> For the complete documentation index, see [llms.txt](https://docs.sfox.com/llms.txt). Markdown versions of documentation pages are available by appending `.md` to page URLs; this page is available as [Markdown](https://docs.sfox.com/fix-api/fix-market-data.md).

# FIX Market Data

Use the FIX Market Data session to receive market data from the FIX API

For assistance or information regarding implementation of the FIX API, please contact <support@sfox.com>

{% hint style="info" %}
sFOX uses FIX 4.4
{% endhint %}

## Connectivity

Before logging onto a FIX session, you must establish a secure connection to the FIX gateway

### Endpoints

<table><thead><tr><th width="157">Environment</th><th width="436">URL</th><th>SSL Required</th></tr></thead><tbody><tr><td>Production</td><td><code>fix-md.sfox.com:5001</code></td><td>Y</td></tr><tr><td>Sandbox</td><td><code>fix-md.staging.sfox.com:5001</code><br><a href="mailto:support@sfox.com">Contact support</a> to access the Sandbox environment</td><td>Y</td></tr></tbody></table>

### TCP SSL

If your FIX implementation does not support establishing a native TCP SSL connection with SNI support, set up a local proxy such as [stunnel](https://www.stunnel.org/) to establish a secure connection to the FIX gateway. Refer to our [QuickFIX Integration Guide](/fix-api/quickfix-guide.md) for details and examples

## Standard Header

{% hint style="info" %}
`SenderCompID`s must be provided by sFOX. Contact <support@sfox.com> to be provided with a `SenderCompID` for your session.
{% endhint %}

<table><thead><tr><th width="94">Tag</th><th width="175">Field</th><th>Description</th></tr></thead><tbody><tr><td>8</td><td>BeginString</td><td>Must be <code>FIX.4.4</code></td></tr><tr><td>49</td><td>SenderCompID</td><td>Value provided by sFOX. Must be unique per session</td></tr><tr><td>56</td><td>TargetCompID</td><td>Must be <code>SFOX</code></td></tr></tbody></table>

### QuickFIX session configuration

Configure these values in your QuickFIX session settings. They are not transmitted FIX header fields.

| Setting   | Value          |
| --------- | -------------- |
| StartDay  | `Sunday`       |
| EndDay    | `Sunday`       |
| StartTime | `00:00:05`     |
| EndTime   | `00:00:00`     |
| TimeZone  | `ETC` or `UTC` |

## Messages

### Logon - A

{% hint style="info" %}
Only one session may exist per SenderCompID. Attempting to log on using an active SenderCompID results in an error.
{% endhint %}

<table><thead><tr><th width="92">Tag</th><th width="134">Name</th><th width="129">Required</th><th>Description</th></tr></thead><tbody><tr><td>108</td><td>HeartBtInt</td><td>Y</td><td>Heartbeat interval. Must be &#x3C;= <code>30</code> seconds.</td></tr><tr><td>554</td><td>Password</td><td>Y</td><td>Your API Key</td></tr></tbody></table>

{% hint style="warning" %}
**QuickFIX:** If you are implementing the FIX protocol using QuickFIX please refer to our [QuickFIX Integration Guide](/fix-api/quickfix-guide.md)
{% endhint %}

