Exchange FIX Market Data Messages 5.0

The FIX market data API provides the following feeds with direct, low-latency, deterministic access:

L3 order-by-order updates
L2 aggregated top-10 price-level updates
L1 top-of-book updates

About this API:

Baseline: FIX 5.0 SP2 specification.
Environments: Production, Sandbox

Environment URLs

Production Snapshot Enabled Gateway: tcp+ssl://fix-md.exchange.coinbase.com:6121
Production Snapshot Disabled Gateway: tcp+ssl://fix-md.exchange.coinbase.com:6122
Sandbox Snapshot Enabled Gateway: tcp+ssl://fix-md.sandbox.exchange.coinbase.com:6121
Sandbox Snapshot Disabled Gateway: tcp+ssl://fix-md.sandbox.exchange.coinbase.com:6122

You can connect with the same authentication as our existing FIX order entry system. Connectivity is limited to a single connection per API key—Order Entry rate limits do not apply (connections, rps, burst rps).

FIX5 Resets Saturdays at 1PM ETFIX5 Order Entry and Market Data customers will be logged out every Saturday at 1PM ET (6PM UTC).

A standard header must be present at the start of every message in both directions.

Tag	FieldName	Type	Required	Notes
8	BeginString	String	Y	Must be `FIXT.1.1`
49	SenderCompID	String	Y	Client API key (on messages from the client)
56	TargetCompID	String	Y	Must be `Coinbase` (on messages from client)
52	SendingTime	UTCTimestamp	Y	UTC time down to millisecond resolution in the format `YYYYMMDD-HH:MM:SS.sss`

Logon (35=A)

Tag	FieldName	Type	Required	Notes
34	MsgSeqNum	Int	Y	Must be `1`
98	EncryptMethod	Int	Y	Must be `0` (None)
108	HeartBtInt	Int	Y	Heartbeat interval is capped at 300s, defaults to 10s
141	ResetSeqNumFlag	Boolean	Y	Resets the sequence number. Can be `Y`/`N`
553	Username	String	Y	Client API Key
554	Password	String	Y	Client API passphrase
95	RawDataLength	Int	Y	Number of bytes in RawData field
96	RawData	String	Y	Client message signature
1137	DefaultApplVerID	String	Y	Must be `9` (FIX 5.0 SP2)

Market Data Request (35=V)

Clients should use this message to subscribe to or unsubscribe from market data for one or more symbols.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
263	SubscriptionRequestType	Int	Y	1=Subscribe 2=Unsubscribe
264	MarketDepth	Int	N	Omitted or 0=L3 order-by-order 10=L2 aggregated top-10 price levels per side 1=L1 top-of-book
146	NoRelatedSym	Int	Y	How many symbols are in the request
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data

Market Data Request Reject (35=Y)

This message is sent to clients to reject an invalid market data request.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
281	MDReqRejReason	Char	Y	0=Unknown symbol 1=Duplicate MDReqID 3=Unsupported MarketDepth 7=Other
58	Text	String	N	Error description

Security Status (35=f)

This message is streamed to clients together with the incremental updates for subscribed symbols and reflects changes in the trading status, tick size, or other attributes of an instrument.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
83	RptSeq	Long	Y	Public sequence number by symbol
55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
1682	MDSecurityTradingStatus	String	Y	`trading_disabled` `cancel_only` `post_only` `limit_only` `full_trading` `auction_mode`
969	MinPriceIncrement	Decimal	Y	Minimum increment for quote currency (e.g., 0.01 USD for BTC-USD)
29003	MinSizeIncrement	Decimal	Y	Minimum increment for base currency (e.g., 0.00000001 BTC for BTC-USD)

Market Data Incremental Refresh (35=X)

L3 order-by-order updates

Coinbase Exchange sends L3 order-by-order updates so clients can build a full book of all open orders, plus acknowledgements of orders by the matching engine with the order’s client order ID (ClOrdID) before matching. This helps clients immediately identify which orders and trades in the book (both aggressive and passive) are theirs, as well as gain advance knowledge of orders that are pending processing by the matching engine. These acks correspond to the Received message in the web-socket feed.

