Imported from previous forum
Dear All,
Could you please help me with the following question about subscription for market data?
We need to publish trade statistics (Last, High, Low, Open, Close) and list of trades for current trading day.
We use Market Data messages (FIX 4.4), and as far as I understand MDEntryType(269) = ‘2’ (Trade) should be used to send Last.
However, it looks like MDEntryType(269) = ‘2’ (Trade) should also be used to send information about one trade.
So how can these two entries can be differentiated by client?
Thank you in advance.
Oksana,
you are right, but should use add TradeCondition (277) = “U” (Exchange Last) to represent a trade at last in cases where not all trades create a new last. The TradeCondition is not normally used in cases where all trades create a new official last. As trades are expected to be sent in sequential order, the last trade received is considered to carry the current official last price.
Regards
Rikard
Dear All,
Could you please help me with the following question about subscription
for market data?We need to publish trade statistics (Last, High, Low, Open, Close) and
list of trades for current trading day.We use Market Data messages (FIX 4.4), and as far as I understand
MDEntryType(269) = ‘2’ (Trade) should be used to send Last. However, it
looks like MDEntryType(269) = ‘2’ (Trade) should also be used to send
information about one trade.So how can these two entries can be differentiated by client?
Thank you in advance.
Rikard,
Thank you a lot for your answer.
What do you think about subscription?
For example, if one user wants to subscribe only to Exchange Last, and another user wants to subscribe for list of trades.
As far as I understand Snapshots for these subscriptions are significantly different.
Snapshot for subscription to Exchange Last will return one record, but Snapshot for subscription to list of trades will return all trade records from the beginning of trading day/session.
Unfortunately we cannot use TradeCondition to distinguish between these two subscriptions because this tag is not defined in Market Data Request.
Thank you in advance.
Oksana,
you are right, but should use add TradeCondition (277) = “U” (Exchange
Last) to represent a trade at last in cases where not all trades create
a new last. The TradeCondition is not normally used in cases where all
trades create a new official last. As trades are expected to be sent in
sequential order, the last trade received is considered to carry the
current official last price.Regards
Rikard
Oksana,
that is more problematic using standard messages and values. An MDEntryType of “Last Price” / “Exchange Last” / “Trading Session Last” or similar would be needed. As you probably noticed, there are MDEntryType’s of “Trading Session High” etc available - so another one for “Last” only complement the picture.
One alternative is to add your own enum. As the datatype is String, that should be an allowed option. You could also propose an extension to the FIX standard (the Global Exchanges and Markets Committee e.g.).
Another alternative is to add a user-defined message for “statistics”. Although statistics are somewhat covered in the Market Data messages, they are not suitable for all types of statistics. Expanding the FIX standard with such a new message is on the Global Exchanges and Markets Committee (GEMC) agenda. Many markets send out periodic snapshots of a number of statistics, a separate message would, as I see it, be a good complement to FIX.
Regards
Rikard
Rikard,
Thank you a lot for your answer.
What do you think about subscription?
For example, if one user wants to subscribe only to Exchange Last, and
another user wants to subscribe for list of trades. As far as I
understand Snapshots for these subscriptions are significantly
different. Snapshot for subscription to Exchange Last will return one
record, but Snapshot for subscription to list of trades will return all
trade records from the beginning of trading day/session.Unfortunately we cannot use TradeCondition to distinguish between
these two subscriptions because this tag is not defined in Market
Data Request.Thank you in advance.
Oksana,
you are right, but should use add TradeCondition (277) = “U” (Exchange
Last) to represent a trade at last in cases where not all trades
create a new last. The TradeCondition is not normally used in cases
where all trades create a new official last. As trades are expected to
be sent in sequential order, the last trade received is considered to
carry the current official last price.Regards
Rikard
Rikard,
Thank you a lot for your help.
Oksana,
that is more problematic using standard messages and values. An
MDEntryType of “Last Price” / “Exchange Last” / “Trading Session Last”
or similar would be needed. As you probably noticed, there are
MDEntryType’s of “Trading Session High” etc available - so another one
for “Last” only complement the picture.One alternative is to add your own enum. As the datatype is String, that
should be an allowed option. You could also propose an extension to the
FIX standard (the Global Exchanges and Markets Committee e.g.).Another alternative is to add a user-defined message for “statistics”.
Although statistics are somewhat covered in the Market Data messages,
they are not suitable for all types of statistics. Expanding the FIX
standard with such a new message is on the Global Exchanges and Markets
Committee (GEMC) agenda. Many markets send out periodic snapshots of a
number of statistics, a separate message would, as I see it, be a good
complement to FIX.Regards
Rikard