FAQ - Zero Hash Market Data Feed

How does Zero Hash Update their FIX Market Data Feed?

The Zero Hash CLOB employs the Market By Order (MBO) approach, allowing traders and systems to view open orders at different price levels in the market. The MBO message sends incremental updates to the order book, providing information about new orders, order modifications, and order cancellations.

Why MBO?

MBO offers a stateful, order-based Market data feed, providing the ability to view individual queue positions, full depth of book, and the size of individual orders at each price level.

Market By Price (MBP), on the other hand, restricts updates to a maximum of 10 price levels and consolidates all quantity into a single update for each price level, making it difficult to determine individual order sizes accurately.

How does the Market By Order (MBO) book work?

When connecting to the CLOB Market Data Gateway, a Market Data Request (tag 35=V) must be sent. The initial response will be a snapshot of the Market Data (MsgType 35=W). All orders in the order book are sorted based on price/time priority. The position in queue of an order can be tracked using tag <273> MDEntryTime.

Tag <268> NoMDEntries indicates how many open orders are in the market. Each order in the market will have the following fields in the market snapshot message:

  • 269 MDEntryType
    • 0 = BID
    • 1 = OFFER
  • 270 MDEntryPx
    • Price of the order.
  • 271 MDEntrySize
    • Quantity of the order.
  • 272 MDEntryDate
    • Date of the order.
  • 273 MDEntryTime
    • Time of order entry.
  • 59 TimeInForce
    • 0 = DAY
    • 6 = GOOD_TILL_DATE
  • 37 OrderID
    • Unique identifier for Order.
  • 278 MDEntryID
    • Market Data Entry identifier.
  • 40 OrdType
    • 2 = LIMIT
    • 3 = STOP
    • 4 = STOP_LIMIT

How is order updates handled with a MBO schema in the Market Data Feed?

For incremental refresh messages in the Market Data feed on the Zero Hash CLOB, a series of MDEntry messages representing individual order actions are sent. There can be multiple order entries per price level, and the incremental messages provide updates for orders that are New, Updated, or Deleted.

Market Update messages are sent in MsgType 35=X messages. To receive incremental update messages on the market data gateway, clients need to send their SubscriptionRequestType as Snapshot & Updates (tag 263=1).

The initial message is a Snapshot of the Market 35=W, followed by incremental updates of the market activity.

Initial Snapshot <35 = W>


Order Added <35 = X>


Order Added at same price and quantity <35 = X>


Order Canceled <35 = X>


MDUpdateAction, tag <279> is the first tag in the repeating group of order events. MDUpdateAction will specify the order update event triggered in the incremental snapshot. The enumerators for MDUpdateAction are:

  • 1 = NEWIndicates a new order has been added.
  • 2 = CHANGE Indicates a change in an existing order.
  • 3 = DELETE Indicates an order has been canceled.

Receiving an order update message would mean clients will be required to update their order book to ensure it is reflecting the change. If an order with the Order ID 37=1F1KJ21XSBR05 is received in our snapshot request, and an incremental Market Data message following with the tags |37=1F1KJ21XSBR05|279=2| then we must omit this order from the order book.

If the order has been updated, we will receive an incremental Market Data message follows with the tags |37=1F1KJ21XSBR05|279=1|. This will indicate a change in the order price or quantity and should be updated in the clients order book.

Once an order has been updated (279=1) and the quantity has been increased, the order will lose its position in the processing queue. If the order quantity has been decreased then the order will maintain the position in queue, this can be monitored by use of tag <273> MDEntryTime.