Market Data: Publish sender of an order

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1

Imported from previous forum

2

Hi all,

in full depth orderbook published using MarketDataIncrementalRefresh, I want to return also the sender of each order in the book, ie the exchange member which entered the order.

There are different fields in the repeating group. Shall I choose

MDEntryOriginator

as suggested in this old thread by Ryan Pierce:

http://www.fixprotocol.org/discuss/read/d5c7e49a

or is the pair

MDEntrySeller / MDEntryBuyer for Bid / Offer

more appropriate. So far, I did not find any FIX specs using these tags.

Thanks for any clarifications!

Jörg

3

[ original email was from Matt Simpson - msimpson@cme.com ]
Jorg -

The Parties block - which was recently added as part of the Market Data Optmimizations extensions - is the best way to convey the executing firm or member of the order. If you’re a member of the GTC you can see the extension at this link: http://www.fixprotocol.org/documents/2188/MDOWG_Extensions_Proposal_Nov2005_GTCApproved_Apr25

Matt

Hi all,

in full depth orderbook published using MarketDataIncrementalRefresh, I
want to return also the sender of each order in the book, ie the
exchange member which entered the order.

There are different fields in the repeating group. Shall I choose

MDEntryOriginator

as suggested in this old thread by Ryan Pierce:

http://www.fixprotocol.org/discuss/read/d5c7e49a

or is the pair

MDEntrySeller / MDEntryBuyer for Bid / Offer

more appropriate. So far, I did not find any FIX specs using these tags.

Thanks for any clarifications!

Jörg

4

Hi Matt,

thanks for the quick reply.

The Parties block - which was recently added as part of the Market Data
Optmimizations extensions - is the best way to convey the executing firm
or member of the order.

I forget to mention – we are bound to FIX 4.2 at the moment. What tag would you choose then? I would prefer to go with MDEntryOriginator.

If you’re a member of the GTC you can see the
extension at this link: http://www.fixprotocol.org/documents/2188/MDOWG-
_Extensions_Proposal_Nov2005_GTCApproved_Apr25

Yes, I can read the document. Thanks for the pointer!

Cheers, Jörg