tZERO Technologies — FIX 4.4 Market Data feed specification covering subscription, snapshot, incremental refresh, and session status messages.
| Tag # | Group Tag # | Field Name | Req'd | Comments |
|---|---|---|---|---|
| Header | Y | MsgType = V | ||
| 262 | MDReqID | Y | Unique for a new request or the ID used from a previous request if disabling a subscription. Note this ID should be unique between MDReqID (262), TradSesReqID (335), and SecurityStatusReqID (324). | |
| 263 | SubscriptionRequestType | Y | Indicates what type of response is expected Value Description 0 Snapshot 1 Snapshot + Updates (Subscribe) 2 Disable Updates (Unsubscribe) | |
| 264 | MarketDepth | Y | Indicates if depth of book or top of book is required Value Description 0 Full Book 1 Top of Book Relevant only for MDEntryType = Bid or Offer. If set to 1 (Top of Book), the recipient will always receive a new best-bid and best-offer should either change. The recipient should overwrite any existing best-bid or best-offer. There will not be deletes issued for older best-bids and best-offers. The lack of a bid or offer implies there is no interest on the missing side and the recipient should display the equivalent of an "n/a" or blank. | |
| 265 | MDUpdateType | N | Value Description 0 Full Refresh (used for snapshot only requests. Not supported.) 1 Incremental Refresh This field is ignored. Snapshots will always be full refreshes and streaming updates will always be incremental refreshes. | |
| 266 | AggregatedBook | N | Value Description Y One book entry per side, per price level N One book entry per order (not supported) Aggregated is the only supported type | |
| 267 | NoMDEntryTypes | Y | Number of MDEntryType fields | |
| >>> | 269 | MDEntryType | Y | Indicates what market data the requester is interested in receiving. Value Description 0 Bid 1 Offer 2 Trade 4 Open (non-standard value for FIX 4.2) 5 Closing Price (non-standard value for FIX 4.2) 7 High (non-standard value for FIX 4.2) 8 Low (non-standard value for FIX 4.2) A Order Imbalance (non-standard value for FIX 4.2) y Theoretical Opening Price (non-standard value for FIX 4.2) Field repeats for each market data type. Send 0,1 for quotes, 2 for trades, 0,1,2 for quotes and trades. |
| 146 | NoRelatedSym | Y | Number of symbols requested | |
| >>> | 55 | Symbol | Y | Field repeats for each symbol |
| Tag # | Field Name | Req'd | Comments |
|---|---|---|---|
| Header | Y | MsgType = g | |
| 335 | TradSesReqID | Y | Unique for a new request or the ID used from a previous request if disabling a subscription. Note this ID should be unique between MDReqID (262), TradSesReqID (335), and SecurityStatusReqID (324). |
| 263 | SubscriptionRequestType | Y | Indicates what type of response is expected Value Description 0 Snapshot 1 Snapshot + Updates (Subscribe) 2 Disable Updates (Unsubscribe) |
| Tag # | Field Name | Req'd | Comments |
|---|---|---|---|
| Header | Y | MsgType = e | |
| 324 | SecurityStatusReqID | Y | Unique for a new request or the ID used from a previous request if disabling a subscription. Note this ID should be unique between MDReqID (262), TradSesReqID (335), and SecurityStatusReqID (324). |
| 263 | SubscriptionRequestType | Y | Indicates what type of response is expected Value Description 0 Snapshot 1 Snapshot + Updates (Subscribe) 2 Disable Updates (Unsubscribe) |
| 55 | Symbol | Y | Symbol of the security |
| Tag # | Group Tag # | Field Name | Req'd | Comments |
|---|---|---|---|---|
| Header | Y | MsgType = W | ||
| 262 | MDReqID | Y | Corresponds to the ID in the request | |
| 55 | Symbol | Y | ||
| 387 | TotalVolumeTraded | N | Total volume traded for the security | |
| 893 | LastFragment | Y | Indicates whether this message is the last in a sequence of messages in response to a snapshot request. When a full book is large the MDEntries will be split across multiple snapshot messages. (non-standard value for FIX 4.2) Value Description Y This is the last message N This is not the last message, more snapshot responses to follow | |
