Exchange FIX Market Data Messages 5.0

The FIX market data API provides an L3 feed only with direct, low-latency, deterministic access.

About this API:

• Baseline: FIX 5.0 SP2 specification.
• Environments: Production, Sandbox

Environment URLs

• Production Snapshot Enabled Gateway: VAR::FIX_URL_PROD_MARKET_DATA
• Production Snapshot Disabled Gateway: VAR::FIX_URL_PROD_MARKET_DATA_SNAPSHOT_FREE
• Sandbox Snapshot Enabled Gateway: VAR::FIX_URL_SAND_MARKET_DATA_FIVE
• Sandbox Snapshot Disabled Gateway: VAR::FIX_URL_SAND_MARKET_DATA_FIVE_SNAPSHOT_FREE

You can connect with the same authentication as our existing FIX order entry system. Connectivity is limited to a single connection per API key—Order Entry rate limits do not apply (connections, rps, burst rps).

FIX5 Resets Saturdays at 1PM ET

FIX5 Order Entry and Market Data customers will be logged out every Saturday at 1PM ET (6PM UTC).

Header

A standard header must be present at the start of every message in both directions.

Tag	FieldName	Type	Required	Notes
8	BeginString	String	Y	Must be FIXT.1.1
49	SenderCompID	String	Y	Client API key (on messages from the client)
56	TargetCompID	String	Y	Must be Coinbase (on messages from client)
52	SendingTime	UTCTimestamp	Y	UTC time down to millisecond resolution in the format YYYYMMDD-HH:MM:SS.sss

Logon (35=A)

Tag	FieldName	Type	Required	Notes
34	MsgSeqNum	Int	Y	Must be 1
98	EncryptMethod	Int	Y	Must be 0 (None)
108	HeartBtInt	Int	Y	Heartbeat interval is capped at 300s, defaults to 10s
141	ResetSeqNumFlag	Boolean	Y	Resets the sequence number. Can be Y/N
553	Username	String	Y	Client API Key
554	Password	String	Y	Client API passphrase
95	RawDataLength	Int	Y	Number of bytes in RawData field
96	RawData	String	Y	Client message signature
1137	DefaultApplVerID	String	Y	Must be 9 (FIX 5.0 SP2)

Market Data Request (35=V)

Clients should use this message to subscribe to or unsubscribe from market data for one or more symbols.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
263	SubscriptionRequestType	Int	Y	1=Subscribe 2=Unsubscribe
146	NoRelatedSym	Int	Y	How many symbols are in the request
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data

Market Data Request Reject (35=Y)

This message is sent to clients to reject an invalid market data request.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
281	MDReqRejReason	Char	Y	0=Unknown symbol 1=Duplicate MDReqID 7=Other
58	Text	String	N	Error description

Security Status (35=f)

This message is streamed to clients together with the incremental updates for subscribed symbols and reflects changes in the trading status, tick size, or other attributes of an instrument.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
83	RptSeq	Long	Y	Public sequence number by symbol
55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
1682	MDSecurityTradingStatus	String	Y	trading_disabled cancel_only post_only limit_only full_trading auction_mode
969	MinPriceIncrement	Decimal	Y	Minimum increment for quote currency (e.g., 0.01 USD for BTC-USD)
29003	MinSizeIncrement	Decimal	Y	Minimum increment for base currency (e.g., 0.00000001 BTC for BTC-USD)

Market Data Incremental Refresh (35=X)

Coinbase Exchange sends L3 order-by-order updates so clients can build a full book of all open orders, plus acknowledgements of orders by the matching engine with the order’s client order ID (ClOrdID) before matching. This helps clients immediately identify which orders and trades in the book (both aggressive and passive) are theirs, as well gain advance knowledge of orders that are pending processing by the matching engine. These acks correspond to the Received message in the web-socket feed.

• When MDEntryID is not present, the message is the acknowledgement of an order prior to matching.
• When MDEntryID is present, the message should be used for book-building. You can ignore Change messages with an MDEntryID for which you never received a New message.

When book-building, Change messages received before a corresponding New message can be ignored. Users may occasionally receive Change messages with MDUpdateAction=1 and an MDEntryID with Text=CHANGE_REASON_STP when the quantity on the original received order was reduced due to Self-trade Prevention (prior to the order being placed on the order book).

