FX Market Data API
NOTE: The FX Market Data API is now live for NDF Matching. The API scope 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
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
23 May 2023
17 May 2023
15 May 2023
11 May 2023
4 May 2023