| 268 | NoMDEntries | Y | Number of entries following | |
| >>> | 269 | MDEntryType | Y | Indicates what market data is represented in this entry. Value Description 0 Bid 1 Offer 2 Trade 4 Open (non-standard value for FIX 4.2) 5 Closing Price (non-standard value for FIX 4.2) 7 High (non-standard value for FIX 4.2) 8 Low (non-standard value for FIX 4.2) A Order Imbalance (non-standard value for FIX 4.2) y Theoretical Opening Price (non-standard value for FIX 4.2) |
| >>> | 270 | MDEntryPx | N | The price of the market data update (Bid, Offer, Trade, Closing Price, or Theoretical Opening Price) |
| >>> | 271 | MDEntrySize | N | The size of the market data update (Bid, Offer, Trade, Closing Size, or Theoretical Opening Size) |
| >>> | 272 | MDEntryDate | N | Date of source market data event (always expressed in UTC, Universal Time Coordinated, also known as GMT). Date format is YYYYMMDD |
| >>> | 273 | MDEntryTime | N | Time of source market data event (always expressed in UTC, Universal Time Coordinated, also known as GMT). Time format is HH:MM:SS |
| >>> | 346 | NumberOfOrders | N | Valid for Aggregated Book requests. How many individual orders make up the size at the given price level and side. |
| >>> | 275 | MDMkt | N | Market posting the quote or trade value |
| Trailer | Y |
| Tag # | Group Tag # | Field Name | Req'd | Comments |
|---|---|---|---|---|
| Header | Y | MsgType = X | ||
| 262 | MDReqID | N | Corresponds to the ID in the request if solicited | |
| 268 | NoMDEntries | Y | Number of entries following | |
| >>> | 279 | MDUpdateAction | Y | Must be the first field in repeating group Value Description 0 New 1 Change 2 Delete |
| >>> | 285 | DeleteReason | N | Valid if MDUpdateAction is Delete and MDEntryType is Trade. Value Description 0 Cancel/Bust 1 Error |
| >>> | 269 | MDEntryType | Y | Indicates what market data is represented in this entry. Value Description 0 Bid 1 Offer 2 Trade 4 Open (non-standard value for FIX 4.2) 5 Closing Price (non-standard value for FIX 4.2) 7 High (non-standard value for FIX 4.2) 8 Low (non-standard value for FIX 4.2) A Order Imbalance (non-standard value for FIX 4.2) y Theoretical Opening Price (non-standard value for FIX 4.2) |
| >>> | 55 | Symbol | N | Symbol of the security |
| >>> | 270 | MDEntryPx | N | The price of the market data update (Bid, Offer, Trade, Closing Price, or Theoretical Opening Price) |
| >>> | 271 | MDEntrySize | N | The size of the market data update (Bid, Offer, Trade, or Theoretical Opening Size) |
| >>> | 272 | MDEntryDate | N | Date of source market data event (always expressed in UTC, Universal Time Coordinated, also known as GMT). Date format is YYYYMMDD |
| >>> | 273 | MDEntryTime | N | Time of source market data event (always expressed in UTC, Universal Time Coordinated, also known as GMT). Time format is HH:MM:SS |
| >>> | 278 | MDEntryID | N | Uniquely identifies a trade. In the case of a cancel, error, bust, or correction, identifies the previously sent trade. |
| >>> | 346 | NumberOfOrders | N | How many individual orders make up the size at the given price level and side. Used in Aggregated Book. |
| >>> | 276 | QuoteCondition | N | Valid when MDEntryType is Bid or Offer and MarketDepth is 1 for Top of Book quotes. Space-delimited list of conditions, if any. |
| >>> | 277 | TradeCondition | N | Valid when MDEntryType is Trade or Imbalance. Space-delimited list of conditions, if any. Absence of a trade condition implies a regular trade. MDEntryType Value Description Imbalance P Imbalance More Buyers Imbalance Q Imbalance More Sellers Trade R Opening Price |
| >>> | 275 | MDMkt | N | Market posting the quote or trade value |
| >>> | 387 | TotalVolumeTraded | N | Total volume traded for the security (only present when MDEntryType is Trade) |
| Trailer | Y |
Sent if there was an error with the Market Data Request message.
