Imported from previous forum
Hello all!
I have a need to send some basic intrument data
via FIX 4.2 . This is what I call basic instrument
data, and has fields like market, company,
intrument_id, underlying_info… etc. About 25
strings of information about the tradeable
instruments including instrument necessary to form
a unique instrument reference.
It seems that there is nothing like this available
in FIX 4.2? So I should propably use a custom
message type with appropriate repeating groups so
that all basic data with one Market / list /
category will be sent within one message (ok. the
message size could be exceeded, maybe there could
be a flag saying that there will be more…)
Anyway, does anybody have any input on the subject?
I would recommend looking at the SecurityDefinition message in FIX 4.2 as a basis.
> Hello all!
>
> I have a need to send some basic intrument data
> via FIX 4.2 . This is what I call basic instrument
> data, and has fields like market, company,
> intrument_id, underlying_info… etc. About 25
> strings of information about the tradeable
> instruments including instrument necessary to form
> a unique instrument reference.
>
> It seems that there is nothing like this available
> in FIX 4.2? So I should propably use a custom
> message type with appropriate repeating groups so
> that all basic data with one Market / list /
> category will be sent within one message (ok. the
> message size could be exceeded, maybe there could
> be a flag saying that there will be more…)
>
> Anyway, does anybody have any input on the subject?
>
>
>
Thanks for your ansver!
I did look into this indeed, but it seems to me that it won’t quite cut it. What I want to do, is ask for a certain market, and get a message back in which all intsruments are included (repeating group).
Alltough tag 321 says: 3 = Request List Securities (Can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange is provided then only list Securities for the specific type)
And I understand this so that I can send a message simply stating 321=3 and something else in the text -field to specify the market for example, and then I simply respond with a message saying that this market you asked for has 567 instruments, which are in this repeating group here. Enjoy. This won’t work with the security definition request, so do you suppose I’m better of inventing a custom message of my own?
> I would recommend looking at the SecurityDefinition message in FIX 4.2 as a basis.
>
> > Hello all!
> >
> > I have a need to send some basic intrument data
> > via FIX 4.2 . This is what I call basic instrument
> > data, and has fields like market, company,
> > intrument_id, underlying_info… etc. About 25
> > strings of information about the tradeable
> > instruments including instrument necessary to form
> > a unique instrument reference.
> >
> > It seems that there is nothing like this available
> > in FIX 4.2? So I should propably use a custom
> > message type with appropriate repeating groups so
> > that all basic data with one Market / list /
> > category will be sent within one message (ok. the
> > message size could be exceeded, maybe there could
> > be a flag saying that there will be more…)
> >
> > Anyway, does anybody have any input on the subject?
> >
> >
> >
>
[ original email was from Jim Northey - jnorthey@lasalletech.com ]
Did you look at Appendix I in the 4.2 specification? An example is provided that shows how SecDefReq & Sec Def should be used to return a list of products available on the product.
It is somewhat confusing that the list of securities has to be returned in the Underlying* repeating group. This was done to overcome a limitation in FIX that tags not be repeated in different parts of a message.
Security Definition Request / Security Definition was design to support dynamic discovery of products available from a counterparty. In appendix I - Scenario 2 - return a list of security types. The security types are returned in the repeating group. Assuming the counterparty has a security type you are interested in - you can then request a list of securities for a specific security type and receive a list of securities available from the counterparty (Scenario 3) (See pages 235-238).
Hope this helps.
> Thanks for your ansver!
>
> I did look into this indeed, but it seems to me that it won’t quite cut it. What I want to do, is ask for a certain market, and get a message back in which all intsruments are included (repeating group).
>
> Alltough tag 321 says: 3 = Request List Securities (Can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange is provided then only list Securities for the specific type)
>
> And I understand this so that I can send a message simply stating 321=3 and something else in the text -field to specify the market for example, and then I simply respond with a message saying that this market you asked for has 567 instruments, which are in this repeating group here. Enjoy. This won’t work with the security definition request, so do you suppose I’m better of inventing a custom message of my own?
