Full Book - Stack Price

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1

Imported from previous forum

2

Hello.

I have a new requirement to provide a message type that will support a full book of prices for a currenecy pair (FX Quote).

Looking at the message types on offer my first thought was to use Quote (S) message and use the NoLegs group with LegQty, LegBidPx and LegOfferPx.

This is OK if you have the same size for bid a offer price, for example -

size-2 @ 20-21
size-1 @ 19-22
size-5 @ 18-23
size-10 @ 17-24

But my requirement is asking for different size for bid/offer. eg -

2/20-21/1
5/19-22/3
6/18-23/7
15/17-24/10

I liked the Quote message since this seems right to me, as this is a Quote from us, where as MarketData is well, Market data.

Many Thanks.

3

What is wrong with the Market Data messages where you have MDEntryType to distinguish 0=Bid and 1=Offer and each entry has MDEntryPx and MDEntrySize?

I am not the expert in FX but suggest to have a look at the FIX spec Volume 7, starting on page 155, which discusses FX products in detail and across various message types.

Hello.

I have a new requirement to provide a message type that will support a full book of prices for a currenecy pair (FX Quote).

Looking at the message types on offer my first thought was to use Quote (S) message and use the NoLegs group with LegQty, LegBidPx and LegOfferPx.

This is OK if you have the same size for bid a offer price, for example -

size-2 @ 20-21
size-1 @ 19-22
size-5 @ 18-23
size-10 @ 17-24

But my requirement is asking for different size for bid/offer. eg -

2/20-21/1
5/19-22/3
6/18-23/7
15/17-24/10

I liked the Quote message since this seems right to me, as this is a Quote from us, where as MarketData is well, Market data.

Many Thanks.