| Tag # | Field Name | Req'd | Comments |
|---|---|---|---|
| Header | Y | MsgType = Y | |
| 262 | MDReqID | Y | Matches the id of the request |
| 281 | MDReqRejReason | N | Indicates what was wrong with the request Value Description 0 Unknown symbol 1 Duplicate MDReqID 4 Unsupported SubscriptionRequestType 5 Unsupported MarketDepth 6 Unsupported MDUpdateType 7 Unsupported AggregatedBook 8 Unsupported MDEntryType |
| 58 | Text | N | Free-form text with more details on what went wrong. |
| Trailer | Y |
Sent to inform clients about security halts.
| Tag # | Field Name | Req'd | Comments |
|---|---|---|---|
| Header | Y | MsgType = f | |
| 324 | SecurityStatusReqID | N | If this message is a response from a Security Status Request, this field will be populated with the ID from the request. |
| 55 | Symbol | Y | |
| 326 | SecurityTradingStatus | N | Indicates the status of the security Value Description 2 Trading Halt 17 Ready to Trade (accepting and matching orders) 18 Not Available for Trading 20 Unknown 90 Auction state (accepting but not matching orders) (non-standard value for FIX 4.2) |
| 327 | HaltReason | N | Indicates the reason for the halt Value Description D News Dissemination E Order Influx I Order Imbalance L Limit Up Limit Down Volatility Pause M Additional Information O Operational (non-standard value for FIX 4.2) P News Pending X Equipment Changeover 0 Manual (non-standard value for FIX 4.2) 1 Market-wide Circuit Breaker Level 1. (non-standard value for FIX 4.2) 2 Market-wide Circuit Breaker Level 2. (non-standard value for FIX 4.2) 3 Market-wide Circuit Breaker Level 3. (non-standard value for FIX 4.2) |
| 8724 | ShortSellRstrcn | N | Indicates the status of a short sale restriction for the security. The absence of this field indicates there is no short sale restriction in place. Value Description D Deactivated – A short sale restriction is no longer in place (expired at the end of the previous trading day). A Activated – A short sale restriction is in place (initiated today). C Continued – A short sale restriction is in place (carried over from the previous trading day). |
| Trailer | Y |
Sent to inform clients about system-wide halts and level 1, level 2, and level 3 market decline circuit breaker information.
| Tag # | Field Name | Req'd | Comments |
|---|---|---|---|
| Header | Y | MsgType = h | |
| 335 | TradSesReqID | N | If this message is a response from a Trading Session Status Request, this field will be populated with the ID from the request. |
| 336 | TradingSessionID | Y | Value Description PRE Before the open OPNX After the open and before the opening auction CORE After the opening auction and before the close POST After the close UNKNWN Cannot be determined |
| 340 | TradSesStatus | Y | Indicates the status of the trading session Value Description 1 Halted 2 Open 3 Close 4 Pre-Open 5 Pre-Close |
| 8721 | MWCBLvl1Prx | N | Market-wide Circuit Breaker Level 1 price threshold. Non-standard tag for FIX 4.2 |
| 8722 | MWCBLvl2Prx | N | Market-wide Circuit Breaker Level 2 price threshold. Non-standard tag for FIX 4.2 |
| 8723 | MWCBLvl3Prx | N | Market-wide Circuit Breaker Level 3 price threshold. Non-standard tag for FIX 4.2 |
| Trailer | Y |
| Version | Date | Comments |
|---|---|---|
| 0 | 2019-07-03 | Original |
| 1 | 2019-07-12 | -Added values for tag 277 TradeCondition. -Added tag 893 LastFragment to Market Data Snapshot field. -Split scenario diagrams into its own section and separate figures to illustrate multiple snapshot responses. |
| 2 | 2019-08-12 | -Added disconnect behavior to Scenarios section. -Added Trading Session Status Request message -Added Security Status Request message |
| 3 | 2019-09-17 | -Added tZERO logo to the heading |
| 4 | 2019-11-05 | -Redefined tag 277 TradeCondition to account for imbalances. |
| 5 | 2020-01-06 | -Added Auction State (90) to tag 327 HaltReason |
| 6 | 2020-08-19 | -Added table of contents. -Added additional values to tag 269 MDEntryType. -Added additional values to tag 327 HaltReason. -Added Revision History section |
| 7 | 2020-10-27 | -Added tag 8724 ShortSellRstrcn to the Security Status message -Removed “not supported” text for tag 266 AggregatedBook=N -Various updates to grammar |
| 8 | 2025-12-20 | -Added updated tZERO logo to the heading |
tZERO Technologies · FIX 4.4 Market Data Specification · December 2025