SGX FX Composite Market Data FIX

Specification

Version 3

March 2025

SGX FX Systems UK Limited

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Contents 
 
 Introduction ............................................................................................................ 4 
 Connectivity ............................................................................................................ 4 
1.  Connection medium ............................................................................................... 4 
 Session Management .............................................................................................. 4 
1.  Message Formats ................................................................................................... 5 
1.1.  Logon.................................................................................................................. 5 
 Market Data ............................................................................................................ 5 
1.  Message Flow ........................................................................................................ 5 
2.  Message Formats ................................................................................................... 6 
2.1.  Market Data Request .......................................................................................... 6 
2.2.  Market Data Request Reject ............................................................................... 9 
2.3.  Market Data – Incremental Refresh ................................................................... 9 
 
 
   

1. Introduction

This document outlines the Financial Information Exchange (FIX) message format for

querying and receiving pricing from the SGX FX real-time composite system,

specifying the subset of FIX messages and fields supported by the interface. SGX FX's

market data streaming implementation is described here, based on the FIX 4.4

specification, and is intended to be read in conjunction with the FIX Protocol

Specification. The specification supports pricing on the following price streams

• Spot

• Forward

• NDF

2. Connectivity

The client is responsible for initiating the connection to SGX FX. Once the connection

is established the client must then initiate the normal FIX logon process.

To minimize market data message latency, SGX FX does not support persisting market

data messages, nor do we support these being resent on recovery. Further, the sequence

number will be explicitly reset on logon.

2.1. Connection medium

SGX FX support the below connection over the private networks such as through

Cross-Connectivity. Additional details on these are available upon request and options

can be discussed with the SGX FX team.

3. Session Management

The SGX FX interface supports the standard FIX session protocol, including all

standard session messages:

Name

MsgType

Heartbeat

Logon

Test Request

Resend Request

Reject

Sequence Reset

Logout

Note: The "Req'd" column used in the tables for this specification contain values 'Y' for

compulsory tags, 'N' for optional and 'C' for conditionally required tags.

Repeated groups are marked by an indention in the table, for example:

146

NoRelatedSym

...

→

Symbol

...

3.1. Message Formats

Only the Logon message requires clarification, the other session messages are as per the

specification.

3.1.1. Logon

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = A

108

HeartBtInt

Heartbeat interval (seconds).

EncryptMethod

Method of encryption. Only 0 (None) supported.

RawDataLength

The length of the password. Not set unless required by

RawData

The client's password. Not set unless required by LP

141

ResetSeqNumFlag

Indicates both sides of a FIX session should reset

sequence numbers.

Standard Trailer

4. Market Data

4.1. Message Flow

The client requests a stream of prices for a currency pair, by submitting a Market Data

Request with a SubscriptionRequestType of Snapshot + Updates (value 1). If the

request is successful, Market Data messages will start to be sent to the client. They will

continue to be sent until the connection is lost or a Market Data Request with a

SubscriptionRequestType of Disable previous Snapshot + Update Request (value 2) is

sent by the client.

All data is sent as Market Data Full Refresh messages that contain the full set of price

tiers, i.e. an entry will be provided for each price and amount.

The SettlType field can be used to specify which price to stream. The valid options are

0 for streaming spot prices or tenor codes for forward points. If the SettlType field is

left empty, a value of spot is assumed

Client will request one stream of either spot rates or forward rates for a specific tenor.

Clients can subscribe for multiple different tenor streams, e.g. spot, 1M forward, 2M

forward for the same currency pair all regarded as different streams. Attempts to submit

more than one Market Data Request for a specific stream will result in a Market Data

Request Reject message

For forward subscriptions, the spot price will be published in the forward stream (i.e. it

is not required to subscribe to both the spot and forward streams in order to get the all-

in price).

4.2. Message Formats

4.2.1. Market Data Request

Tag 50 (SenderSubID) can be used to send a stream ID which can differentiate between

different pricing tiers.

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = V

262

MDReqID

Unique identifier allocated by the client for the

subscription.

