session, and entry type. Active entries with duplicate values should be replaced or deleted: MDUpdateAction = New/Change (`279=0/1`): Replace active entry with the same MDEntryID (278) MDUpdateAction = Delete (`279=2`): Delete active entry with same MDEntryID
→ 55	Symbol	String	Y	Ticker symbol.
→ 167	SecurityType	String	Y	See SecurityType (167) code set.
→ 762	SecuritySubType	String	C	See SecuritySubType (762) code set values. Represents spread strategy if applicable
→ 270	MDEntryPx	Price	N	All-in rate. Required when MDUpdateAction = New (`279=0`) or Change (`279=1`)
→ 271	MDEntrySize	Qty	N	Entry size/quantity. Required when MDUpdateAction = New (`279=0`) or Change (`279=1`)
→ 110	MinQty	Qty	N	Minimum fill size associated with the amount.
→ 60	TransactTime	UTCTimestamp(24)	Y	GMT time of event, in microseconds
→ 272	MDEntryDate	UTCDateOnly	C	Date of MDEntryType (269) = Funding Time (t) message
→ 273	MDEntryTime	UTCTimeOnly	C	Time of MDEntryType (269) = Funding Time (t) message
→ 286	OpenCloseSettllFlag	Int	C	Flag describing Open Price entry . `0`=Daily Open Price. `5`=Indicative Opening Price (IOP)
→ 5796	TradingReferenceDate	LocalMktDate	C	Current trading date. Value corresponds to MDEntryType (269) code set.
→ 5797	AggressorSide	Int	C	Represents the aggressor side in a transaction: `0`=No Aggressor `1`=Buy `2`=Sell `AggressorSide` is sent for MDEntryType = “Trade” (`269=2`)
→ 828	TrdType	Int	C	Trade type, sent on trade entries (`269=2`). `0` = Regular Trade (CLOB), `1` = Block Trade. See TrdType (828) code set.

REST API Overview

REST Endpoints

FIX

SBE

UDP

MarketDataRequest (35=V)

Block Trades

MarketDataRequestReject (35=Y)

MarketDataSnapshotFullRefresh (35=W)

MarketDataIncrementalRefresh (35=X)

​MarketDataRequest (35=V)

​Block Trades

​MarketDataRequestReject (35=Y)

​MarketDataSnapshotFullRefresh (35=W)

​MarketDataIncrementalRefresh (35=X)

MarketDataRequest (35=V)

Block Trades

MarketDataRequestReject (35=Y)

MarketDataSnapshotFullRefresh (35=W)

MarketDataIncrementalRefresh (35=X)