Imported from previous forum
[ original email was from Natan Kugel - nkugel@espeed.com ]
Per FIX specs Instrument (e.g. Symbol – tag 55) in Market data Incremental update is required if MDUpdateAction – 279 value “new”.
In order to save network bandwidth, MD Incremental Update with MDUpdateAction – 279 values “Change” and “Delete” refer to MDReqID – 262 and MDEntryID – 278 on which the change or delete must be applied respectively. As result Instrument data is not required.
My question is how many have run across clients and a need to deviated from this and still provide Symbol for MDUpdateAction – 279 values “Change” and “Delete”? On one hand this will reduce on-boarding time, however introduces extra data and has a potential to consume extra network bandwidth. i.e. You want to help clients, however do not want to cause issues down the road.
I thank you in advance.
Natan
[ original email was from Greg Maynard - gmaynard@iseoptions.com ]
> Per FIX specs Instrument (e.g. Symbol – tag 55) in Market data
Incremental update is required if MDUpdateAction – 279 value “new”. In
order to save network bandwidth, MD Incremental Update with
MDUpdateAction – 279 values “Change” and “Delete” refer to MDReqID – 262
and MDEntryID – 278 on which the change or delete must be applied
respectively. As result Instrument data is not required. My question is
how many have run across clients and a need to deviated from this and
still provide Symbol for MDUpdateAction – 279 values “Change” and
“Delete”? On one hand this will reduce on-boarding time, however
introduces extra data and has a potential to consume extra network
bandwidth. i.e. You want to help clients, however do not want to cause
issues down the road. I thank you in advance. Natan
At ISE we have the full detail of the instrument in all messages. We found that our customers were coding to this message for the first time and were quite flexible. Some of our customers asked if we could remove the instrument data from the incremental messages to make it more efficient. We are ain about to implement this change into production, but so far it has been well recieved and will reduce the bandwidth significantly.
I would also add that suppression of Instrument information on book entry changes and deletions is only relevant to the extent that MDEntryID is used as it is optional in the spec. If an entry in the book is indexed through the instrument and bid/ask entry type then it needs to be provided on updates and deletes.
There are trade-offs between using a synthetic MDEntryID and using a natural key based on intstrument and bid/ask entry type.
In the case of CME we use a six digit integer to identify the instrument in order to be concise. FAST then allows us to refernce this instrument only one time in any set of messages.
Per FIX specs Instrument (e.g. Symbol – tag 55) in Market data
Incremental update is required if MDUpdateAction – 279 value “new”. In
order to save network bandwidth, MD Incremental Update with
MDUpdateAction – 279 values “Change” and “Delete” refer to MDReqID – 262
and MDEntryID – 278 on which the change or delete must be applied
respectively. As result Instrument data is not required. My question is
how many have run across clients and a need to deviated from this and
still provide Symbol for MDUpdateAction – 279 values “Change” and
“Delete”? On one hand this will reduce on-boarding time, however
introduces extra data and has a potential to consume extra network
bandwidth. i.e. You want to help clients, however do not want to cause
issues down the road. I thank you in advance. Natan