Full Snapshot and Incremental Refresh

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Imported from previous forum

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Hi, I have a general question with respect to setting Full Snapshort and Incremental Refresh for Market Data in FastFix.

Is it required (or strongly recommended) to have separate templates for these 2 types? I understand that the main difference really applies to FIX - for the Full Snapshot only 1 security is sent per message while for the incremental refresh there could be multiple symbols sent.

However, for FAST/TCP this is no longer a requirement as the frame length allowing to control the number of message being sent, and it is easier to maintain 1 generic template. Also, it seems very logical to maintain reference data for a given symbol separately from MDEntry groups - the latter is really associated only with price, and quantity and other releated fields.

Are there any other reasons to maintain separate templates (assuming only TCP is used)?

Thanks,
Dimitry

3

[ original email was from Darshan Khedekar - darshan.khedekar.ext@deutsche-boerse.com ]
Hi Dimitry

Another option could be to use static template references.
FAST supports breaking of a single large template into smaller reusable components. These could resemble FIX component blocks.

See section 6.4 of Fast 1.x.1 spec.

/Darshan

Hi, I have a general question with respect to setting Full Snapshort and
Incremental Refresh for Market Data in FastFix.

Is it required (or strongly recommended) to have separate templates for
these 2 types? I understand that the main difference really applies to
FIX - for the Full Snapshot only 1 security is sent per message while
for the incremental refresh there could be multiple symbols sent.

However, for FAST/TCP this is no longer a requirement as the frame
length allowing to control the number of message being sent, and it is
easier to maintain 1 generic template. Also, it seems very logical to
maintain reference data for a given symbol separately from MDEntry
groups - the latter is really associated only with price, and quantity
and other releated fields.

Are there any other reasons to maintain separate templates (assuming
only TCP is used)?

Thanks, Dimitry

4

Thanks, Darshan, I see how static template references could be used here. Let me rephrase my question, however. What is the right way to update symbol referential data which is not associated with any MDEntry?

Thanks,
Dimitry

Hi Dimitry

Another option could be to use static template references. FAST supports
breaking of a single large template into smaller reusable components.
These could resemble FIX component blocks.

See section 6.4 of Fast 1.x.1 spec.

/Darshan

Hi, I have a general question with respect to setting Full Snapshort
and Incremental Refresh for Market Data in FastFix.

Is it required (or strongly recommended) to have separate templates
for these 2 types? I understand that the main difference really
applies to FIX - for the Full Snapshot only 1 security is sent per
message while for the incremental refresh there could be multiple
symbols sent.

However, for FAST/TCP this is no longer a requirement as the frame
length allowing to control the number of message being sent, and it is
easier to maintain 1 generic template. Also, it seems very logical to
maintain reference data for a given symbol separately from MDEntry
groups - the latter is really associated only with price, and quantity
and other releated fields.

Are there any other reasons to maintain separate templates (assuming
only TCP is used)?

Thanks, Dimitry

5

[ original email was from Darshan Khedekar - darshan.khedekar.ext@deutsche-boerse.com ]
Hi Dimitry

You could use a static template that resemble the messages from FIX Pre-Trade → SecurityAndTradingSessionDefinitionOrStatus set
and associate a FAST message identifier with it.
This could be disseminated separately @ the beginning of each day or could be sent whenever the security definition changes.
This static template could then be used in your market messages form the set

Pre-Trade → MarketData

Thus you have a static template that works as a message and also forms part of other messages.

... ...

Hope I understood your question and addressed your requirement.

Regards,
Darshan

Thanks, Darshan, I see how static template references could be used
here. Let me rephrase my question, however. What is the right way to
update symbol referential data which is not associated with any MDEntry?

Thanks, Dimitry

Hi Dimitry

Another option could be to use static template references. FAST
supports breaking of a single large template into smaller reusable
components. These could resemble FIX component blocks.

See section 6.4 of Fast 1.x.1 spec.

/Darshan

Hi, I have a general question with respect to setting Full Snapshort
and Incremental Refresh for Market Data in FastFix.

Is it required (or strongly recommended) to have separate templates
for these 2 types? I understand that the main difference really
applies to FIX - for the Full Snapshot only 1 security is sent per
message while for the incremental refresh there could be multiple
symbols sent.

However, for FAST/TCP this is no longer a requirement as the frame
length allowing to control the number of message being sent, and it
is easier to maintain 1 generic template. Also, it seems very
logical to maintain reference data for a given symbol separately
from MDEntry groups - the latter is really associated only with
price, and quantity and other releated fields.

Are there any other reasons to maintain separate templates (assuming
only TCP is used)?

Thanks, Dimitry

6

Thanks, Darshan, it makes sense.

Dimitry

Hi Dimitry

You could use a static template that resemble the messages from FIX Pre-
Trade → SecurityAndTradingSessionDefinitionOrStatus set and associate a
FAST message identifier with it. This could be disseminated separately @
the beginning of each day or could be sent whenever the security
definition changes. This static template could then be used in your
market messages form the set

Pre-Trade → MarketData

Thus you have a static template that works as a message and also forms
part of other messages.


…



…

Hope I understood your question and addressed your requirement.

Regards, Darshan

Thanks, Darshan, I see how static template references could be used
here. Let me rephrase my question, however. What is the right way to
update symbol referential data which is not associated with any
MDEntry?

Thanks, Dimitry

Hi Dimitry

Another option could be to use static template references. FAST
supports breaking of a single large template into smaller reusable
components. These could resemble FIX component blocks.

See section 6.4 of Fast 1.x.1 spec.

/Darshan

Hi, I have a general question with respect to setting Full
Snapshort and Incremental Refresh for Market Data in FastFix.

Is it required (or strongly recommended) to have separate
templates for these 2 types? I understand that the main difference
really applies to FIX - for the Full Snapshot only 1 security is
sent per message while for the incremental refresh there could be
multiple symbols sent.

However, for FAST/TCP this is no longer a requirement as the frame
length allowing to control the number of message being sent, and
it is easier to maintain 1 generic template. Also, it seems very
logical to maintain reference data for a given symbol separately
from MDEntry groups - the latter is really associated only with
price, and quantity and other releated fields.

Are there any other reasons to maintain separate templates
(assuming only TCP is used)?

Thanks, Dimitry