Bid and Ask side of depth in same message ?

, ,
1

Imported from previous forum

2

Currently the market data message (Full refresh)in FIX 4.4 can consist of multiple level of depth for one side (either bid or offer) of book but exchange sends us 5 levels of depth message for both sides (bid and offer) in same message.
Can we have a FIX 4.4 Market Data message which consist of multiple levels Bid and Ask in one/same message ?

Thanks in advance

3

Hi,

yes you can see MDEntryType which will specify which side the values are for

Byron

Currently the market data message (Full refresh)in FIX 4.4 can consist
of multiple level of depth for one side (either bid or offer) of book
but exchange sends us 5 levels of depth message for both sides (bid and
offer) in same message. Can we have a FIX 4.4 Market Data message which
consist of multiple levels Bid and Ask in one/same message ?

Thanks in advance

4

Hi,

yes you can see MDEntryType which will specify which side the
values are for

Byron

Currently the market data message (Full refresh)in FIX 4.4 can consist
of multiple level of depth for one side (either bid or offer) of book
but exchange sends us 5 levels of depth message for both sides (bid
and offer) in same message. Can we have a FIX 4.4 Market Data message
which consist of multiple levels Bid and Ask in one/same message ?

Thanks in advance

Indeed, the MDEntryType is specified in each repeating group.

By combining MDEntryType and MDEntryPositionNo you could replicate the market order book structure with 5 best bids + 5 best offers.
When the market depth info is fully populated (i.e. 5 prices available for both sides), the resulting value for NoMDEntries will just have to be 10.

Btw, also the incremental refresh message (MsgType = X), which is quite useful for limiting message bandwidth, supports the same tags mentioned above.

Ciao,
Fabrizio