### Market Data Request – V <a href="#market-data-request-v" id="market-data-request-v"></a>

Subscribes the current session to Market Data

<table><thead><tr><th width="117">Tag</th><th width="231">Name</th><th width="111">Required</th><th>Description</th></tr></thead><tbody><tr><td>262</td><td>MDReqID</td><td>Y</td><td>Market data request ID, included in all MarketDataSnapshotFullRefresh updates</td></tr><tr><td>263</td><td>SubscriptionRequestType</td><td>Y</td><td><code>1</code>: Snapshot Plus Updates<br><code>2</code>: Disable Previous Snapshot Plus Updates</td></tr><tr><td>20030</td><td>FeedType</td><td>N</td><td>Market data feed. Omit this field to use NPR books.<br><code>delta</code>: Delta. Recommended for new integrations.<br><code>net</code>: Net Price.<br><code>smart</code>: Smart.<br><br><em>Notice: Net Price and Smart feeds may be deprecated in a future release.</em></td></tr><tr><td>264</td><td>MarketDepth</td><td>N</td><td>Requested order book depth per side. This field is ignored for the delta feed. Delta snapshots are capped by the <code>ob-delta</code> service configuration.</td></tr><tr><td>20050</td><td>LastPublished</td><td>N</td><td>Set to <code>1</code> to include last-published timestamps on order book responses (W and X). Not included on trade messages.</td></tr><tr><td>267</td><td>NoMDEntryTypes</td><td>N</td><td>Number of MDEntryTypes requested. If empty the default is to subscribe to the order book.</td></tr><tr><td>-> 269</td><td>MDEntryType</td><td>N</td><td><code>0</code>: Bid<br><code>1</code>: Offer<br><code>2</code>: Trade<br><br>Note: <code>0</code> and/or <code>1</code> will give both sides of the order book.</td></tr><tr><td>146</td><td>NoRelatedSym</td><td>Y</td><td>Number of symbols in this request</td></tr><tr><td>-> 55</td><td>Symbol</td><td>Y</td><td>Pair to subscribe to, <code>basequote</code> format.</td></tr></tbody></table>

**Example (Delta Feed):**\
`35=V|262=1|263=1|264=0|20030=delta|146=1|55=btcusd`

In this example, `|` represents the ASCII SOH delimiter (`0x01`). Actual FIX messages use SOH. Standard engine-managed fields are omitted.

Optional: append `|20050=1` to receive last-published timestamps on order book responses.\
To unsubscribe, send the same `MDReqID` with `SubscriptionRequestType` (263) = 2.

{% hint style="warning" %}
**Notice:** We recommend the `delta` order book feed for new integrations. Net Price and Smart remain supported. They may be deprecated in a future release.
{% endhint %}

### Message flow

1. After a successful subscribe, you receive a Market Data Snapshot/Full Refresh (W). For delta, this contains the depth configured by the `ob-delta` service.
2. Subsequent book changes arrive as Market Data Incremental Refresh (X) messages.
3. A new W snapshot may be sent at any time. This includes gaps or resyncs. Always replace local state with the snapshot.
4. Requested trades arrive as W messages with `MDEntryType` = 2. They do not use incremental refreshes. The feed identifier is `trades.sfox.{pair}`, not `orderbook.delta.*`.

After reconnecting, resubscribe and rebuild local state from the new W snapshot.

### Market Data Snapshot/Full Refresh - W

<table><thead><tr><th width="143">Tag</th><th width="174">Name</th><th>Description</th></tr></thead><tbody><tr><td>262</td><td>MDReqID</td><td>Original MDReqID that generated this refresh</td></tr><tr><td>55</td><td>Symbol</td><td>Symbol/currency pair of the market data entry</td></tr><tr><td>106</td><td>Issuer</td><td>The full feed recipient, for example <code>orderbook.net.btcusd</code></td></tr><tr><td>268</td><td>NoMDEntries</td><td>Number of market data entries in this message</td></tr><tr><td>-> 269</td><td>MDEntryType</td><td><code>0</code>: Bid<br><code>1</code>: Offer<br><code>2</code>: Trade</td></tr><tr><td>-> 270</td><td>MDEntryPx</td><td>Price of the market data entry</td></tr><tr><td>-> 271</td><td>MDEntrySize</td><td>Size/Quantity of the market data entry</td></tr><tr><td>-> 273</td><td>MDEntryTime</td><td>Only for trades</td></tr><tr><td>-> 37</td><td>OrderID</td><td>Only for trades</td></tr><tr><td>-> 275</td><td>MDMkt</td><td>Market or liquidity source of the entry</td></tr><tr><td>-> 2446</td><td>AggressorSide</td><td><code>1</code>: Buy<br><code>2</code>: Sell</td></tr><tr><td>20050</td><td>LastPublished</td><td>UNIX timestamp (milliseconds) this order book was last published. Only present if requested with <code>20050=1</code> on the Market Data Request.</td></tr></tbody></table>

