This happens when you are requesting market data that you do not have access to. There can be a few reasons why you do not have the right access permissions:
You are querying market data non-FX instruments with a demo account
Saxo Bank only offers market data (prices, P/L values, etc.) for Forex instruments to demo accounts on the simulation environment. That means market data on Stocks, CFDs, ETFs and other instruments that are not Forex pairs are restricted. To avoid this you can connect your demo account with a live account. This will allow the demo account to see the same instruments and prices as the live account.
You do not have market data enabled for your account
If market data is not enabled via our API then any queries to receive such will give you NoAccess in the response.
Likewise, if CurrentPriceType=None, enabling market data is similarly needed to access price based derivations (position profit and loss, for example).
See resources below to find a guide on enabling market data.
You do not have a subscription for prices on the instrument our are querying
Some instruments like Indices requires a subscription for live data. This subscription has to be purchased before the data is available.
Live demo - Monitoring Price Feed