When MDEntryID is not present, the message is the acknowledgement of an order prior to matching.
When MDEntryID is present, the message should be used for book-building. You can ignore Change messages with an MDEntryID for which you never received a New message.

L2 aggregated top-10 price-level updates

L2 updates represent aggregated top-10 price levels per side.

L1 top-of-book updates

L1 updates represent the current best bid or best offer.

When book-building, Change messages received before a corresponding New message can be ignored. Users may occasionally receive Change messages with MDUpdateAction=1 and an MDEntryID with Text=CHANGE_REASON_STP when the quantity on the original received order was reduced due to Self-trade Prevention (prior to the order being placed on the order book).

To maintain an up-to-date L3 order book when subscribing to the Snapshot Disabled Gateway:

Send a SubscriptionRequestType=1 Market Data Request (35=V) message for the product(s) of interest.
Queue any Market Data Incremental Refresh (35=X) messages received over the FIX session.
Make a REST request for the order book snapshot from the REST API.
Playback queued messages, discarding sequence numbers before or equal to the snapshot sequence number.
Apply playback messages to the snapshot as needed.
After playback is complete, apply real-time Market Data Incremental Refresh (35=X) messages as they arrive.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
268	NoMDEntries	Int	Y	Always `1`
=>279	MDUpdateAction	Char	Y	0=New 1=Change 2=Delete
=>269	MDEntryType	Char	Y	0=Bid 1=Offer 2=Trade
=>278	MDEntryID	String	N	If present, this ID is the order ID that should be used for book-building If not present, this message is the initial ack and should not be used to build the book Omitted for L2/L1.
=>83	RptSeq	Long	N	Public sequence number by symbol Omitted for L2/L1.
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
=>270	MDEntryPx	Decimal	Y	The price of the order or price level
=>271	MDEntrySize	Decimal	Y	The quantity remaining of the order or aggregate quantity at the price level. Omitted on Delete messages.
=>60	TransactTime	UTCTimestamp	N	The engine timestamp of the order in microseconds Omitted for L2/L1.
=>40	OrdType	Char	N	Sent only if the message represents the initial ack of an order: 1=Market 2=Limit Omitted for L2/L1.
=>11	ClOrdID	String	N	The client order ID on the initial ack of an order Omitted for L2/L1.
=>37	OrderID	String	N	The exchange order ID on the initial ack of an order OR If MDEntryType=2, then this is the aggressive Order ID Omitted for L2/L1.
=>58	Text	String	N	If MDUpdateAction=1, then the possible values are: `CHANGE_REASON_STP` `CHANGE_REASON_MODIFY_ORDER` `CHANGE_REASON_REMAINDER_AFTER_MODIFICATION` If MDUpdateAction=2, then the possible values are: `CANCELED` `FILLED` Omitted for L2/L1.
=>5797	AggressorSide	Int	N	Sent only on trades MDEntryType=2 1=Buy 2=Sell Omitted for L2/L1.
=>29004	Funds	Decimal	N	Market orders may have an optional funds field which indicates how much quote currency is used to buy or sell Omitted for L2/L1.

Market Data Snapshot Full Refresh (35=W)

Only Available On Snapshot Enabled GatewayThe Market Data Snapshot Full Refresh (35=W) message is only supported on the Snapshot Enabled Gateway.

This message provides a snapshot for the feed level requested by MarketDepth, including entries that existed before the client subscribed to incremental market data. A snapshot is requested automatically when a successful Market Data Request from the client is processed for a given symbol.

L3 order-by-order snapshots

For L3, clients should queue up incremental updates and process only the incremental updates with sequence number RptSeq greater than the RptSeq in the initial Market Data Snapshot Full Refresh (35=W) message.

L2 aggregated top-10 price-level snapshots

L2 snapshots contain up to 10 price levels per side. Incremental updates are guaranteed to be sent after the snapshot and guaranteed to be newer than the snapshot.

