FIX/FAST MessageTypes

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Imported from previous forum

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Hi,

I am currently researching protocols to use for an indicative data dissemination service. These prices are a composite of various prices contributed by a collection of financial organisations and are not executable. The idea is to offer something similar to Reuters for clients interested in receiving indicative prices for various Fixed Income products.

I would like to use FAST/FIX for this service however I am a little uncertain about which FIX messages to use. I have noticed various exchanges such as CME, ASX, and LSE use the MarketData FIX messages over FAST, for example MarketDataIncrementalRefresh. However, it looks like these message types are more aligned with distribution of market depth and/or executable prices?

Are the MarketData messages such as MarketDataIncrementalRefresh and MarketDataSnapshotFullRefresh suitable for an indicative price dissenination service?

Any advice here would be appreciated.

Thanks,
Niall

3

Short answer is yes. Check out the messages for details, especially 1070 MDQuoteType = 0 (Indicative) or 276 QuoteCondition = I (non-firm), with which you can flag the prices as indicative. Public data should use the market data messages. (Semi-)private quote negotiations should use the quote messages which have 537 QuoteType = 0 (Indicative). The incremental message is suitable when you want to bundle many quotes across multiple instruments into a single message or if you need a transactional semantic (add/modify/delete). Snapshot messages are good for round-robin distribution of latest quotes but can also be used for single quotes. Your choices will also depend on the time- versus event-driven nature of the data you want to distribute.
Regards,
Hanno.

Hi,

I am currently researching protocols to use for an indicative data dissemination service. These prices are a composite of various prices contributed by a collection of financial organisations and are not executable. The idea is to offer something similar to Reuters for clients interested in receiving indicative prices for various Fixed Income products.

I would like to use FAST/FIX for this service however I am a little uncertain about which FIX messages to use. I have noticed various exchanges such as CME, ASX, and LSE use the MarketData FIX messages over FAST, for example MarketDataIncrementalRefresh. However, it looks like these message types are more aligned with distribution of market depth and/or executable prices?

Are the MarketData messages such as MarketDataIncrementalRefresh and MarketDataSnapshotFullRefresh suitable for an indicative price dissenination service?

Any advice here would be appreciated.

Thanks,
Niall

4

Cool, thanks, that has cleared up a few concerns I had.
Niall

Short answer is yes. Check out the messages for details, especially 1070 MDQuoteType = 0 (Indicative) or 276 QuoteCondition = I (non-firm), with which you can flag the prices as indicative. Public data should use the market data messages. (Semi-)private quote negotiations should use the quote messages which have 537 QuoteType = 0 (Indicative). The incremental message is suitable when you want to bundle many quotes across multiple instruments into a single message or if you need a transactional semantic (add/modify/delete). Snapshot messages are good for round-robin distribution of latest quotes but can also be used for single quotes. Your choices will also depend on the time- versus event-driven nature of the data you want to distribute.
Regards,
Hanno.

Hi,

I am currently researching protocols to use for an indicative data dissemination service. These prices are a composite of various prices contributed by a collection of financial organisations and are not executable. The idea is to offer something similar to Reuters for clients interested in receiving indicative prices for various Fixed Income products.

I would like to use FAST/FIX for this service however I am a little uncertain about which FIX messages to use. I have noticed various exchanges such as CME, ASX, and LSE use the MarketData FIX messages over FAST, for example MarketDataIncrementalRefresh. However, it looks like these message types are more aligned with distribution of market depth and/or executable prices?

Are the MarketData messages such as MarketDataIncrementalRefresh and MarketDataSnapshotFullRefresh suitable for an indicative price dissenination service?

Any advice here would be appreciated.

Thanks,
Niall