Decoding Delta Values....

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1

Imported from previous forum

2

Hello,

I am unclear about what is considered the previous value when dealing with deltas.
Is it the previous value in the stream of the same type?
or
Is it the previous variable of that type for that specific product?

3

For example,

If I have a stream of only ProductIds and Timestamps.
Do I apply the time delta to the timestamp of the last message in the stream or do i only apply the delta for timestamp to the timestamp of the same product.

Hello,

I am unclear about what is considered the previous value when dealing
with deltas. Is it the previous value in the stream of the same type? or
Is it the previous variable of that type for that specific product?

4

I am afraid it is a little more complex than that and the FAST Spec 1.1 has a lot of content even if it is less than 50 pages.

You especially need to have a look at the concept of templates and dictionaries to find out about how operators (e.g. delta) is to be applied. In general, each message has an associated template and operators will only be applied to messages of the same template. The dictionary scope dictates when previous values are updated that serve as the source for your operators. The applicability does not depend on the value of another FIX field such as product.

Also, in a multicast environment, everything is reset with each network packet and operators only apply from the second message onwards in each packet, the first packet needing to be complete. Only in a TCP/IP environment with guaranteed delivery you could have a delta operator apply to a previous message in a previous network message.

I hope this helps somewhat but please have a look at the spec which should give you the exact mechanics.

Regards,
Hanno.

For example,

If I have a stream of only ProductIds and Timestamps. Do I apply the
time delta to the timestamp of the last message in the stream or do i
only apply the delta for timestamp to the timestamp of the same product.

Hello,

I am unclear about what is considered the previous value when dealing
with deltas. Is it the previous value in the stream of the same type?
or Is it the previous variable of that type for that specific product?