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

  1. logged on to quote-session
  2. subscribed to market data
  3. sent "single-message" quote-request for an instrument (EUR/USD for example)
  4. 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').

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  • $\begingroup$ Did you set SubscriptionRequestType to Snapshot+Updates? $\endgroup$
    – amsh
    Apr 5, 2016 at 8:56
  • $\begingroup$ yes i sent 263=1 ,but still not sure if I got mulitple levels/tiers of open book $\endgroup$
    – Reza Str
    Apr 8, 2016 at 11:22
  • $\begingroup$ I'm voting to close this question as off-topic because it is a pure IT question (hence off topic) $\endgroup$
    – lehalle
    Apr 14, 2016 at 20:27
  • $\begingroup$ No It's not. This question is also associated with FIX-API workflow. $\endgroup$
    – Reza Str
    Apr 14, 2016 at 22:58

1 Answer 1

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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.

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  • $\begingroup$ I checked thoroughly & found i did send 263=1, but still, i got a single response containing one BID,one ASK & their Volumes( not price-tiers/bids/asks). How can i get all price-tiers of the whole book?(market depth) $\endgroup$
    – Reza Str
    Apr 8, 2016 at 11:28
  • $\begingroup$ At least two things can be happening -- 1) your counterparty does not provide this information. Have you checked with them? Perhaps you have a demo account, etc. 2) you could be sending another message 35=V with tag 263=2 (Unsubscribe) immediately after you subscribe. Look at your FIX logs to try to troubleshoot. $\endgroup$
    – Wapiti
    Apr 8, 2016 at 12:45
  • $\begingroup$ solved this by sending 265=0(Full Refresh) & 264=N>1 $\endgroup$
    – Reza Str
    Apr 14, 2016 at 23:10
  • $\begingroup$ That doesn't make any sense, but I'll take your word for it... $\endgroup$
    – Wapiti
    Apr 14, 2016 at 23:15

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