Prime FIX 5.0 Market Data

Prime FIX Market Data provides level 2 market data on FIX 5.0 for Prime Trading Spot instruments. This includes OHLCV (Open, High, Low, Close, Volume), bids and offers, and trade history data. This requires a separate API key from the API key used for FIX Order Entry.

Market data messages include the standard header and trailer fields.

Getting started

To get started quickly with FIX Market Data, take a look at the sample FIX Market Data Go reference application on Coinbase Samples.

Supported message types

The Prime FIX Market Data API supports the following message types: Client to server:

MarketDataRequest (V)

Server to client:

MarketDataRequestReject (Y)
MarketDataSnapshotFullRefresh (W)
MarketDataIncrementalRefresh (X)
SecurityStatus (f)

MarketDataRequest (V)

Sent by the client when placing a market data request.

Tag	Req	Name	Description
262	Y	MDReqID	Client unique identifier for market data request
263	Y	SubscriptionRequestType	`0` = Snapshot only `1` = Snapshot+Updates (Subscribe) `2` = Disable previous Snapshot+Update (Unsubscribe)
264	Y	MarketDepth	`0` = Full depth (L2) `1` = Top of book `N>1` = Report best N price tiers of data
265	N	MDUpdateType	Required if SubscriptionRequestType <263> = 1: `0` = Snapshot+Updates `1` = Updates only
267	Y	NoMDEntryTypes	Number of MDEntryType <269> fields requested
↳269	Y	MDEntryType	`0` = Bid `1` = Offer `2` = Trade `4` = Open `5` = Close `7` = High `8` = Low `B` = Volume
146	Y	NoRelatedSym	Number of Symbols <55> requested
↳55	Y	Symbol	Repeating group of symbols for which the client requests market data

MarketDataRequestReject (Y)

Sent by the server in case the MarketDataRequest (V) fails.

Tag	Req	Name	Description
262	Y	MDReqID	Client unique identifier for market data request
281	Y	MDReqRejReason	See MDReqRejReason table
58	N	Text	User friendly error message

MDReqRejReason

Possible values for MDReqRejReason (see MarketDataRequestReject (Y)).

Value	Description
0	Unknown symbol
1	Duplicate MDReqID
2	Insufficient bandwidth
3	Insufficient permission
4	Invalid SubscriptionRequestType <263>
5	Invalid MarketDepth <264>
6	Unsupported MDUpdateType <267>
7	Other
8	Unsupported MDEntryType <269>

MarketDataSnapshotFullRefresh (W)

Sent by the server to view a new stream of market data information.

Tag	Req	Name	Description
262	Y	MDReqID	Client unique identifier for market data request
55	Y	Symbol	The trading pair from MarketDataRequest
268	Y	NoMDEntries	Number of market data updates in snapshot
911	Y	TotNumReports	Total number of reports being sent in response to a single request
963	Y	ReportID	Unique identifier of the report itself
↳269	Y	MDEntryType	`0` = Bid `1` = Offer `2` = Trade `4` = Open `5` = Close `7` = High `8` = Low `B` = Volume
↳278	Y	MDEntryID	Unique identifier for this market data entry
↳83	Y	RptSeq	Public sequence number for each entry in the snapshot by symbol
↳270	N	MDEntryPx	Price of the market data entry (Not present if MDEntryType = B)
↳271	N	MDEntrySize	Volume represented by the market data entry (Not present if MDEntryType = 4, 5, 7, or 8)
↳272	Y	MDEntryDate	Date of the market data entry
↳2446	N	AggressorSide	If MDEntryType = 2 (Trade), the side of the order: `1` = Buy `2` = Sell
↳273	Y	MDEntryTime	Time of the market data entry
↳453	N	NoPartyIDs	Only present if MDEntryType = 2 (Trade). Will always be 1
↳↳448	N	PartyID	Market Identifier Code (MIC) for Venue
↳↳447	N	PartyIDSource	Will always be `G`, Market Identifier Code (MIC)
↳↳452	N	PartyRole	Will always be `73`, Execution Venue

MarketDataIncrementalRefresh (X)

Sent by the server to view updates to an existing stream.

Tag	Req	Name	Description
262	Y	MDReqID	Client unique identifier for market data request
55	Y	Symbol	The trading pair from MarketDataRequest
268	Y	NoMDEntries	Number of market data updates in snapshot
↳279	Y	MDUpdateAction	Type of entry update: `0` = NEW `1` = CHANGE `2` = DELETE
↳269	Y	MDEntryType	`0` = Bid `1` = Offer `2` = Trade `4` = Open `5` = Close `7` = High `8` = Low `B` = Volume
↳278	Y	MDEntryID	Unique identifier for this market data entry
↳83	Y	RptSeq	Public sequence number for each entry in the snapshot by symbol
↳270	N	MDEntryPx	Price of the market data entry (Not present if MDEntryType = B)
↳271	N	MDEntrySize	Volume represented by the market data entry (Not present if MDEntryType = 4, 5, 7, or 8)
↳272	Y	MDEntryDate	Date of the market data entry
↳2446	N	AggressorSide	If MDEntryType = 2 (Trade), the side of the order: `1` = Buy `2` = Sell
↳273	Y	MDEntryTime	Time of the market data entry
↳453	N	NoPartyIDs	Only present if MDEntryType = 2 (Trade). Will always be 1
↳↳448	N	PartyID	Market Identifier Code (MIC) for Venue
↳↳447	N	PartyIDSource	Will always be `G`, Market Identifier Code (MIC)
↳↳452	N	PartyRole	Will always be `73`, Execution Venue

SecurityStatus (f)

Sent by the server once when an existing stream fails, and once when it reconnects.

Tag	Req	Name	Description
55	Y	Symbol	Symbol
326	Y	SecurityTradingStatus	`3` = Resume `999` = Market data feed temporarily unavailable
58	Y	Text	Market data feed temporarily unavailable for MDReqID `{MDReqID}` for stream type: - bid/offer - trade - OHLCV

REST API

Websocket Feed

FIX 4.2 API

FIX 5.0 API

Getting started

Supported message types

MarketDataRequest (V)

MarketDataRequestReject (Y)

MDReqRejReason

MarketDataSnapshotFullRefresh (W)

MarketDataIncrementalRefresh (X)

SecurityStatus (f)

​Getting started

​Supported message types

​MarketDataRequest (V)

​MarketDataRequestReject (Y)

​MDReqRejReason

​MarketDataSnapshotFullRefresh (W)

​MarketDataIncrementalRefresh (X)

​SecurityStatus (f)

Getting started

Supported message types

MarketDataRequest (V)

MarketDataRequestReject (Y)

MDReqRejReason

MarketDataSnapshotFullRefresh (W)

MarketDataIncrementalRefresh (X)

SecurityStatus (f)