Derivatives FIX Market Data Messages

The Coinbase Derivatives Exchange (CDE) FIX Market Data API allows market participants to receive market information including orders, trades, market state changes and instrument definitions.

Market Data Message Types

Client and server use the following administrative messages:

• MarketDataRequest (35=V):
• MarketDataRequestReject (35=Y):
• MarketDataSnapshotFullRefresh (35=W):
• MarketDataIncrementalRefresh (35=X):

MarketDataRequest (35=V)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
263	SubscriptionRequestType	Int	Y	1 = Subscribe for snapshots and updates. 2 = Unsubscribe (send with MDReqID)
146	NoRelatedSym	NumInGroup	N	Number of securities to subscribe to. If not specified, subscribes to all securities
→55	Symbol	String	N	Ticker symbol.
→167	SecurityType	String	N	See SecurityType (167) code set.

MarketDataRequestReject (35=Y)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
281	MDReqRejReason	String	N	Reason for rejection of MarketDataRequest (as a numerical value).
58	Text	String	N	Reason for rejection of MarketDataRequest (as text).

MarketDataSnapshotFullRefresh (35=W)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
55	Symbol	String	Y	Ticker symbol.
167	SecurityType	String	Y	See SecurityType (167) code set.
762	SecuritySubType	String	C	Represents spread strategy if applicable. See SecuritySubType (762) code set.
268	NoMDEntries	NumInGroup	Y	Number of MDEntry groups included in a Market Data message.
→ 269	MDEntryType	Int	Y	See MDEntryType (269) code set.
→ 278	MDEntryID	String	N	Unique exchange ID representing the instrument, session, and entry type. Active entries with duplicate values should be replaced (delete is not allowed): MDUpdateAction=New/Change (279= 0/1): Replace active entry with the same MDEntryID (278)
→ 270	MDEntryPx	Price	N	All-in rate
→ 271	MDEntrySize	Qty	N	Entry size/quantity
→ 110	MinQty	Qty	N	Minimum fill size associated with the amount.
→ 60	TransactTime	UTCTimestamp(24)	Y	GMT time of event, in microseconds
→ 1023	MDPriceLevel	Int	N	Price level of bid or offer in book (implieds only). Values are 1023=1 or 1023=2.
→ 286	OpenCloseSettllFlag	Int	C	Represents Open Price entry: 0=Daily Open Price 5=Indicative Opening Price (IOP)
→ 5796	TradingReferenceDate	LocalMktDate	C	Usually the current trading date, except for open interest and closing price (which is usually previous trading date). Value corresponds to MDEntryType (269).

MarketDataIncrementalRefresh (35=X)

Tag	Name	FIX Type	Req	Description
262	MDReqID	String	Y	Unique client ID representing the MarketDataRequest.
266	AggregatedBook	Char	Y	Represents whether or not book entries are aggregated.
268	NoMDEntries	NumInGroup	Y	Repeating group. Number of entries in the Market Data message.
→279	MDUpdateAction	Int	Y	Represents type of Market Data update action. 279=0 (New), 279=1 (Change), 279=2 (Delete).
→ 269	MDEntryType	Int	Y	See MDEntryType (269) code set.
→ 278	MDEntryID	String	N	Order ID assigned by the exchange that is unique per instrument, session, and entry type. Active entries with duplicate values should be replaced or deleted: MDUpdateAction = New/Change (279=0/1): Replace active entry with the same MDEntryID (278) MDUpdateAction = Delete (279=2): Delete active entry with same MDEntryID
→ 55	Symbol	String	Y	Ticker symbol.
→ 167	SecurityType	String	Y	See SecurityType (167) code set.
→ 762	SecuritySubType	String	C	See SecuritySubType (762) code set values. Represents spread strategy if applicable
→ 270	MDEntryPx	Price	N	All-in rate. Required when MDUpdateAction = New (279=0) or Change (279=1)
→ 271	MDEntrySize	Qty	N	Entry size/quantity. Required when MDUpdateAction = New (279=0) or Change (279=1)
→ 110	MinQty	Qty	N	Minimum fill size associated with the amount.
→ 60	TransactTime	UTCTimestamp(24)	Y	GMT time of event, in microseconds
→ 1023	MDPriceLevel	Int	N	Price level of bid or offer in book (implieds only). Values are 1023=1 or 1023=2.
→ 286	OpenCloseSettllFlag	Int	C	Flag describing Open Price entry . 0=Daily Open Price. 5=Indicative Opening Price (IOP)
→ 5796	TradingReferenceDate	LocalMktDate	C	Current trading date. Value corresponds to MDEntryType (269) code set.
→ 5797	AggressorSide	Int	C	Represents the aggressor side in a transaction: 0=No Aggressor 1=Buy 2=Sell AggressorSide is sent for MDEntryType = "Trade" (269=2)