When unsubscribing (SubscriptionRequestType

= 2) the same Id must be supplied.

263

SubscriptionRequest

Type

1 = Subscribe

2 = Unsubscribe

264

MarketDepth

1= Top Of Book (0 = Full Book - supported but

returns the same result as top)

265

MDUpdateType

Required if SubscriptionRequestType = 0.

Supported values:

0 = Full request (not supported, we will still

send Incremental Refresh)

1 = Incremental Refresh

267

NoMDEntryTypes

Number of MDEntryType fields to follow.

→

269

MDEntryType

0 = Bid

1 = Offer

146

NoRelatedSym

Number of symbols requested. Currently only a

single Symbol can be requested per Market

Data Request message. Supported values: 1

→

Symbol

The currency pair to subscribe to in the form

base/term where base and term are ISO

currency code, e.g. EUR/USD.

→

167

SecurityType

Indicates type of security.

FX_SPOT = FX Spot

FX_FWD = FX Forward

FX_NDF = Non-deliverable forward

→

9301

Tenor

Optional: Valid tenors are SN, 1W, 2W, 3W,

1M, 2M, 3M, 6M, 1Y.

This tag is mandatory for Forwards/NDFs only.

Standard Trailer

Example: Spot MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

EUR/USD

167

SecurityType

FX_SPOT

Example Spot request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=52 | 50=GOLD | 52=20160424-

22:54:31.757 | 262=BROKERFXRFS-2016042422543151 | 263=1 | 264=0 |

265=0 |267=2 | 269=0 | 269=1 | 146=1 | 55=EUR/GBP | 167=FX_SPOT |

10=139 |

Example: Forward MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

EUR/USD

167

SecurityType

FX_FWD

93001

Tenor

Example Forward request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=1017 | 50=GOLD | 52=20160425-

06:46:18.493 | 262=BROKERFXRFS-2016042506461889 | 263=1 | 264=0 |

265=0 | 267=2 | 269=0 | 269=1 | 146=1 | 55=EUR/GBP | 167=FX_FWD |

93001=1M 10=138 |

Example: NDF MD Request

Tag

Field Name

Value

MsgType

262

MDReqID

Custom

263

SubscriptionRequestType

264

MarketDepth

265

MDUpdateType

267

NoMDEntryTypes

269

MDEntryType

269

MDEntryType

146

NoRelatedSym

Symbol

USD/INR

167

SecurityType

FX_NDF

93001

Tenor

Example NDF request message:

35=V | 49=SGX FX | 56=BROKER-MD | 34=24 | 50=TIER1 | 52=20160505-

21:11:06.125 | 262=BROKERFXRFS-2016050521110621 | 263=1 | 264=0 |

265=0 | 267=2 | 269=0 | 269=1 | 146=1 | 55=USD/PHP | 167=FX_NDF |

93001=1M | 10=052 |

4.2.2. Market Data Request Reject

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = Y

262

MDReqID

Must refer to the MDReqID of the request.

281

MDReqRejReason

Rejection reason code. See FIX Specification

for valid values.

Text

Textual description of the rejection reason.

Standard Trailer

4.2.3. Market Data – Incremental Refresh

Tag

Field Name

Req'd

Comment

Standard Header

MsgType = X

262

MDReqID

As provided in the Market Data

Request.

268

NoMDEntries

Number of entries following.

→

269

MDEntryType

Supported values:

0 = Bid

1 = Offer

→

278

MDEntryID

Uniquely identifies the market

data entry for purposes of later

updates or deletes.

→

279

MDUpdateAction

Type of market update action:

0 = New

1 = Change

→

Symbol

The currency pair the entry for in

form base/term, where base and

term are ISO currency code, e.g.

EUR/USD.

→

270

MDEntryPx

All-in price

→

271

MDEntrySize

The trade size the MDEntryPx.

→

272

MDEntryDate

The value date of the trade.

→

273

MDEntryTime

Time of Market Date Entry

(millisecond precision).

→

1027

MDEntryForwardPoints

Expressed in decimal form.

