FAST Broadcast Market Depth Packet

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1

Imported from previous forum

2

Hi

How to maintain information in Market Depth packet as we get information in feed (Market Data Incremental -X ) packet as only updation new,change or deletion but not as full data for particular security id/symbol. If we miss packet in between we might end up showing wrong information?

Could anyone suggest good way to resolve this issue and hold information about Market Depth?

3

Hi Himanshu,

There is no easy fix for this problem.
You need to keep track of and recover lost frames.

which market data feed are you looking at specifically?

Best,
Rolf

Hi

How to maintain information in Market Depth packet as we get information in feed (Market Data Incremental -X ) packet as only updation new,change or deletion but not as full data for particular security id/symbol. If we miss packet in between we might end up showing wrong information?

Could anyone suggest good way to resolve this issue and hold information about Market Depth?

4

Hi Rolf

The data feed is transmitted in the FAST v1.1 and FIX 5.0 (Service Pack 1) Specification.

We receive two kind of messages - Market Data Incremental Refresh
and Market Data Snapshot (Full Refresh) in the feed.

What approach should be taken to store information which can be used further to broadcast information received.

Thanks

Himanshu

Hi Himanshu,

There is no easy fix for this problem.
You need to keep track of and recover lost frames.

which market data feed are you looking at specifically?

Best,
Rolf

Hi

How to maintain information in Market Depth packet as we get information in feed (Market Data Incremental -X ) packet as only updation new,change or deletion but not as full data for particular security id/symbol. If we miss packet in between we might end up showing wrong information?

Could anyone suggest good way to resolve this issue and hold information about Market Depth?

5

Hi Himanshu

I would assume that the provider of the feed has some recommendations on how to get and stay current with their feed. It may either be that you should request data on a recovery channel or that they resend data on a periodic basis as full refresh messages. It is difficult to give any more specific advise without knowing who the provider is.

Best,
Rolf

Hi Rolf

The data feed is transmitted in the FAST v1.1 and FIX 5.0 (Service Pack 1) Specification.

We receive two kind of messages - Market Data Incremental Refresh
and Market Data Snapshot (Full Refresh) in the feed.

What approach should be taken to store information which can be used further to broadcast information received.

Thanks
Himanshu

Hi Himanshu,

There is no easy fix for this problem.
You need to keep track of and recover lost frames.

which market data feed are you looking at specifically?

Best,
Rolf

Hi

How to maintain information in Market Depth packet as we get information in feed (Market Data Incremental -X ) packet as only updation new,change or deletion but not as full data for particular security id/symbol. If we miss packet in between we might end up showing wrong information?

Could anyone suggest good way to resolve this issue and hold information about Market Depth?