Book checksum (FIX)

How to maintain the order book and validate the CRC32 checksum on the FIX Market Data Incremental Refresh

The Market Data Incremental Refresh message includes a CRC32 checksum (tag 5041) with each update. Validating it confirms your local book is correctly synchronised with the exchange.

The checksum is always calculated over the top 10 price levels regardless of subscription depth. Process all updates in a message before calculating the checksum.

Book maintenance

Each entry in the Market Data Incremental Refresh carries an update action:

Action	Meaning
New (279=0)	A new price level was added
Update (279=1)	The quantity at a price level changed
Delete (279=2)	A price level was removed

Checksum calculation

Prices and quantities in the FIX feed are sent as floats. To compute the checksum correctly, you must first determine the precision for each instrument from an Security List Request.

Step 1 — get instrument precision

Send a Security List Request for the instrument:

8=FIX.4.4|9=90|35=x|34=3|49=CLIENT|52=20231012-09:54:15.316|56=KRAKEN-MD|55=BTC/USD|320=SLS1000002|559=0|10=026|

The Security List response includes two precision fields:

8=FIX.4.4|9=177|35=y|49=KRAKEN-MD|56=CLIENT|34=3|52=20231012-09:54:15.317|320=SLS1000002|322=1697104455317568799|560=0|146=1|55=BTC/USD|562=0.00000001|5010=8|5011=0.0001|2349=1|5022=0.1|5032=1|10=068|

The two fields you need for checksum calculation:

• 2349=1 — price precision is 1 decimal place
• 5010=8 — quantity precision is 8 decimal places

Store these values. They apply to all subsequent Market Data messages for this instrument.

Step 2 — subscribe and receive snapshot

Subscribe to Market Data for depth 10:

8=FIX.4.4|9=124|35=V|34=6|49=CLIENT|52=20231012-09:54:15.316|56=KRAKEN-MD|146=1|55=BTC/USD|262=0|263=1|264=10|265=1|267=3|269=1|269=0|269=2|10=170|

The Market Data Full Refresh response establishes your initial book state. No checksum is provided on the snapshot — only on subsequent incremental updates.

Step 3 — calculate checksum on each incremental update

1. Apply the update

   Apply all entries in the Market Data Incremental Refresh to your local book before calculating the checksum.

2. Build the asks string

   For each of the top 10 ask price levels, sorted by price low to high:

   • Format the price using the instrument’s price precision → 28013.0 → "28013.0"
   • Remove . → "280130"
   • Remove leading zeros → "280130"
   • Format the quantity using the instrument’s quantity precision → 0.00096506 → "0.00096506"
   • Remove . → "000096506"
   • Remove leading zeros → "96506"
   • Append price + qty to the asks string → "28013096506"
3. Build the bids string

   For each of the top 10 bid price levels, sorted by price high to low, apply the same formatting and append to the bids string.

4. Concatenate and hash

   Concatenate asks + bids strings, then pass the result to a CRC32 function. Cast the result to an unsigned 32-bit integer and compare to tag 5041 in the message.

Example

Incremental update received:

8=FIX.4.4|9=167|35=X|34=12|49=KRAKEN-MD|52=20231012-09:55:14.934|56=CLIENT|55=BTC/USD|262=0|268=1|279=1|269=1|278=O28013.0|270=28013.0|271=0.00096506|273=09:55:15.071|5041=3341325816|10=090|

Asks string (low → high, price precision=1, qty precision=8):

28013096506280398100000280665100000280933100000281200100000281467100000281735100000282002100000282270100000282537100000

Bids string (high → low):

28003010000027999996375279699738604232770013500002757323200002713741000000270913400000267294100000267026100000266759100000

Concatenated input to CRC32:

2801309650628039810000028066510000028093310000028120010000028146710000028173510000028200210000028227010000028253710000028003010000027999996375279699738604232770013500002757323200002713741000000270913400000267294100000267026100000266759100000

Expected result: 3341325816