→

20001

ConfidenceLevel

Composite price confidence level

(2-5).

Standard Trailer

Example: Spot Incremental Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

268

NoMDEntries

→

269

MDEntryType

→

278

MDEntryID

Custom id

→

Symbol

EUR/USD

→

270

MDEntryPx

123.123

→

271

MDEntrySize

10000000

→

272

MDEntryDate

20160505

→

273

MDEntryTime

11:41:13.276

→

20001

ConfidenceLevel

→

269

MDEntryType

→

...

Example Spot incremental refresh message:

35=X|49=BROKER-MD|56=SGX FX|34=17|52=20160502-

21:10:38.766|262=BROKERFXRFS-

201605022110382|268=4|269=0|278=AUS/USD70|55=AUS/USD|270=0.76728|271

=1000000|272=20160504|273=21:10:38.766|20001=5|269=1|278=AUS/USD71|5

5=AUS/USD|270=0.66728|271=1000000|272=20160504|273=21:10:38.766|2000

1=5|269=0|278=AUS/USD72|55=AUS/USD|270=0.89944|271=2000000|272=20160

504|273= 21:10:38.766|20001=5|

Example: Forward Incremental Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

268

NoMDEntries

269

MDEntryType

278

MDEntryID

Custom id

Symbol

EUR/USD

270

MDEntryPx

123.123

→

271

MDEntrySize

10000000

→

272

MDEntryDate

20160505

→

273

MDEntryTime

11:41:13.276

→

1027

MDEntryForwardPoints

0.00123

→

20001

ConfidenceLevel

→

269

MDEntryType

→

...

Example merged Forward incremental refresh message:

35=X | 49=BROKER-MD | 56=SGX FX | 34=895981 | 52=20160506-

00:26:51.770 | 262=BROKERFXRFS-2016050600265044 | 268=4 | 269=0 |

278=USD/SGD10 | 55=USD/SGD | 270= 1.359066 | 271=1000000 |

272=20160523 | 273=00:26:51.770 | 20001=5 | 269=1 | 278=USD/SGD11 |

55=USD/SGD | 270= 1.459066 | 271=1000000| 272=20160523 |

273=00:26:51.770 | 20001=5 |

269=0 | 278=USD/SGD12 | 55=USD/SGD | 270= 2.359066 | 271=2000000 |

272=20160523 | 273=00:26:51.770 | 20001=5 | 269=1 | 278=USD/SGD13 |

55=USD/SGD | 270= 2.459066 | 271=2000000 | 272=20160523 |

273=00:26:51.770 | 20001=5 | 10=169 |

Example: NDF Incremental Refresh

Tag

Field Name

Value

MsgType

262

MDReqID

Custom id

268

NoMDEntries

269

MDEntryType

278

MDEntryID

Custom id

Symbol

USD/MYR

270

MDEntryPx

123.123

→

271

MDEntrySize

10000000

→

272

MDEntryDate

20160505

→

273

MDEntryTime

11:41:13.276

→

1027

MDEntryForwardPoints

0.00123

→

20001

ConfidenceLevel

→

269

MDEntryType

→

...

Example merged NDF full refresh message:

35=W | 49=BROKER-MD | 56=SGX FX | 34=931064 | 52=20160506-

00:32:03.673 | 262=BROKERFXRFS-2016050600320246 | 268=4 | 269=0 |

278=USD/MYR10 | 55=USD/MYR | 270= 1.359066 | 271=1000000 |

272=20160523 | 273=00:26:51.770 | 20001=5 | 269=1 | 278=USD/MYR11 |

55=USD/MYR | 270= 1.459066 | 271=1000000| 272=20160523 |

273=00:26:51.770 | 20001=5 |

269=0 | 278=USD/MYR12 | 55=USD/MYR | 270= 2.359066 | 271=2000000 |

272=20160523 | 273=00:26:51.770 | 20001=5 | 269=1 | 278=USD/MYR13 |

55=USD/MYR | 270= 2.459066 | 271=2000000 | 272=20160523 |

273=00:26:51.770 | 20001=5 | 10=190 |