Imported from previous forum
How can we send information like "52 wk high" or "52 wk low" in a FIX message? I find a lot of data that I want to send missing in the FIX specs. Should I add tags for the purpose?
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> How can we send information like "52 wk high" or "52 wk low" in a FIX message? I find a lot of data that I want to send missing in the FIX specs. Should I add tags for the purpose?
The general process is that custom tags of potential use to more than one firm and its clients should be brought to the attention of a working group or the Tech Committee for potential standardization and inclusion in the next spec.
I’m interested in the data you believe missing, although from what I’m gathering, I wonder if FIX is the best protocol to handle these business needs.
The FIX Market Data messages were designed primarily for real-time support of ECNs and Exchanges. This includes such information as ticks, 2-sided quotations and depth of book, as well as info like open/close/settle prices, session highs and lows, index and VWAP calculations, and auction imbalances.
Historical price information, 52 wk high/low, earnings and dividend yield are provided by data vendors, and don’t necessarily fall into the real-time data category.
In the early days of the Market Data draft, the ECNs/Exchanges Working Group contemplated adding such functionality. However, since then the MDDL protocol has emerged, which seems to be aimed less at real-time quotes and ticks and more towards the type of info you mention. Their web site is at www.mddl.org
At present, there isn’t much practical overlap between MDDL and FIX Market Data. FIX specializes in real-time data feeds, and MDDL seems to specialize in data vendor query/response or end-of-day application. I doubt that MDDL will compete with FIX Market Data for real-time feeds, as MDDL is XML-based which adds substantial overhead. That XML overhead might be insignificant in a query/response or end-of-day batch file environment, but it becomes very significant when sending the full book for an ECN in real-time.
I think we need to be mindful of MDDL when expanding FIX Market Data messages. I don’t see any problem in expanding FIX to incorporate fields used for high-volume real-time feeds. For instance, auction imbalance (added in FIX 4.3) goes hand-in-hand with book feeds, and the data is valueless if not sent in real-time. But we should be cautious in adding other such fields so that we do not increase protocol fragmentation.
> > How can we send information like “52 wk high” or “52 wk low” in a FIX message? I find a lot of data that I want to send missing in the FIX specs. Should I add tags for the purpose?
>
> The general process is that custom tags of potential use to more than one firm and its clients should be brought to the attention of a working group or the Tech Committee for potential standardization and inclusion in the next spec.
>
> I’m interested in the data you believe missing, although from what I’m gathering, I wonder if FIX is the best protocol to handle these business needs.
>
> The FIX Market Data messages were designed primarily for real-time support of ECNs and Exchanges. This includes such information as ticks, 2-sided quotations and depth of book, as well as info like open/close/settle prices, session highs and lows, index and VWAP calculations, and auction imbalances.
>
> Historical price information, 52 wk high/low, earnings and dividend yield are provided by data vendors, and don’t necessarily fall into the real-time data category.
>
> In the early days of the Market Data draft, the ECNs/Exchanges Working Group contemplated adding such functionality. However, since then the MDDL protocol has emerged, which seems to be aimed less at real-time quotes and ticks and more towards the type of info you mention. Their web site is at www.mddl.org
>
> At present, there isn’t much practical overlap between MDDL and FIX Market Data. FIX specializes in real-time data feeds, and MDDL seems to specialize in data vendor query/response or end-of-day application. I doubt that MDDL will compete with FIX Market Data for real-time feeds, as MDDL is XML-based which adds substantial overhead. That XML overhead might be insignificant in a query/response or end-of-day batch file environment, but it becomes very significant when sending the full book for an ECN in real-time.
>
> I think we need to be mindful of MDDL when expanding FIX Market Data messages. I don’t see any problem in expanding FIX to incorporate fields used for high-volume real-time feeds. For instance, auction imbalance (added in FIX 4.3) goes hand-in-hand with book feeds, and the data is valueless if not sent in real-time. But we should be cautious in adding other such fields so that we do not increase protocol fragmentation.
>
From Stephen Doherty, SpeedwellFIX
> -We think that there is a need to extend the market data fields to cover more data and that the use of optional fields, if necessary, should actually be encouraged.
While it will never be possible for FIX to formally accommodate all data that might need to be streamed, within reason, an expansion needs to be pursued. For example, adding yield fields in fixed income streaming.
Re the use of another protocol: this starts to get ugly and impractical. FIX already handles data that is not strictly real-time (eg settlement prices), so there is no reason per se to preclude year high or low.