Imported from previous forum
I am writing a ‘Market Data Publisher’ for an ECN-type platform. The application will use FIX 4.2 to send out market data to subscribers. The key part of the Market Data will be the full depth of the order book consisting of both bids and offers aggregated by price level (so clients will see the total volume at every price level on both sides of the order book, but not info about individual orders). To optimise bandwidth I would like to send out incremental updates, in which case do I have to specify MDEntryIDs? A given market data entry would in fact be uniquely identified by the SecurityID and price (or SecurityID and MDEntryPositionNo) so I can’t see any great benefit in providing an extra field.
If I DO have to use MDEntryIDs then what message do I use for the 1st market data message sent in response to a client request? This message may contain numerous levels of existing market data and I woudl regard this as a ‘snapshot’, but the ‘Market Data - Snapshot/Full Refresh’ message doesn’t seem to support MDEntryIDs. Do I instead send a ‘Market Data - Incremental Refresh’ with multiple entries each with a MDEntryID?