>
>
> > I would recommend looking at the SecurityDefinition message in FIX 4.2 as a basis.
> >
> > > Hello all!
> > >
> > > I have a need to send some basic intrument data
> > > via FIX 4.2 . This is what I call basic instrument
> > > data, and has fields like market, company,
> > > intrument_id, underlying_info… etc. About 25
> > > strings of information about the tradeable
> > > instruments including instrument necessary to form
> > > a unique instrument reference.
> > >
> > > It seems that there is nothing like this available
> > > in FIX 4.2? So I should propably use a custom
> > > message type with appropriate repeating groups so
> > > that all basic data with one Market / list /
> > > category will be sent within one message (ok. the
> > > message size could be exceeded, maybe there could
> > > be a flag saying that there will be more…)
> > >
> > > Anyway, does anybody have any input on the subject?
> > >
> > >
> > >
> >
>
I have an eye on your discussion.
As for me you should use Security Definition Request/Security Definition
schema, because it was designed for it. So, one side can make a request
(Security Types available, list of securities for a specific security type,
and then ask for a series for a specific security) and another side responds with
a Security Definition message containing all necessary data returning in repeating
groups.
I did not find any restrictions for FIX message size in FIX 4.2, if in a logon message there isn’t set 'MaxMessageSize’
If this field isn’t set, the message size could not be exceeded and theoreticaly it should works.
Regards,
Roman Polupanov
B2B Its.,
fix.btobits.com
www.btobits.com
> Did you look at Appendix I in the 4.2 specification? An example is provided that shows how SecDefReq & Sec Def should be used to return a list of products available on the product.
>
> It is somewhat confusing that the list of securities has to be returned in the Underlying* repeating group. This was done to overcome a limitation in FIX that tags not be repeated in different parts of a message.
>
> Security Definition Request / Security Definition was design to support dynamic discovery of products available from a counterparty. In appendix I - Scenario 2 - return a list of security types. The security types are returned in the repeating group. Assuming the counterparty has a security type you are interested in - you can then request a list of securities for a specific security type and receive a list of securities available from the counterparty (Scenario 3) (See pages 235-238).
>
> Hope this helps.
>
>
> > Thanks for your ansver!
> >
> > I did look into this indeed, but it seems to me that it won’t quite cut it. What I want to do, is ask for a certain market, and get a message back in which all intsruments are included (repeating group).
> >
> > Alltough tag 321 says: 3 = Request List Securities (Can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange is provided then only list Securities for the specific type)
> >
> > And I understand this so that I can send a message simply stating 321=3 and something else in the text -field to specify the market for example, and then I simply respond with a message saying that this market you asked for has 567 instruments, which are in this repeating group here. Enjoy. This won’t work with the security definition request, so do you suppose I’m better of inventing a custom message of my own?
> >
> >
> > > I would recommend looking at the SecurityDefinition message in FIX 4.2 as a basis.
> > >
> > > > Hello all!
> > > >
> > > > I have a need to send some basic intrument data
> > > > via FIX 4.2 . This is what I call basic instrument
> > > > data, and has fields like market, company,
> > > > intrument_id, underlying_info… etc. About 25
> > > > strings of information about the tradeable
> > > > instruments including instrument necessary to form
> > > > a unique instrument reference.
> > > >
> > > > It seems that there is nothing like this available
> > > > in FIX 4.2? So I should propably use a custom
> > > > message type with appropriate repeating groups so
> > > > that all basic data with one Market / list /
> > > > category will be sent within one message (ok. the
> > > > message size could be exceeded, maybe there could
> > > > be a flag saying that there will be more…)
> > > >
> > > > Anyway, does anybody have any input on the subject?
> > > >
> > > >
> > > >
> > >
> >
>
Thanks for your input. I have indeed flipped trough the specification (and appendix I), since definition request was my first choice also. I still insist that my special needs require a special message. I feel that all the data I consider basic cannot be requested with message c and response d. Granted, it could be that my needs are too special to hope for, and I will need to support a more limited set of information which can be delivered in the scope of c/d messaging. To all of you curious people out there in the great void, I will now list some of them.
