Imported from previous forum
Is current FIX protocol supporting streaming prices for FX? How’s the streaming prices for FX implemented in FIX protocol?
Many thanks,
Wing
[ original email was from Jack Lemonik - jack.lemonik@fxall.com ]
> Is current FIX protocol supporting streaming prices for FX? How’s the
streaming prices for FX implemented in FIX protocol?
Many thanks,
Wing
There are several companies that are using FIX in support of their streaming executable price products. At this time, all of these are using their own definitions and extensions to FIX for streaming. The FIX FX Working Group has a team which focused on the requirements for streaming prices. Documents pertaining to the work of this team are available to members of the working group. I believe that HSBC is a member of the working group with the following representatives: michael.coffey@us.hsbc.com or kevin@altkb.com (kevin Houstoun).
[jack lemonik for the FX Working Group]
[ original email was from Karsten Strobaek - kst@saxobank.com ]
> > Is current FIX protocol supporting streaming prices for FX? How’s the
streaming prices for FX implemented in FIX protocol?
Many thanks,
Wing
There are several companies that are using FIX in support of their
streaming executable price products. At this time, all of these are
using their own definitions and extensions to FIX for streaming. The FIX
FX Working Group has a team which focused on the requirements for
streaming prices. Documents pertaining to the work of this team are
available to members of the working group. I believe that HSBC is a
member of the working group with the following representatives:
michael.coffey@us.hsbc.com or kevin@altkb.com (kevin Houstoun). [jack
lemonik for the FX Working Group]
This is a really old mail thread, but a feel a few comments are in order. The FIX protocol supports streaming FX quotes since version 4.3. There is no need to implement you own hacks, and I do not agree with the claim, that “all of these [companies] are using their own definitions and extensions to FIX for streaming.”
Is current FIX protocol supporting streaming prices for FX? How’s
the streaming prices for FX implemented in FIX protocol?Many thanks,
Wing
There are several companies that are using FIX in support of their
streaming executable price products. At this time, all of these are
using their own definitions and extensions to FIX for streaming. The
FIX FX Working Group has a team which focused on the requirements for
streaming prices. Documents pertaining to the work of this team are
available to members of the working group. I believe that HSBC is a
member of the working group with the following representatives:
michael.coffey@us.hsbc.com or kevin@altkb.com (kevin Houstoun). [jack
lemonik for the FX Working Group]This is a really old mail thread, but a feel a few comments are in
order. The FIX protocol supports streaming FX quotes since version 4.3.
There is no need to implement you own hacks, and I do not agree with the
claim, that “all of these [companies] are using their own definitions
and extensions to FIX for streaming.”
Could anyone please clarify how we can support FX rate streaming? Is it just using current available tags in 4.3 (eg. mass quote)? Or should we wait for the impending FAST protocol?
Many Thanks…J
Is current FIX protocol supporting streaming prices for FX? How’s
the streaming prices for FX implemented in FIX protocol?Many thanks,
Wing
There are several companies that are using FIX in support of their
streaming executable price products. At this time, all of these are
using their own definitions and extensions to FIX for streaming. The
FIX FX Working Group has a team which focused on the requirements
for streaming prices. Documents pertaining to the work of this team
are available to members of the working group. I believe that HSBC
is a member of the working group with the following representatives:
michael.coffey@us.hsbc.com or kevin@altkb.com (kevin Houstoun).
[jack lemonik for the FX Working Group]This is a really old mail thread, but a feel a few comments are in
order. The FIX protocol supports streaming FX quotes since version
4.3. There is no need to implement you own hacks, and I do not agree
with the claim, that “all of these [companies] are using their own
definitions and extensions to FIX for streaming.”Could anyone please clarify how we can support FX rate streaming? Is it
just using current available tags in 4.3 (eg. mass quote)? Or should we
wait for the impending FAST protocol?Many Thanks…J
A very timely question.
The Global FX Committee’s Technical sub-committee has just published a draft gap analysis proposal against FIX 4.4 that discusses the committee’s recommendations to support FX streaming prices for spots and forwards. The recommendation is to use market data messages. The gap analysis more than just streaming prices.
The document can be downloaded from here (you must be logged in and associated with an FPL member firm) from the GFXC document page:
http://www.fixprotocol.org/documents/2441/FX%20FIX%20Gap%20Analysis%20Rev0.92.pdf
The committee is soliciting feedback on this gap analysis until April 12th. Any feedback posted here or emailed to me directly will be compiled and reviewed by the GFXC Technical sub-committee.
The FAST Protocol is a separate initiative that is not tied specifically to FX or any asset class. You can do FX streaming prices using FIX market data messages with or without FAST compaction applied.