Market Data

Subscribe to real-time market data updates via FIX 4.4 protocol

The Market Data session provides real-time order book streaming via the FIX 4.4 protocol. Use this session to subscribe to price updates for specific trading instruments and receive continuous market data.

For FIX connection settings (host, port, SenderCompID, TargetCompID, credentials), contact your broker.

This page covers the Market Data session only. For trading operations (order placement, execution reports), use the Trading session.

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BbpFIX44.xml

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FIX 4.4 Data Dictionary

Supported message types

The following values can be assigned to the <35> MsgType field:

• A — Logon (Client → B2PRIME)

• 0 — Heartbeat (Client ↔ B2PRIME)

• 1 — Test Request (Client ↔ B2PRIME)

• 3 — Reject (Client ← B2PRIME)

• 4 — Sequence Reset (Client ↔ B2PRIME)

• 5 — Logout (Client ↔ B2PRIME)

• V — Market Data Request (Client → B2PRIME)

• W — Market Data — Snapshot/Full Refresh (Client ← B2PRIME)

• X — Market Data — Incremental Refresh (Client ← B2PRIME)

• Y — Market Data Request Reject (Client ← B2PRIME)

• j — Business Reject (Client ← B2PRIME)

Getting started

Connection

To connect to the Market Data session, use the following parameters provided by B2PRIME:

• Host and port: The Market Data endpoint (provided separately from the Trading endpoint)

• SenderCompID: Your client identifier for the Market Data session

• TargetCompID: The server identifier for the Market Data session

• Protocol: FIX 4.4

The Market Data connection does not require SSL.

Message structure

Standard Header

All FIX messages must begin with a Standard Header containing the following fields:

8 BeginString String

Identifies the FIX version (FIX.4.4). Always the first field in a message.

9 BodyLength int

The automatically computed message length, in bytes. Always the second field.

35 MsgType String

The message type. See Supported message types for possible values. Always the third field.

34 MsgSeqNum int

The message sequence number, incremented by 1 for each consecutive message.

49 SenderCompID String

The identifier of the message sender. Provided by B2PRIME.

52 SendingTime Timestamp

The date and time when the message was sent, in UTC: YYYYMMDD-HH:MM:SS.sss.

56 TargetCompID String

The identifier of the message recipient. Provided by B2PRIME.

---

Standard Trailer

All FIX messages must end with a Standard Trailer:

10 CheckSum int

A three-digit checksum. Always the last field in a message.

Logon (A)

This message is sent by the client to initiate a FIX session. It must be the first message in each connection.

1 Account String

The account identifier. Required. Provided by B2PRIME.

98 EncryptMethod int

The encryption method. Required. Must be 0 (no encryption).

108 HeartBtInt int

The heartbeat interval, in seconds. Required. Indicates how often the server sends Heartbeat messages as part of a connection health check.

141 ResetSeqNumFlag Boolean

Indicates whether both parties should reset the currently used sequence numbers. Optional.

553 Username String

The client username. Required. Provided by B2PRIME.

554 Password String

The client password. Required. Provided by B2PRIME.

Request (Client → B2PRIME)

8=FIX.4.4^9=138^35=A^1=68a4446ac84827ff5cd35c74^34=1^52=20231218-07:59:06.000^49=sender_b2prime^56=target_b2prime^554=password^553=username^98=0^108=30^10=139^

Response (B2PRIME → Client)

8=FIX.4.4^9=112^35=A^1=68a4446ac84827ff5cd35c74^34=1^49=target_b2prime^52=20231218-07:59:06.655^56=sender_b2prime^98=0^108=30^10=009^

Session maintenance

Heartbeat (0)

This message is sent back and forth between the server and the client to check the connection status and in response to Test Request messages.

112 TestReqID String

The identifier of a Test Request in response to which this Heartbeat is sent. Required when the Heartbeat is a response to a Test Request.

Example

8=FIX.4.4^9=73^35=0^34=2^52=20231218-07:59:36.000^49=sender_b2prime^56=target_b2prime^10=202^

Test Request (1)

This message is sent back and forth between the server and the client as a means of connectivity check. If a Heartbeat is not received within the expected interval, a Test Request is sent; the recipient must respond with a Heartbeat containing the same <112> TestReqID.

112 TestReqID String

The identifier of a Test Request. Optional.

Example

8=FIX.4.4^9=81^35=1^34=137^52=20231218-10:12:38.000^49=sender_b2prime^56=target_b2prime^112=2^10=040^

Sequence Reset (4)

This message indicates the sequence number of the next message from the sender, immediately following the Sequence Reset. This may be necessary to recover from a disconnect when some messages were lost or their resending is not desirable.

123 GapFillFlag Boolean

Indicates that this message replaces missing messages that won't be resent. Optional.

Possible values:

• Y — Gap fill: <34> MsgSeqNum is valid and indicates the beginning of the gap fill range

• N — Sequence reset: <34> MsgSeqNum is ignored. Should only be used in disaster recovery situations

36 NewSeqNo int

The new sequence number. Required.

