Client BetaThis feature is currently in client beta and requires account enablement.
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.
Logon (A)
Logon messages must conform to FIXT 1.1. For market data sessions, configure your Logon as follows:
| Tag | Req | Name | Description |
|---|
| 8 | Y | BeginString | Must be FIXT.1.1 |
| 9 | Y | BodyLength | Length of body |
| 35 | Y | MsgType | Must be A |
| 34 | Y | MsgSeqNum | Must be 1 |
| 49 | Y | SenderCompID | The Service Account ID (on messages from the client) |
| 52 | Y | SendingTime | Must be within 5 seconds of server time in UTC |
| 56 | Y | TargetCompID | Must be COIN (on messages from the client) |
| 95 | Y | RawDataLength | Number of bytes in the RawData field |
| 96 | Y | RawData | Client message signature (see Logon) |
| 98 | Y | EncryptMethod | Must be 0 (none) |
| 108 | Y | HeartBtInt | Heartbeat interval is capped at 300s, defaults to 30s |
| 141 | Y | ResetSeqNumFlag | Resets the sequence number. Can be Y/N |
| 553 | Y | Username | Client API Key (Replaces tag 9407) |
| 554 | Y | Password | Client API passphrase |
| 1137 | Y | DefaultApplVerID | Must be 9 (FIX 5.0 SP2) |
| 9406 | Y | DropCopyFlag | Must be N |
| 10 | Y | CheckSum | Checksum |
Supported Message Types
The Prime FIX Market Data API supports the following message types:
Client to Server:
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 |
