FX Market Data API

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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 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

FX Market Data API Specification
Significant changes and improvements for NDF Matching

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