In the request, we state:
-
uniqueReqID
-
language (a list of valid languages are specified in advance)
-
basicDataReqType (5 different possibilities)
- markets (currently I must support three different markets)
- lists in market (must specify a market, which can be queried with type 1)
- areacodes (lists returns areas and respective unique codes)
- instruments (by each areacode)
- everything (since the response has 4 repeating groups, you could ask for one huge reply)
-
marketcode
-
listcode
-
areacode
In response there are repeating groups for basicDataReqType 1-4, within each other, I can’t be bothered to list it completely here, but we need different translations for human readable instrument issuer, market, list, area, and instrument. If we could get by this, we still need tick size, currency etc. stuff.
I am aware that we could use some additional method to provide basic data, via FTP or something. I could also put all the extra stuff somehow into the text -tag (58), but I feel that this is needed to be done first like this. But AFAIC, this is the additional method to provide basic data.
> I have an eye on your discussion.
> As for me you should use Security Definition Request/Security Definition
> schema, because it was designed for it. So, one side can make a request
> (Security Types available, list of securities for a specific security type,
> and then ask for a series for a specific security) and another side responds with
> a Security Definition message containing all necessary data returning in repeating
> groups.
> I did not find any restrictions for FIX message size in FIX 4.2, if in a logon message there isn’t set ‘MaxMessageSize’
> If this field isn’t set, the message size could not be exceeded and theoreticaly it should works.
>
> Regards,
>
> Roman Polupanov
> ---------------
> B2B Its.,
> fix.btobits.com
> www.btobits.com
>
> > Did you look at Appendix I in the 4.2 specification? An example is provided that shows how SecDefReq & Sec Def should be used to return a list of products available on the product.
> >
> > It is somewhat confusing that the list of securities has to be returned in the Underlying* repeating group. This was done to overcome a limitation in FIX that tags not be repeated in different parts of a message.
> >
> > Security Definition Request / Security Definition was design to support dynamic discovery of products available from a counterparty. In appendix I - Scenario 2 - return a list of security types. The security types are returned in the repeating group. Assuming the counterparty has a security type you are interested in - you can then request a list of securities for a specific security type and receive a list of securities available from the counterparty (Scenario 3) (See pages 235-238).
> >
> > Hope this helps.
> >
> >
> > > Thanks for your ansver!
> > >
> > > I did look into this indeed, but it seems to me that it won’t quite cut it. What I want to do, is ask for a certain market, and get a message back in which all intsruments are included (repeating group).
> > >
> > > Alltough tag 321 says: 3 = Request List Securities (Can be qualified with Symbol, SecurityType, TradingSessionID, SecurityExchange is provided then only list Securities for the specific type)
> > >
> > > And I understand this so that I can send a message simply stating 321=3 and something else in the text -field to specify the market for example, and then I simply respond with a message saying that this market you asked for has 567 instruments, which are in this repeating group here. Enjoy. This won’t work with the security definition request, so do you suppose I’m better of inventing a custom message of my own?
> > >
> > >
> > > > I would recommend looking at the SecurityDefinition message in FIX 4.2 as a basis.
> > > >
> > > > > Hello all!
> > > > >
> > > > > I have a need to send some basic intrument data
> > > > > via FIX 4.2 . This is what I call basic instrument
> > > > > data, and has fields like market, company,
> > > > > intrument_id, underlying_info… etc. About 25
> > > > > strings of information about the tradeable
> > > > > instruments including instrument necessary to form
> > > > > a unique instrument reference.
> > > > >
> > > > > It seems that there is nothing like this available
> > > > > in FIX 4.2? So I should propably use a custom
> > > > > message type with appropriate repeating groups so
> > > > > that all basic data with one Market / list /
> > > > > category will be sent within one message (ok. the
> > > > > message size could be exceeded, maybe there could
> > > > > be a flag saying that there will be more…)
> > > > >
> > > > > Anyway, does anybody have any input on the subject?
> > > > >
> > > > >
> > > > >
> > > >
> > >
> >
>