Imported from previous forum
My query is about market data response whether it is valid to send multiple responses for the same request id with a different subset of MD entry types tag 269
Detail description
A FIX client makes a market data request message type V with snapshot + updates. The request contains multiple MDEntryTypes such as those for statistics: High, Low, Close etc ( tag 269 = 7,8, 5) and also the bid /offer prices ( tag 269 = 0,1 ).
At the time of sending updates, Is it valid as per fix protocol to send separate responses message type One containing only statistics and other containing only the bid /offer prices ?
If you request a snapshot + updates then the snapshot would be the response but the updates are rather unsolicited broadcasts than responses. The snapshot should contain all entry types in single message for easier processing. The updates come as the data changes, i.e. not every price creates a new high/low etc. However, I would recommend to bundle bid/offer prices causing new statistics with such entries to allow the user to see this as a single event. If you use FAST for your data you can use the COPY operator to avoid having to repeat the high/low etc. on the wire every time. A missing value on the wire simply means that no new high/low etc. occurred.
In general the market data request asking for updates simply triggers unsolicited streams and you can split them the way you need to.
My query is about market data response whether it is valid to send multiple responses for the same request id with a different subset of MD entry types tag 269
Detail description
A FIX client makes a market data request message type V with snapshot + updates. The request contains multiple MDEntryTypes such as those for statistics: High, Low, Close etc ( tag 269 = 7,8, 5) and also the bid /offer prices ( tag 269 = 0,1 ).
At the time of sending updates, Is it valid as per fix protocol to send separate responses message type One containing only statistics and other containing only the bid /offer prices ?
Thank you for your inputs