Market data and reference data


Hi FIX family,
Hope everyone doing well and got good plans for Thanks Giving,

I am trying to learn something related Market data and reference data w.r.t FIX protocol. is this something related to FIX 5.0 ? as far as I know. Market data is feed from various vendors to the database.

any sort of comments or suggestions are appreciated, someone asked me this question on a job interview.

Looking forward.


Hi, some suggestions:
check out the Reuters developer community
Also visit FactSet and Bloomberg sites.
checkout Fiximate and study related message types.
For instance message type “V”.
And investigate on FIX FAST protocol.


@pavanfix The basic market and reference data messages have already been added to FIX with FIX 4.2, i.e. it is not a “FIX 5 thing”. Higher versions have added to the capabilities, including additional messages. The encoding of market data must be binary for performance reasons. FAST was the first binary encoding from FIX to address this, as mentioned by @111s. It is fairly complex and was designed more for bandwidth issues than for low latency. There is a second, fairly recent FIX binary encoding called Simple Binary Encoding (SBE, which is fixed length and well suited for both transactional and market data in high performance environments. It is “simple” as the name says…


Oh I see. Thanks for the comments


and one more question, I was trying to find some realtime examples. But I couldn’t,
who normally uses FIX 35=V message for market data ? I see 3rd party vendors who provide market data


“FIX 35=V” is a MarketDataRequest message. If you are looking into serious market data from exchanges or vendors you will probably not see this message being offered. Just imagine hundreds of requests for specific subsets of bulk data. The (business and technical) model is rather to broadcast multiple streams of market data which you can subscribe to (and pay unless it is bundled into the transaction/connection cost) separately. The recipient then chooses the stream(s) and selects the relevant subset(s) within each given stream by ignoring what he is not interested in.

Many venues publish their (FIX) market data specs. Or is your question only about examples for MarketDataRequest?


The Aussies (ASX) and Metal Exchange London mention 35=V in their FIX specs. As Hanno points out a market data feed requires session and in parts infrastructural (network) seperation from the order flow and back office session from a risk perspective. A dedicated handling throughout most parts of the entire stack is strongly recommended. This is always true when trying to fiddle with mass data into your market data management system. It’s different if you only have a few traders and the MD requests / min from their trading UIs are rather low. Like in the old broacasting days of VALUES @ Xetra.