Imported from previous forum
I just have a quick question, I’m not too familiar with FIX but was wondering if it was possible to get limit book order information from it, as in time entered, quantity, and price for trades at different priority depths? Basically I’m just curious as to how on the application/exchange level an order book is handled and how the information contained in it is distributed out to market participants for decision making, also if FIX is even the means through which this information is disseminated.
Any information would be helpful, Thanks.
The answer is yes. FIX provides messages to inquire about one’s own orders as well as about other orders in the book. The latter is termed market data. Have a look at the FIX Market Data messages to see what kind of information can be provided. In conjunction with FAST as compression and encoding standard, FIX is certainly a valid means to disseminate this type of information.
Regards,
Hanno.
I just have a quick question, I’m not too familiar with FIX but was
wondering if it was possible to get limit book order information from
it, as in time entered, quantity, and price for trades at different
priority depths? Basically I’m just curious as to how on the
application/exchange level an order book is handled and how the
information contained in it is distributed out to market participants
for decision making, also if FIX is even the means through which this
information is disseminated.Any information would be helpful, Thanks.