Imported from previous forum
[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
Currently, NYSE is posting market imbalances, indications of interest and trade halt/delay notifications via SIAC/MDX feed. This feed is used to regulate MOC/LOC orders going out to NYSE.
I dont think there are any rules for MOC/LOC orders on other exchanges yet , but its nice to have a message definition for mkt imbalances in FIX.
Does FIX have any plans to accommodate mkt imbalance messages in future versions ? If not , what is the common practice in the industry to “Fixify” mkt imbalance messages ?
- Sreedhar
[ original email was from Donald Mendelson - dmendelson@cmcplace.com ]
> Currently, NYSE is posting market imbalances, indications of interest
and trade halt/delay notifications via SIAC/MDX feed. This feed is used
to regulate MOC/LOC orders going out to NYSE.I dont think there are any rules for MOC/LOC orders on other
exchanges yet , but its nice to have a message definition for mkt
imbalances in FIX.Does FIX have any plans to accommodate mkt imbalance messages in future
versions ? If not , what is the common practice in the industry to
“Fixify” mkt imbalance messages ?
- Sreedhar
Market imbalance may be report in market data using TradeCondition - tag 277.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Does FIX have any plans to accommodate mkt imbalance messages in future
versions ? If not , what is the common practice in the industry to
“Fixify” mkt imbalance messages ?
Market imbalance information has been a part of FIX for some time.
Tag 269, MDEntryType, has value A = Imbalance which can be used to report the presence and size of an imbalance.
[ original email was from Sreedhar Tulluri - sreedhar_tulluri@ml.com ]
> > Does FIX have any plans to accommodate mkt imbalance messages in
future versions ? If not , what is the common practice in the industry
to “Fixify” mkt imbalance messages ?Market imbalance information has been a part of FIX for some time.
Tag 269, MDEntryType, has value A = Imbalance which can be used to
report the presence and size of an imbalance.
What is the message type to send a response to Mkt Data request ?
Or should I use MsgType=V to send imbalance report ?
Does FIX have any plans to accommodate mkt imbalance messages in
future versions ? If not , what is the common practice in the
industry to “Fixify” mkt imbalance messages ?Market imbalance information has been a part of FIX for some time.
Tag 269, MDEntryType, has value A = Imbalance which can be used to
report the presence and size of an imbalance.What is the message type to send a response to Mkt Data request ? Or
should I use MsgType=V to send imbalance report ?
You can send MarketDataSnapshotRefresh(W) or MarketDataIncrementalRefresh(X). Both have the MDEntries repeating group, which contains the above mentioned fields.
Cheers, Jörg