Mapping of 5 levels of depth with FIX 4.4 message.

, ,
1

Imported from previous forum

2

In MILAN fixed income exchange when any order is placed by a broker/trader and that order sits at top of the book , we receive 5 levels of depth again.

We can map this 5 levels of depth message with following FIX 4.4 messages:

  1. MassQuote (35=i)
  2. Market Data (35=W) for MDEntryType(269)= 0(bid),1 (offer)

Which of the above is more appropriate for the mapping ?

3

In MILAN fixed income exchange when any order is placed by a
broker/trader and that order sits at top of the book , we receive 5
levels of depth again.

We can map this 5 levels of depth message with following FIX 4.4
messages:

  1. MassQuote (35=i)
  2. Market Data (35=W) for MDEntryType(269)= 0(bid),1 (offer)

Which of the above is more appropriate for the mapping ?

If I understand you correctly, you want to report the current order book for a security up to 5 levels of depth?

In that case, the Market Data messages (2.) are the messages to use.

Cheers, Jörg