Example

8=FIX.4.4^9=84^35=4^34=6^49=target_b2prime^52=20231219-21:11:38.578^56=sender_b2prime^123=Y^36=8^10=231^

Logout (5)

This message is sent by the client or server to terminate a session. When terminated, the possible reason is specified in the <58> Text field.

58 Text String

The detailed information about the reason for logging out. Optional.

Request (Client → B2PRIME)

8=FIX.4.4^9=83^35=5^34=5^52=20231218-13:40:48.000^49=sender_b2prime^56=target_b2prime^58=ST1234^10=229^

Response (B2PRIME → Client)

8=FIX.4.4^9=75^35=5^34=748^49=target_b2prime^52=20231218-13:40:49.016^56=sender_b2prime^10=064^

Reject (3)

This message is sent by the server upon receiving a malformed message from the client. The rejection reason is specified in the <373> SessionRejectReason field.

This message is unrelated to application-level rejections (Market Data Request Reject and Business Reject).

45 RefSeqNum int

The sequence number of the rejected message (<34> MsgSeqNum). Required.

371 RefTagID int

The tag number of the field that caused message rejection. Optional.

372 RefMsgType String

The type of the rejected message (<35> MsgType). Optional.

373 SessionRejectReason int

The reason why the message is rejected. Optional.

Possible values:

• 0 — Invalid tag number

• 1 — Required tag missing

• 2 — Tag not defined for this message type

• 3 — Undefined tag

• 4 — Tag has no value assigned

• 5 — Value is incorrect (out of range) for this tag

• 6 — Incorrect value data format

• 7 — Decryption issue

• 8 — Signature problem

• 9 — CompID issue

• 10 — SendingTime accuracy issue

• 11 — Invalid MsgType

• 12 — XML validation error

• 13 — Same tag appears more than once

• 14 — Tag specified not in required order

• 15 — Wrong order of repeating group fields

• 16 — Incorrect NumInGroup count for repeating group

• 17 — Non-"Data" value includes field delimiter (SOH character)

• 99 — Other

58 Text String

The detailed information about the rejection reason. Optional.

Example (B2PRIME → Client)

8=FIX.4.4^9=125^35=3^34=193^52=20231219-22:41:16.000^49=target_b2prime^56=sender_b2prime^45=18^371=262^372=V^373=1^58=Required tag missing^10=122^

---

Market Data Request (V)

This message is sent by the client to subscribe to real-time quoting data for a specified ticker symbol.

After subscribing, the server sends an initial Market Data — Snapshot/Full Refresh, followed by continuous Market Data — Incremental Refresh messages with each market data update.

To subscribe to multiple symbols, send a separate Market Data Request for each symbol. To unsubscribe, send a Market Data Request with <263> SubscriptionRequestType set to 2. All subscriptions are also terminated when the session is closed via Logout.

262 MDReqID String

The identifier of the Market Data Request. Required. Must be unique for the duration of each session. When unsubscribing, specify the ID of a previous request to discard.

263 SubscriptionRequestType int

The type of response expected from the server. Required.

Possible values:

• 1 — Subscribe: receive updates as the market status changes

• 2 — Unsubscribe: stop streaming market data for the specified symbol

264 MarketDepth int

The market depth for an order book snapshot. Required.

Possible values:

• 0 — Full order book

• 1 — Top-of-the-book prices

265 MDUpdateType int

The update type. Required. Must be 1 (incremental updates for changed price levels only).

267 NoMDEntryTypes int

The number of <269> MDEntryType entries requested. Required.

Repeating group:

269 MDEntryType int

The side of the quote. Required.

Possible values:

• 0 — Bid

• 1 — Ask

146 NoRelatedSym int

The number of ticker symbols. Required. Must be 1. To subscribe to multiple symbols, send a separate request for each.

Repeating group:

55 Symbol String

The market identifier. Required. Format: {marketType}.{baseAssetId}_{quoteAssetId}, for example: cfd.eth_eur.

Example (Client → B2PRIME)

8=FIX.4.4^9=141^35=V^34=7^52=20231220-08:11:50.000^49=sender_b2prime^56=target_b2prime^262=1235^263=1^264=0^265=1^267=2^269=0^269=1^146=1^55=spot.btc_usdt^10=250^

Market Data — Snapshot/Full Refresh (W)

This message is sent by the server after the client subscribes to a ticker symbol. It contains the full current state of the order book. Subsequent updates are delivered as Market Data — Incremental Refresh messages.

55 Symbol String

The market identifier. Format: {marketType}.{baseAssetId}_{quoteAssetId}, for example: cfd.eth_eur.

262 MDReqID String

The identifier of the originating Market Data Request.

268 NoMDEntries int

The number of market data entries following. The value is 0 if the order book is empty.