### Market Data Incremental Refresh – X

Apply each entry to the local order book. Do not replace the full book unless a new snapshot (W) is received.

| Tag   | Name           | Description                                                                                                                          |
| ----- | -------------- | ------------------------------------------------------------------------------------------------------------------------------------ |
| 262   | MDReqID        | Original MDReqID that generated this refresh                                                                                         |
| 268   | NoMDEntries    | Number of market data entries in this message                                                                                        |
| → 55  | Symbol         | Symbol/currency pair of the market data entry                                                                                        |
| → 269 | MDEntryType    | <p>0: Bid<br>1: Offer</p>                                                                                                            |
| → 279 | MDUpdateAction | <p>1: Change - insert or replace the level<br>2: Delete - remove the level</p>                                                       |
| → 270 | MDEntryPx      | Price of the market data entry                                                                                                       |
| → 271 | MDEntrySize    | Size/Quantity of the market data entry. Omitted when MDUpdateAction is Delete.                                                       |
| → 275 | MDMkt          | Market / liquidity source of the entry                                                                                               |
| 20050 | LastPublished  | UNIX timestamp (milliseconds) this order book was last published. Only present if requested with 20050=1 on the Market Data Request. |

**Applying updates**

Order book levels are identified by price, market, and side (`MDEntryPx` + `MDMkt` + `MDEntryType`).

For each entry in an incremental refresh:

1. **Change (279=1):** insert or replace the level at that price, market, and side with the given size.
2. **Delete (279=2):** remove the level at that price, market, and side.

On any Snapshot/Full Refresh (W), discard local book state for that symbol and load the snapshot entries in full.

### Trades – W

When `MDEntryType` = 2 is requested, trades arrive as snapshot messages (W) on the `trades.sfox.{pair}` feed.

| Tag    | Name          | Description                                  |
| ------ | ------------- | -------------------------------------------- |
| 262    | MDReqID       | Original MDReqID that generated this refresh |
| 55     | Symbol        | Symbol/currency pair                         |
| 106    | Issuer        | Feed identifier, e.g. trades.sfox.btcusd     |
| 268    | NoMDEntries   | Number of trade entries (typically 1)        |
| → 269  | MDEntryType   | 2: Trade                                     |
| → 270  | MDEntryPx     | Trade price                                  |
| → 271  | MDEntrySize   | Trade quantity                               |
| → 275  | MDMkt         | Market / exchange of the trade               |
| → 273  | MDEntryTime   | Trade timestamp                              |
| → 37   | OrderID       | Trade ID                                     |
| → 2446 | AggressorSide | <p>1: Buy<br>2: Sell</p>                     |

### Security List Request - x

Returns a [Security List - y](#security-list-y) response containing supported symbols

<table><thead><tr><th width="113">Tag</th><th width="222">Name</th><th width="131">Required</th><th>Description</th></tr></thead><tbody><tr><td>320</td><td>SecurityReqID</td><td>Y</td><td></td></tr><tr><td>559</td><td>SecurityListRequestType</td><td>Y</td><td><code>4</code>: All Securities</td></tr></tbody></table>

### Security List - y

The response containing the list of symbols from a [Security List Request - x](#security-list-request-x) request

<table><thead><tr><th width="115">Tag</th><th width="225">Name</th><th>Description</th></tr></thead><tbody><tr><td>320</td><td>SecurityReqID</td><td>SecurityReqID from the SecurityListRequest</td></tr><tr><td>322</td><td>SecurityResponseID</td><td>Unique identifier of the response</td></tr><tr><td>560</td><td>SecurityRequestResult</td><td><code>0</code>: Valid Request</td></tr><tr><td>146</td><td>NoRelatedSym</td><td>Specifies the number of returned symbols</td></tr><tr><td>-> 55</td><td>Symbol</td><td>Currency pair in lowercase <code>basequote</code> format, for example <code>btcusd</code></td></tr></tbody></table>


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