L1 top-of-book snapshots

L1 snapshots contain the current best bid and best offer. Incremental updates are guaranteed to be sent after the snapshot and guaranteed to be newer than the snapshot. If clients are already subscribed to a symbol and send another Market Data Request to subscribe, they will not receive a new snapshot for that symbol. Clients must unsubscribe and subscribe to the market data again for a given symbol to receive a new snapshot.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
83	RptSeq	Long	N	Public sequence number for the final update in the snapshot by symbol Omitted for L2/L1.
893	LastFragment	Char	Y	Is this the last message in the snapshot for a given symbol Y=Yes N=No
55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
268	NoMDEntries	Int	Y	Number of market data entries in this snapshot message
1682	MDSecurityTradingStatus	String	N	`trading_disabled` `cancel_only` `post_only` `limit_only` `full_trading` `auction_mode` Omitted for L2/L1.
=>269	MDEntryType	Char	Y	0=Bid 1=Offer
=>278	MDEntryID	String	N	The order ID that should be added to the book Omitted for L2/L1.
=>270	MDEntryPx	Decimal	Y	The price of the order or price level
=>271	MDEntrySize	Decimal	Y	The quantity remaining of the order or aggregate quantity at the price level

Security List Request (35=x)

This message is sent by clients to request a full list of instruments that Coinbase Exchange supports together with each instrument’s trading status, tick size, minimum order quantity, and any other descriptive fields.

Tag	FieldName	Type	Required	Notes
320	SecurityReqID	String	Y	Client identifier for the request
559	SecurityListRequestType	Int	Y	Always 4=All Securities

Security List (35=y)

Instrument definition messages are returned in response to a client’s Security List Request.

Tag	FieldName	Type	Required	Notes
320	SecurityReqID	String	Y	Client identifier for the request
322	SecurityResponseID	String	Y	Response ID for the Security List Request
560	SecurityRequestResult	Int	Y	0=Valid Request 1=Invalid Request
893	LastFragment	Char	Y	Is this the last instrument definition message in response to the original request Y=Yes N=No
393	TotNoRelatedSym	Int	Y	Total number of symbols that will be sent cumulatively
146	NoRelatedSym	Int	Y	How many symbols are in this FIX message
1682	MDSecurityTradingStatus	String	Y	`trading_disabled` `cancel_only` `post_only` `limit_only` `full_trading` `auction_mode`
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
=>15	Currency	String	Y	The quote currency for the symbol (e.g., USD if 55=BTC-USD)
=>562	MinTradeVol	Decimal	Y	The minimum notional amount in quote currency terms for an order
=>969	MinPriceIncrement	Decimal	Y	Minimum increment for quote currency (e.g., 0.01 USD for BTC-USD)
=>29003	MinSizeIncrement	Decimal	Y	Minimum increment for base currency (e.g., 0.00000001 BTC for BTC-USD)

REST API

FIX API

Websocket Feed

Header

Logon (35=A)

Market Data Request (35=V)

Market Data Request Reject (35=Y)

Security Status (35=f)

Market Data Incremental Refresh (35=X)

L3 order-by-order updates

L2 aggregated top-10 price-level updates

L1 top-of-book updates

Market Data Snapshot Full Refresh (35=W)

L3 order-by-order snapshots

L2 aggregated top-10 price-level snapshots

L1 top-of-book snapshots

Security List Request (35=x)

Security List (35=y)

​Header

​Logon (35=A)

​Market Data Request (35=V)

​Market Data Request Reject (35=Y)

​Security Status (35=f)

​Market Data Incremental Refresh (35=X)

​L3 order-by-order updates

​L2 aggregated top-10 price-level updates

​L1 top-of-book updates

​Market Data Snapshot Full Refresh (35=W)

​L3 order-by-order snapshots

​L2 aggregated top-10 price-level snapshots

​L1 top-of-book snapshots

​Security List Request (35=x)

​Security List (35=y)

Header

Logon (35=A)

Market Data Request (35=V)

Market Data Request Reject (35=Y)

Security Status (35=f)

Market Data Incremental Refresh (35=X)

L3 order-by-order updates

L2 aggregated top-10 price-level updates

L1 top-of-book updates

Market Data Snapshot Full Refresh (35=W)

L3 order-by-order snapshots

L2 aggregated top-10 price-level snapshots

L1 top-of-book snapshots

Security List Request (35=x)

Security List (35=y)