Historical Data Feed

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Imported from previous forum

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Hi all,

Am a newb to the FIX protocol and have a number of questions I was hoping somebody here could assist me with.
Is it possible to have live data feed, as well as historical data transmitted across the FIX Protocol? Is it possible to use FIX to query what symbols are available from the server?

Thanks,

Nate

3

Depending on which version of FIX you want to use, look thru the FIX specifications at

http://www.fixprotocol.org/specifications/

To query what symbols are available - use SecurityDefinitionRequest ^35=c^
Respones containing Symbols - SecurityDefinition ^35=d^

live data feed - MarketDataRequest ^35=V^
MarketDataSnapshotFullRefresh ^35=W^
MarketDataIncrementalRefresh ^35=X^
MarketDataReject ^35=Y^

Regarding Historical data - The FIX Market Data messages were designed primarily for exchange of real-time data. I do not think FIX is being used for historical data like 52 week high/low, earnings and dividend yield as provided by data vendors since these dont fall into the real-time data category.

A “dirty solution” is to use custom tags 5000 - 9999 ( http://fixprotocol.org/specifications/fields/5000-9999 ) and / or custom messages ^35=U*^, but I do not recomend this approach. Why ? Read thru http://fixprotocol.org/discuss/read/4a670208 - I am mentioning these approaches to make you aware they exist but these approaches are not good.

A better solution in “my opinion” for historical Market Data would be to use Market Data Definition Language ( http://www.mddl.org/ ) which is XML based and transport it over a ^Tag=Value^ FIX session using XML_non_FIX message ^35=n^. This would give you best of both worlds - using industry standard MDDL for data representation and using realtime robust FIX session for transport - but keep in mind the XML overhead and corresponding loss of speed in FIX session.

Also take a look at FAST Protocol(FIX Adapted for STreaming) which is an alternate Transport protocol for Market Data.

Hi all,

Am a newb to the FIX protocol and have a number of questions I was
hoping somebody here could assist me with. Is it possible to have live
data feed, as well as historical data transmitted across the FIX
Protocol? Is it possible to use FIX to query what symbols are available
from the server?

Thanks,

Nate

4

Hello. Could you please advise what can I use to replace MDDL? As I understand MDDL format is died. What can I use for sending historical data?

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Have a look at http://www.fixtradingcommunity.org/pg/extensions/extension-pack?ExtensionID=EP191 where new messages are provided to support market data statistics including historical data.