Market Data Request(V) — Production FIX API

FIX Market Data Request subscribes to order book data and market updates. Learn how to request snapshots and incremental updates via FIX.

Market Data Request(V) can be used to request market data in snapshot or the incremental form. Deribit uses his message for order book requests and its change notification.

Arguments

Tag	Name	Type	Required	Comments
262	MdReqId	String	Yes	Unique ID assigned to this request
263	SubscriptionRequestType	int	Yes	Subscription Request Type. Valid values: 0 = Snapshot, 1 = Snapshot + Updates (Subscribe), 2 = Disable previous Snapshot + Update Request (Unsubscribe)
264	MarketDepth	int	No	See remark about MDUpdateType below
265	MDUpdateType	int	when SubscriptionRequestType=1	The type of update to subscribe to. Valid values: 0= full refresh, 1= incremental refresh
9011	DeribitSkipBlockTrades	Boolean	No	To skip block trades. If 9011=Y then block trades will not be reported. Default is N
9012	DeribitShowBlockTradeId	Boolean	No	To show block trade id. If 9012=Y and 9012=N then block trades will include BlockTrade ID as TrdMatchID (880). Default is N
100007	DeribitTradeAmount	int	No	Amount of trades returned in the snapshot response to request for snapshot of recent trades, default 20, maximum 1000
100008	DeribitSinceTimestamp	int	No	UTC Timestamp in milliseconds (integer number of milliseconds), if specified, the response returns the trades happened since that timestamp, applicable to the request for recent trades snapshot
	Group MDReqGrp
267	NoMdEntryTypes	NumInGroup	Yes	Number of entry types in the request
=>269	MDEntryType	int	Yes	Valid values: 0 = Bid (Bid side of the order book), 1 = Offer (Ask side of the order book), 2 = Trade (Info about recent trades), 3 = Index Value (value of Index for INDEX instruments like BTC-DERIBIT-INDEX), 6 = Settlement Price (Estimated Delivery Price for INDEX instruments like BTC-DERIBIT-INDEX)
	Group InstrmtMDReqGrp
146	NoRelatedSym	NumInGroup	No	Number of symbols requested. Necessary if more than 1 Symbol requested
=>55	Symbol	String	Yes	Instrument symbol. See instrument naming convention for more details

When requesting a subscription (SubscriptionRequestType=1), the only supported combinations are:

• MDUpdateType=1, MarketDepth=0. This will result a Market Data - Snapshot(W) with the whole order book, followed by incremental updates (X messages) through the whole order book depth.
• MDUpdateType=0, MarketDepth=(1,10,20). This results in Market Data - Full Refresh(W) messages, containing the entire specified order book depth. Valid values for MarketDepth are 1, 10, 20.

If multiple instrument symbols are specified then the system responds with multiple market data messages corresponding to those instruments.

Response

If the server is unable to supply the requested data, it will respond with a Market Data Request Reject(Y) message.

If the request called for a snapshot (SubscriptionRequestType(263)=0), the server will respond with a Market Data - Snapshot/Full Refresh(W) message.

If the request called for a snapshot and subscription (SubscriptionRequestType(263)=1), the server will start sending Market Data - Incremental Refresh(X) messages.