Market Data request handling allows the acceptor (the exchange) to register the request from an initiator who's willing to trade a given symbol. Once this request is received, the acceptor starts streaming the price updates to the initiator. Let's have a look at the following code:

def onMarketDataRequest(self, message, sessionID):
 requestID = quickfix.MDReqID()
 try:
 message.getField(requestID)
 except Exception as e:
 raise quickfix.IncorrectTagValue(requestID)

 try:
 relatedSym = self.fixVersion.MarketDataRequest.NoRelatedSym()
 symbolFix = quickfix.Symbol()
 product = quickfix.Product()
 message.getGroup(1, relatedSym)
 relatedSym.getField(symbolFix)
 relatedSym.getField(product)
 if product.getValue() != quickfix.Product_CURRENCY:
 self.sendMarketDataReject(requestID, " product.getValue() != quickfix.Product_CURRENCY:", sessionID)
 return

 # bid
 entryType = self.fixVersion.MarketDataRequest.NoMDEntryTypes()
 message.getGroup(1, entryType)

 # ask
 message.getGroup(2, entryType)

 symbol = symbolFix.getValue()
 subscription = self.subscriptions.get(symbol)
 if subscription is None:
 self.sendMarketDataReject(requestID, "Unknown symbol: %s" % str(symbol), sessionID)
 return

 subscription.addSession(sessionID)
 except Exception as e:
 print e,e.args
 self.sendMarketDataReject(requestID, str(e), sessionID)

As shown in the preceding code, the onMarketDataRequest callback that's handling the market data request does the following:

• Gets the request ID: The exchange will check whether the request ID has not already been processed.
• Gets the symbol ID: The symbol updates that are linked to this symbol will be sent to the initiator.
• Gets the product: The exchange checks whether the product that was requested is in the system. If the product isn't, a rejection message will be sent to the initiator.