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Requesting Continuous FIX Market Data with Snapshot Updates

Article Quant Q&A · Author: Reza Str
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Summary

This exchange explains why a FIX market data request may return only one quote and how to ask for a continuing feed. A snapshot request returns a point-in-time view, such as current bid, ask, and volume. To receive subsequent updates, the response recommends setting the MarketDataRequest subscription type to request snapshot plus updates, rather than leaving the field at its default value for a single snapshot.

The advice is conditional: the counterparty must support streaming data, and its FIX implementation may vary. The exchange advises checking the counterparty’s documentation for its handling of market data requests. It gives a protocol-level setting to investigate, but does not provide a complete message example, cover all required FIX fields, or establish that a particular server will honor the request.

Key ideas

  • A FIX market data request can return a one-time snapshot rather than an ongoing feed.
  • Request snapshot plus updates by setting the subscription request type accordingly.
  • The counterparty must support streaming data for continuous updates to be available.
  • Check the counterparty’s FIX documentation because implementations can differ.

Tags

ExecutionMarket microstructureForex
Full text
# Getting quote stream via fix-api 4.3


# Getting quote stream via fix-api 4.3












I'm new to FIX api,so far i did following (on QUICKFIX)

> logged on to quote-session subscribed to market data sent "single-message" quote-request for an instrument (EUR/USD for example) Finally i got response from fix-server (with current bid/ask/volume for symbol EUR/USD)

The problem is, it was a single response. I want to get nonstop ,real-time quote-feed on a blotter/panel(as can be seen in a trading-platform's 'quote-panel').

## Answer by Wapiti (score 1, accepted)

https://quant.stackexchange.com/a/25249

ASSUMING your counterparty does stream data (this is not a given), what you got was a Snapshot, requesting the top of the book and the volume. I am assuming you sent a MarketDataRequest message, which is 35=V. The tag 35 in FIX protocol is the Message Type. For help with the protocol, FIXIMATE is your friend.

Most counterparties should have documentation which tells you how they implement FIX. Look for information on how they handle MarketDataRequest messages. Just as amsh has said in a comment, in your 35=V message you need to request Snapshot+Updates. This means you need to set the SubscriptionRequestType (tag 263) to the value 1. You probably did not set it at all, and it likely defaulted to 0.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.