Imported from previous forum
The market data messages of FIX (e.g. Market Data Incremental Refresh) are geared to publish information at an instrument level. Has anyone used FIX to publish market data for higher level constructs such as sectors, markets, boards, etc? For example, could the Market Data Incremental Refresh message be used to publish volume for a sector or the entire market?
Your request goes into the area of market data statistics that go beyond the high, low, volume available today on a per instrument level. My assumption is that one would create new messages (e.g. MarketDataStatisticsRequest/Report) to support this capability and not extend the existing market data messages. These new messages could have MarketID, MarketSegmentID and the Instrument block (with ProductComplex, SecurityGroup, SecurityType etc.) to support various levels of granularity. The parameters such as high, low, volume could then be further qualified with time ranges defined through Trading(Sub)SessionIDs or explicit start and end dates/times.
The market data messages of FIX (e.g. Market Data Incremental Refresh)
are geared to publish information at an instrument level. Has anyone
used FIX to publish market data for higher level constructs such as
sectors, markets, boards, etc? For example, could the Market Data
Incremental Refresh message be used to publish volume for a sector or
the entire market?
Thanks for the quick response Hanno.
In addition to publishing sector/market level statistics, some may wish to publish historical data (e.g. 52-week high, all time low, etc.). At present, the FIX protocol is, to a large extent, focused on real-time market data (which is all that is required for most markets). Are statistics and/or historical data areas the FIX protocol may expand to support? Or are they seen as being outside the scope of the protocol?
Your request goes into the area of market data statistics that go beyond
the high, low, volume available today on a per instrument level. My
assumption is that one would create new messages (e.g.
MarketDataStatisticsRequest/Report) to support this capability and not
extend the existing market data messages. These new messages could have
MarketID, MarketSegmentID and the Instrument block (with ProductComplex,
SecurityGroup, SecurityType etc.) to support various levels of
granularity. The parameters such as high, low, volume could then be
further qualified with time ranges defined through
Trading(Sub)SessionIDs or explicit start and end dates/times.The market data messages of FIX (e.g. Market Data Incremental Refresh)
are geared to publish information at an instrument level. Has anyone
used FIX to publish market data for higher level constructs such as
sectors, markets, boards, etc? For example, could the Market Data
Incremental Refresh message be used to publish volume for a sector or
the entire market?
For historical Market Data like 52-week high, low, all time low, etc. you can use Market Data Definition Language ( http://www.mddl.org/ ) which is XML based and transport it over a ^Tag=Value^ FIX session using XML_non_FIX message type 35=n by placing the MDDL XML content in XMLData(213). This would give you best of both worlds - using industry standard MDDL for data representation and using realtime robust FIX session for transport.
Thanks for the quick response Hanno.
In addition to publishing sector/market level statistics, some may wish
to publish historical data (e.g. 52-week high, all time low, etc.). At
present, the FIX protocol is, to a large extent, focused on real-time
market data (which is all that is required for most markets). Are
statistics and/or historical data areas the FIX protocol may expand to
support? Or are they seen as being outside the scope of the protocol?Your request goes into the area of market data statistics that go
beyond the high, low, volume available today on a per instrument
level. My assumption is that one would create new messages (e.g.
MarketDataStatisticsRequest/Report) to support this capability and not
extend the existing market data messages. These new messages could
have MarketID, MarketSegmentID and the Instrument block (with
ProductComplex, SecurityGroup, SecurityType etc.) to support various
levels of granularity. The parameters such as high, low, volume could
then be further qualified with time ranges defined through
Trading(Sub)SessionIDs or explicit start and end dates/times.The market data messages of FIX (e.g. Market Data Incremental
Refresh) are geared to publish information at an instrument level.
Has anyone used FIX to publish market data for higher level
constructs such as sectors, markets, boards, etc? For example, could
the Market Data Incremental Refresh message be used to publish
volume for a sector or the entire market?
They are not seen as outside of the protocol but so far no one has come forward with a Gap Analysis proposal asking for extensions in this area. Your remark about historical data falls under the time range I mentioned before, “All Time” just being another type of time span.
Feel free to participate and join a committee/working group. FIX is extended directly by its members/users so that it is a matter of time and effort that needs to be put in by those that are interested in the extension. I am interested and have ideas but have not had the requirement (yet) to move forward on this topic.
Thanks for the quick response Hanno.
In addition to publishing sector/market level statistics, some may wish
to publish historical data (e.g. 52-week high, all time low, etc.). At
present, the FIX protocol is, to a large extent, focused on real-time
market data (which is all that is required for most markets). Are
statistics and/or historical data areas the FIX protocol may expand to
support? Or are they seen as being outside the scope of the protocol?Your request goes into the area of market data statistics that go
beyond the high, low, volume available today on a per instrument
level. My assumption is that one would create new messages (e.g.
MarketDataStatisticsRequest/Report) to support this capability and not
extend the existing market data messages. These new messages could
have MarketID, MarketSegmentID and the Instrument block (with
ProductComplex, SecurityGroup, SecurityType etc.) to support various
levels of granularity. The parameters such as high, low, volume could
then be further qualified with time ranges defined through
Trading(Sub)SessionIDs or explicit start and end dates/times.The market data messages of FIX (e.g. Market Data Incremental
Refresh) are geared to publish information at an instrument level.
Has anyone used FIX to publish market data for higher level
constructs such as sectors, markets, boards, etc? For example, could
the Market Data Incremental Refresh message be used to publish
volume for a sector or the entire market?