Last Traded Prices

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1

Imported from previous forum

2

[ original email was from Ainhoa Dewisme - ainhoa.dewisme@reuters.com ]
Hello,

what is the recommended message workflow to stream last traded prices?

should the FIX client application send a separate Market Data Request to receive Last Traded Prices? (this would be my prefered option)
Or if the FIX client application subscribes for order book or price-depth data for a particular security/symbol, last traded prices would be streamed within incremental refresh messages?

If the former,I understand that MDEntryType = 2(trade) but what should be MarketDepth mandatory) set to?

Thanks and Regards Regards

Ainhoa

3

[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Ainoa,

Please refer to “Book Management, Best Practices” document, posted on the Market Data Optimization Work Group. It gives a lot of best practices for streaming trades.

Regards, Bernt

Hello,

what is the recommended message workflow to stream last traded prices?

should the FIX client application send a separate Market Data Request to
receive Last Traded Prices? (this would be my prefered option) Or if the
FIX client application subscribes for order book or price-depth data for
a particular security/symbol, last traded prices would be streamed
within incremental refresh messages?

If the former,I understand that MDEntryType = 2(trade) but what should
be MarketDepth mandatory) set to?

Thanks and Regards Regards

Ainhoa

4

[ original email was from Ainhoa Dewisme - ainhoa.dewisme@reuters.com ]
Thanks Bernt,
I have been following that document “Recommended Practices For Book Management” version 2.00 but could not get my question answered … I could only find information in Chapter 4, Market Statistics, where it does describe what an update message would contain but could not see in the document whether FIX apps may need to subcribe to this data explicitly in order to receive it. I have may missed it…

Thanks & Regards

Ainhoa

Ainoa,

Please refer to “Book Management, Best Practices” document, posted on
the Market Data Optimization Work Group. It gives a lot of best
practices for streaming trades.

Regards, Bernt

Hello,

what is the recommended message workflow to stream last traded prices?

should the FIX client application send a separate Market Data Request
to receive Last Traded Prices? (this would be my prefered option) Or
if the FIX client application subscribes for order book or price-depth
data for a particular security/symbol, last traded prices would be
streamed within incremental refresh messages?

If the former,I understand that MDEntryType = 2(trade) but what should
be MarketDepth mandatory) set to?

Thanks and Regards Regards

Ainhoa

5

[ original email was from Rikard Hedberg - rikard.hedberg@omxgroup.com ]
Ainhoa,

MarketDepth (264) has no meaning if what you subscribe to does not have a depth. So if your publish a stream of subscribable snapshot statistics separately, I would recommend users to enter “0” in the request and the receiver to ignore the field entirely.

To be honest I think defining the MarketDepth as a required field was a mistake. Market Data, especially the various MDEntryTypes, has become so much more than initially envisioned. For book updates it may certainly be relevant. Some markets allow publication of aggregated trade prices too, so it may be relevant there too. In other cases the producer of the statistics does not acknowledge a depth at all or provides a single depth. In those latter cases I question the meaning of validating the MarketDepth of a request message.

By the way, most marketplaces publish primary market data feeds (book updates, trade ticker information, basic statistics and trading session/security state changes) that are not subject to requests (subscriptions). Multicast is often used.

Regards

Rikard

Thanks Bernt, I have been following that document “Recommended Practices
For Book Management” version 2.00 but could not get my question answered
… I could only find information in Chapter 4, Market Statistics, where
it does describe what an update message would contain but could not see
in the document whether FIX apps may need to subcribe to this data
explicitly in order to receive it. I have may missed it…

Thanks & Regards

Ainhoa

Ainoa,

Please refer to “Book Management, Best Practices” document, posted on
the Market Data Optimization Work Group. It gives a lot of best
practices for streaming trades.

Regards, Bernt

Hello,

what is the recommended message workflow to stream last traded
prices?

should the FIX client application send a separate Market Data
Request to receive Last Traded Prices? (this would be my prefered
option) Or if the FIX client application subscribes for order book
or price-depth data for a particular security/symbol, last traded
prices would be streamed within incremental refresh messages?

If the former,I understand that MDEntryType = 2(trade) but what
should be MarketDepth mandatory) set to?

Thanks and Regards Regards

Ainhoa

6

[ original email was from Ainhoa Dewisme - ainhoa.dewisme@reuters.com ]
Thanks Rikard,

If this is the case, we will take the route of ignoring MarketDepth tag.
Thanks again.

Regards

Ainhoa

Ainhoa,

MarketDepth (264) has no meaning if what you subscribe to does not have
a depth. So if your publish a stream of subscribable snapshot statistics
separately, I would recommend users to enter “0” in the request and the
receiver to ignore the field entirely.

To be honest I think defining the MarketDepth as a required field was a
mistake. Market Data, especially the various MDEntryTypes, has become so
much more than initially envisioned. For book updates it may certainly
be relevant. Some markets allow publication of aggregated trade prices
too, so it may be relevant there too. In other cases the producer of the
statistics does not acknowledge a depth at all or provides a single
depth. In those latter cases I question the meaning of validating the
MarketDepth of a request message.

By the way, most marketplaces publish primary market data feeds (book
updates, trade ticker information, basic statistics and trading
session/security state changes) that are not subject to requests
(subscriptions). Multicast is often used.

Regards

Rikard

Thanks Bernt, I have been following that document “Recommended
Practices For Book Management” version 2.00 but could not get my
question answered … I could only find information in Chapter 4,
Market Statistics, where it does describe what an update message would
contain but could not see in the document whether FIX apps may need to
subcribe to this data explicitly in order to receive it. I have may
missed it…

Thanks & Regards

Ainhoa

Ainoa,

Please refer to “Book Management, Best Practices” document, posted
on the Market Data Optimization Work Group. It gives a lot of best
practices for streaming trades.

Regards, Bernt

Hello,

what is the recommended message workflow to stream last traded
prices?

should the FIX client application send a separate Market Data
Request to receive Last Traded Prices? (this would be my prefered
option) Or if the FIX client application subscribes for order book
or price-depth data for a particular security/symbol, last traded
prices would be streamed within incremental refresh messages?

If the former,I understand that MDEntryType = 2(trade) but what
should be MarketDepth mandatory) set to?

Thanks and Regards Regards

Ainhoa