Imported from previous forum
[ original email was from Jeremy Sutton - jezza.sutton@patsystems.com ]
Are there any plans to include implied information in market data messages (especially now CME are going FAST). Currently there is a custom tag for this 6945 but are there any plans on including a formal tag in something like FIX.4.4?
[ original email was from Matt Simpson - msimpson@cme.com ]
Indeed there are plans to include implied prices. CME will use a new value in the QuoteCondition (276) tag to mean that a price is Implied (K) or Outright (J) which have been added as part of the Market Data Optimization Work Group Extensions.
Are there any plans to include implied information in market data
messages (especially now CME are going FAST). Currently there is a
custom tag for this 6945 but are there any plans on including a formal
tag in something like FIX.4.4?