To maintain an up-to-date L3 order book when subscribing to the Snapshot Disabled Gateway:

1. Send a SubscriptionRequestType=1 Market Data Request (35=V) message for the product(s) of interest.
2. Queue any Market Data Incremental Refresh (35=X) messages received over the FIX session.
3. Make a REST request for the order book snapshot from the REST API.
4. Playback queued messages, discarding sequence numbers before or equal to the snapshot sequence number.
5. Apply playback messages to the snapshot as needed.
6. After playback is complete, apply real-time Market Data Incremental Refresh (35=X) messages as they arrive.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
268	NoMDEntries	Int	Y	Always 1
=>279	MDUpdateAction	Char	Y	0=New 1=Change 2=Delete
=>269	MDEntryType	Char	Y	0=Bid 1=Offer 2=Trade
=>278	MDEntryID	String	N	If present, this ID is the order ID that should be used for book-building If not present, this message is the initial ack and should not be used to build the book
=>83	RptSeq	Long	Y	Public sequence number by symbol
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
=>270	MDEntryPx	Decimal	Y	The price of the order
=>271	MDEntrySize	Decimal	Y	The quantity remaining of the order
=>60	TransactTime	UTCTimestamp	Y	The engine timestamp of the order in microseconds
=>40	OrdType	Char	N	Sent only if the message represents the initial ack of an order: 1=Market 2=Limit
=>11	ClOrdID	String	N	The client order ID on the initial ack of an order
=>37	OrderID	String	N	The exchange order ID on the initial ack of an order OR If MDEntryType=2, then this is the aggressive Order ID
=>58	Text	String	N	If MDUpdateAction=1, then the possible values are: CHANGE_REASON_STP CHANGE_REASON_MODIFY_ORDER CHANGE_REASON_REMAINDER_AFTER_MODIFICATION If MDUpdateAction=2, then the possible values are: CANCELED FILLED
=>5797	AggressorSide	Int	N	Sent only on trades MDEntryType=2 1=Buy 2=Sell
=>29004	Funds	Decimal	N	Market orders may have an optional funds field which indicates how much quote currency is used to buy or sell

Market Data Snapshot Full Refresh (35=W)

Only Available On Snapshot Enabled Gateway

The Market Data Snapshot Full Refresh (35=W) message is only supported on the Snapshot Enabled Gateway.

This message provides a full snapshot of all orders in the order book, including those placed before the client subscribed to incremental market data.

A snapshot is requested automatically when a successful Market Data Request from the client is processed for a given symbol. Clients should queue up incremental updates and process only the incremental updates with sequence number RptSeq greater than the RptSeq in the initial MD Snapshot Full Refresh snapshot message.

If clients are already subscribed to a symbol and send another Market Data Request to subscribe, they will not receive a new snapshot for that symbol. Clients must unsubscribe and subscribe to the market data again for a given symbol to receive a new snapshot.

Tag	FieldName	Type	Required	Notes
262	MDReqID	String	Y	Client identifier for the market data request
83	RptSeq	Long	Y	Public sequence number for the final update in the snapshot by symbol
893	LastFragment	Char	Y	Is this the last message in the snapshot for a given symbol Y=Yes N=No
55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
268	NoMDEntries	Int	Y	Number of orders to be added to the book in this snapshot message
1682	MDSecurityTradingStatus	String	Y	trading_disabled cancel_only post_only limit_only full_trading auction_mode
=>269	MDEntryType	Char	Y	0=Bid 1=Offer
=>278	MDEntryID	String	Y	The order ID that should be added to the book
=>270	MDEntryPx	Decimal	Y	The price of the order
=>271	MDEntrySize	Decimal	Y	The quantity remaining of the order

Security List Request (35=x)

This message is sent by clients to request a full list of instruments that Coinbase Exchange supports together with each instrument’s trading status, tick size, minimum order quantity, and any other descriptive fields.

Tag	FieldName	Type	Required	Notes
320	SecurityReqID	String	Y	Client identifier for the request
559	SecurityListRequestType	Int	Y	Always 4=All Securities

Security List (35=y)

Instrument definition messages are returned in response to a client’s Security List Request.

Tag	FieldName	Type	Required	Notes
320	SecurityReqID	String	Y	Client identifier for the request
322	SecurityResponseID	String	Y	Response ID for the Security List Request
560	SecurityRequestResult	Int	Y	0=Valid Request 1=Invalid Request
893	LastFragment	Char	Y	Is this the last instrument definition message in response to the original request Y=Yes N=No
393	TotNoRelatedSym	Int	Y	Total number of symbols that will be sent cumulatively
146	NoRelatedSym	Int	Y	How many symbols are in this FIX message
1682	MDSecurityTradingStatus	String	Y	trading_disabled cancel_only post_only limit_only full_trading auction_mode
=>55	Symbol	String	Y	Repeating group of symbols for which the client requests market data
=>15	Currency	String	Y	The quote currency for the symbol (e.g., USD if 55=BTC-USD)
=>562	MinTradeVol	Decimal	Y	The minimum notional amount in quote currency terms for an order
=>969	MinPriceIncrement	Decimal	Y	Minimum increment for quote currency (e.g., 0.01 USD for BTC-USD)
=>29003	MinSizeIncrement	Decimal	Y	Minimum increment for base currency (e.g., 0.00000001 BTC for BTC-USD)