I develop with EMA C++
I can get "market state" from RefreshMsg info when I request a stock;
I want to know is there any special ReqMsg only for the market state.
As far as I know, there is no special request message for request only market state. You have to know which field provide the market state or status and then monitoring the field value.
Note that, each Exchange has its own way of coding and mapping the trade status. So, depending on the exchange, the status will be in one trade field or another, potentially even in a set of fields, and the data in those fields will vary by the Exchange as well. To add to the difficulty, it can happen that exchanges change the mapping.
If you want to monitor the market state, you have to confirm with Content support for the fields that can provide the state/status for your Exchange.