35=W within FX

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Imported from previous forum

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Hi All,

I am starting this thread so we can discuss how others ECN/Brokers/Banks implement 35=W for FX and what tags are used. Currently at HSBC we use FIX.4.4 and some of the values and tags that may be mentioned maybe from FIX 5.0.

35=W and information that is identical and repeated within a MDS

An example of repeated information is Tenor (63), Value Date(64), indicative/tradeable (1070). This obviously increases the size of the 35=W message when we have full depth book. See link for question i asked in :
http://www.fixprotocol.org/discuss/read/9ac7ec03

The suggestion we may go with is just to send the information in the first MDS entry and in the subsequent MDS only price, qty and quote id.

Thanks

Nadeem

3

Having an MarketDataSnapshotFullRefresh with some fields missing on some entries would make it ambiguous for fx providers as to whether different tenors/settl dates can be sent in one snapshot and also as these fields would have to be declared as non mandatory/conditional.

I think it would be preferable to have custom tags at the top level to define these fields. It would also signify that a single mdrefresh message is for a single tenor/settldate.

Hi All,

I am starting this thread so we can discuss how others ECN/Brokers/Banks implement 35=W for FX and what tags are used. Currently at HSBC we use FIX.4.4 and some of the values and tags that may be mentioned maybe from FIX 5.0.

35=W and information that is identical and repeated within a MDS

An example of repeated information is Tenor (63), Value Date(64), indicative/tradeable (1070). This obviously increases the size of the 35=W message when we have full depth book. See link for question i asked in :
http://www.fixprotocol.org/discuss/read/9ac7ec03

The suggestion we may go with is just to send the information in the first MDS entry and in the subsequent MDS only price, qty and quote id.

Thanks

Nadeem

4

Hi Uthiresh

Firstly thanks for the reply. That was also one of the options we had here, if we did do this would be good for all to agree the custom tags to use ( we at HSBC do currently use 9063/9064 which are equivalent of 63/64). The reason i was tending towards having the information in the first MDS message was:

  • No need to introduce new custom tags
  • In HSBC for our full depth, we use the same quoteid ( 299) for each MDS, hence this is also repeated information which is normally a large value. This would mean having a new custom tag for this.

Both are good options right now, hence why i am hoping we can have more feedback from others as i think the reduction in size of the 35=W message in streaming is key for everyone.

Also if you have time please let me know your thought on the 35=V thread.

Having an MarketDataSnapshotFullRefresh with some fields missing on some entries would make it ambiguous for fx providers as to whether different tenors/settl dates can be sent in one snapshot and also as these fields would have to be declared as non mandatory/conditional.

I think it would be preferable to have custom tags at the top level to define these fields. It would also signify that a single mdrefresh message is for a single tenor/settldate.

Hi All,

I am starting this thread so we can discuss how others ECN/Brokers/Banks implement 35=W for FX and what tags are used. Currently at HSBC we use FIX.4.4 and some of the values and tags that may be mentioned maybe from FIX 5.0.

35=W and information that is identical and repeated within a MDS

An example of repeated information is Tenor (63), Value Date(64), indicative/tradeable (1070). This obviously increases the size of the 35=W message when we have full depth book. See link for question i asked in :
http://www.fixprotocol.org/discuss/read/9ac7ec03

The suggestion we may go with is just to send the information in the first MDS entry and in the subsequent MDS only price, qty and quote id.

Thanks

Nadeem