Imported from previous forum
Hi guys,
In FIX 5.0 it has been explicitly specified that if a client requests market data with MDUpdateType=incremental (1), it will receive snapshot/full refresh first, followed by incremental updates. Also there is MDEntryID field in both full and incremental messages which makes it possible incremental messages to update entry from the full message.
In FIX 4.4 it seems this is not that clear: there is no MDEntryID in the full refresh message, so it isn’t possible to refer (at least not directly) an entry from the full refresh. One of the posts in this rather old thread(http://www.fixprotocol.org/discuss/read/a6a86802) says that only incremental messages should be sent in this case (MDUpdateType=incremental).
So basically my question is is what is the common way to do it in FIX 4.4 - similar to what is specified for FIX 5.0 (possibly using MDEntryPositionNo combined with the other fields to refer to entries coming from the initial snapshot/full refresh) or following the advice in the old thread that only incremental messages should be sent (possibly with comands NEW for the initial data, then CHANGE)?
tia, Emil
Just some general comments on your issue. FIX is being extended all the time to cover the gaps that were identified. That makes it hard to answer questions along the lines of “how do I do implement feature X in version Y whereby X has been solved in version Z?” with Z>Y. The simple answer “use version Z” should be easier to follow for market data where there is often no FIX engine on the other side due to the usage of multicast.
For non-market-data the answer is often “extend your FIX engine of version Y to allow higher tag numbers or, if you cannot do that, use a user-defined field with the same name and characteristics”. That gives you a clear upgrade path once you are able to switch to a higher version of FIX.
There is a GTC proposal out there to extend the UDF range to include 20,000 to 39,999 for such purposes if you cannot avoid it.
Hi guys,
In FIX 5.0 it has been explicitly specified that if a client requests
market data with MDUpdateType=incremental (1), it will receive
snapshot/full refresh first, followed by incremental updates. Also there
is MDEntryID field in both full and incremental messages which makes it
possible incremental messages to update entry from the full message.In FIX 4.4 it seems this is not that clear: there is no MDEntryID in the
full refresh message, so it isn’t possible to refer (at least not
directly) an entry from the full refresh. One of the posts in this
rather old thread(http://www.fixprotocol.org/discuss/read/a6a86802) says
that only incremental messages should be sent in this case
(MDUpdateType=incremental).So basically my question is is what is the common way to do it in FIX
4.4 - similar to what is specified for FIX 5.0 (possibly using
MDEntryPositionNo combined with the other fields to refer to entries
coming from the initial snapshot/full refresh) or following the advice
in the old thread that only incremental messages should be sent
(possibly with comands NEW for the initial data, then CHANGE)?tia, Emil