Repeating group (present when <268> NoMDEntries > 0):

269 MDEntryType int

The side of the quote. Conditional — required if <268> NoMDEntries is not 0.

Possible values:

• 0 — Bid

• 1 — Ask

270 MDEntryPx Price

The price of the market data entry. Conditional — required if <268> NoMDEntries is not 0.

271 MDEntrySize Qty

The tradable volume of the market data entry. Conditional — required if <268> NoMDEntries is not 0.

278 MDEntryID String

A unique market data entry identifier. Conditional — required if <268> NoMDEntries is not 0.

Example (B2PRIME → Client)

8=FIX.4.4^9=507^35=W^34=48^49=target_b2prime^52=20231222-14:40:39.983^56=sender_b2prime^55=spot.btc_usdt^262=1235^268=9^269=1^270=1.10338^271=3000000^278=4441516524^269=1^270=1.10337^271=1000000^278=4441516521^269=1^270=1.10339^271=5000000^278=4441516523^269=1^270=1.10335^271=600000^278=4441516522^269=0^270=1.10333^271=500000^278=4441516520^269=0^270=1.10332^271=1000000^278=4441516517^269=0^270=1.10331^271=3000000^278=4441516516^269=0^270=1.10334^271=100000^278=4441516519^269=0^270=1.1033^271=5000000^278=4441516518^10=025^

Market Data — Incremental Refresh (X)

This message is continuously sent by the server after the initial Snapshot/Full Refresh. Each message includes only the changes since the previous update.

55 Symbol String

The market identifier. Format: {marketType}.{baseAssetId}_{quoteAssetId}, for example: cfd.eth_eur.

262 MDReqID String

The identifier of the originating Market Data Request.

268 NoMDEntries int

The number of market data entries following. The value is 0 if the order book is empty.

Repeating group (present when <268> NoMDEntries > 0):

269 MDEntryType int

The side of the quote. Conditional — required if <268> NoMDEntries is not 0.

Possible values:

• 0 — Bid

• 1 — Ask

270 MDEntryPx Price

The price of the market data entry. Conditional — required if <268> NoMDEntries is not 0.

271 MDEntrySize Qty

The tradable volume of the market data entry. Conditional — required if <268> NoMDEntries is not 0.

278 MDEntryID String

A unique market data entry identifier. Conditional — required if <268> NoMDEntries is not 0.

• Must be unique among active entries when <279> MDUpdateAction is 0 (New)

• Must match the previous <278> MDEntryID when <279> MDUpdateAction is 1 (Change) or 2 (Delete)

279 MDUpdateAction int

The update type. Conditional — required if <268> NoMDEntries is not 0.

Possible values:

• 0 — New

• 1 — Change

• 2 — Delete

58 Text String

Additional context. Optional.

Example (B2PRIME → Client)

8=FIX.4.4^9=201^35=X^34=52^49=target_b2prime^52=20231222-14:40:41.150^56=sender_b2prime^55=spot.btc_usdt^262=1235^268=2^279=1^269=0^270=1.10334^271=200000^278=4441516519^279=2^269=1^270=1.10339^271=0^278=4441516523^10=092^

Market Data Request Reject (Y)

This message is sent by the server to reject a Market Data Request due to business or technical reasons.

262 MDReqID String

The identifier of the rejected Market Data Request. Required.

281 MDReqRejReason int

The reason why the request is rejected. Optional.

Possible values:

• 0 — Unknown symbol

• 1 — Duplicate MDReqID

• 2 — Insufficient bandwidth

• 3 — Insufficient permissions

• 4 — Unsupported SubscriptionRequestType

• 5 — Unsupported MarketDepth

• 6 — Unsupported MDUpdateType

• 8 — Unsupported MDEntryType

58 Text String

The detailed information about the rejection reason. Optional.

Example (B2PRIME → Client)

8=FIX.4.4^9=118^35=Y^34=3^49=target_b2prime^52=20231221-10:25:11.849^56=sender_b2prime^262=1234^58=symbol 'btcusd' is not supported^10=104^

Business Reject (j)

This message is sent by the server to reject a message due to a business-level issue not addressed by the standard Market Data Request Reject or session-level Reject.

45 RefSeqNum int

The sequence number of the rejected message (<34> MsgSeqNum). Required.

372 RefMsgType String

The type of the rejected message (<35> MsgType). Optional.

380 BusinessRejectReason int

The reason why the request is rejected. Required.

Possible values:

• 0 — Other

• 1 — Unknown ID

• 2 — Unknown Security

• 3 — Unsupported MsgType

• 4 — Application not available

• 5 — Conditionally required field missing

• 6 — Not authorized

• 7 — DeliverTo firm not available at this time

58 Text String

The detailed information about the rejection reason. Optional.

Example (B2PRIME → Client)

8=FIX.4.4^9=120^35=j^34=2^49=target_b2prime^52=20231219-22:30:39.617^56=sender_b2prime^45=133^58=Unsupported Message Type^372=V^380=3^10=166^