Market Data Request for all instruments

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Imported from previous forum

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Hello all,

Our fixed income system contains a really large number of instruments, and issuing a market data request for each instrument is prohibitively expensive. Tag 167 (SecurityType) is definetely an option, which would allow specifying that request to a specific group of securities (in our case, the national equivalents of US TBILL and TNOTE). But I’ve seen solutions stating that setting tag NoRelatedSym = 0 would imply a request for all securities traded.

Is there a best practice for subscribing to market data of all instruments? Anyone else had experience with this issue? Or did I miss something in the spec?

Thanks.

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[ original email was from Matt Simpson - msimpson@cme.com ]
The EEWG has a recommendation outstanding that a new field called SecurityGroup be added which would contain exchange specific names related to a group of securities. While the intent of the new field is to allow status information to be conveyed for more than one security with a single message, it would also seem appropriate to use this tag in a similar manner on the Market Data Request message. Let’s discuss on the next call. thanks

Hello all,

Our fixed income system contains a really large number of instruments,
and issuing a market data request for each instrument is prohibitively
expensive. Tag 167 (SecurityType) is definetely an option, which would
allow specifying that request to a specific group of securities (in our
case, the national equivalents of US TBILL and TNOTE). But I’ve seen
solutions stating that setting tag NoRelatedSym = 0 would imply a
request for all securities traded.

Is there a best practice for subscribing to market data of all
instruments? Anyone else had experience with this issue? Or did I miss
something in the spec?

Thanks.

4

Matt, Jochen

For another market place we need to be able to subscribe for all securities in the market. Market Data Request requires some form of symbol being set.

Can we come up with a convention for exchanges to subscribe for all symbols?

NoRelatedSym=0 is probably not a good idea as it violates the recommendations that a NumInGroup should not be specified if it is zero.

ORC suggested we consider using 146=1^55=* (Symbol) - which would mean all instruments. I don’t have a great feeling about this alternative - but it has some advantages and seems to address what we need:

  1. The convention complies with FIX recommended usage for repeating group.
  2. The solution will work with all Market Data Request messages from versions FIX.4.2 through FIX.4.4 - so we don’t need to add anything or break anything.
  3. It is a simple solution.

Downsides:

We are adding “*” as a data value that means all instruments. Probably low risk doing so, as long as we can continue to persuade the industry not to support special characters. In fact, it would not be too much of a stretch for a market place to support regular expressions on subscriptions. So maybe this is not too much of a downside.

I guess I am warming up to the 146(NoRelatedSym=1^55(Symbol)=* idea as being a very practical and convenient convention for subscribing to all securities in a market place.