FX Market Data API

NOTE: The FX Market Data API is now live for NDF Matching. The API functionality will be extended to include spot and forwards as part of the migration of the existing venues to the new infrastructure. For any clarifications please email FXTAM@lseg.com.  

The FX Market Data API is a point-to-point service based on the technology and industry-standard FIX SBE to allow trading participants to receive real-time information for each instrument traded on our Primary CLOBs. The API is based on FIX SBE Version 2 Release Candidate 2. The feed includes a specific set of FIX messages, constituent tags and messaging workflows that are required to support the dissemination of market data.

The following business functions are supported:

  • Provide the following conflated information for each instrument traded on Primary CLOBs
  • Price depth information for the order book. The feed provides information on the aggregated displayed quantity and the number of displayed orders for each of the configurable number of price points
  • Statistics (LTP and VWAP)
  • Trading status of each instrument
  • Information regarding security and trading session status

 

See the FX Market Data API Technical Overview  for information on the two key methods to connect to the FIX Market Data API:

  • The Standard TCP/IP Market Data Feed
  • Premium Multicast Market Data Feed

 

Click here to download the FX Market Data Schema XML. This XML message schema includes metadata that specifies messages and their data types and identifiers.

 

Updates

24 June 2024

  • LSEG FX Venues Colo Connectivity Technical Deployment Guide

14 June 

  • FX Market Data API Specification
  • FX Market Data API XML Schema

13 June 2024

  • LSEG FX Matching Venues Connectivity Options Guide
  • LSEG FX Venues Colo Connectivity Technical Deployment Guide

24 April 2024

  • FX Market Data API Technical Overview 
    Updates include a summary of the differences between market data for NDF Matching and Spot/Forward Matching, as well as additional detail on the decryption of Spot/Forward Premium Market Data

23 April 2024

15 January 2023

  • The Early Integration Development (EID) environment has been discontinued, customers should develop in the Client Development Service (CDS) environment

22 November 2023

10 November 2023

31 October 2023

25 October 2023

25 October 2023

24 October 2023

27 September 2023

7 September 2023

16 August 2023

18 July 2023

23 June 2023

14 June 2023

2 June 2023

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11 May 2023

4 May 2023