Imported from previous forum
Anyone care to give explain the differences between an order management system and a market data system? I’m pretty familiar with MDS in theory.
Also is TIB/RV just another implementation of FIX?
Not a lot of similarities really.
In essence FIX is concerned with a conversation between two parties, usually handling transactions related to trading in an instrument e.g. a Stock. So a client can place an order for this instrument; have the order accepted or rejected; cancel the order; receive notice of trades (== fills).
If the connection between client and server is lost it is very important that any missing messages are recovered, in case you miss notification of a trade.
A market data system is (usually) concerned with getting prices from a server to clients. If multiple client connect to the same server, and open the same quotes then (subject to permissioning) they will see the same data. If the connection is lost then the requirement is to get the latest prices to the client, there is no requirement to replay the missing messages.
Now there are exceptions to this.
FIX does support market data messages and the FAST protocol even makes it sensible to use, but the error recovery is ignored.
On some market data system, if you want full depth on an order book, you need to replay messages in the event of failure.
I’m sure it’s possibly in theory to run FIX over RV, but in almost all cases it’s run over a simple TCP socket, since multicast does not apply.
Les Spiro
Dealing Object Technology
Anyone care to give explain the differences between an order management
system and a market data system? I’m pretty familiar with MDS in theory.Also is TIB/RV just another implementation of FIX?
About TIB/RV: it isn’t another implementation of FIX. I mean, of course you can use FIX over a RV connection but in my experience this is not as good as using a simple TCP/IP connection.
TIB/RV is usually in place for some market data providers (i.e. some old Reuters installation) or for some market connectivity (i.e. Italian Markets MTA, SeDeX, MOT)
Giancarlo
Anyone care to give explain the differences between an order management
system and a market data system? I’m pretty familiar with MDS in theory.Also is TIB/RV just another implementation of FIX?
[ original email was from John Unwin - john@unwin.co.uk ]
An OMS lets you view, submit and manage orders for various trading instruments across different markets (trading venues) most OMS systems use a database to store orders over a period of time. Some OMS also provide a trading screen so you can trade the markets and connections to other systems like the back office or Excel.
Many OMS use a price feed to calculate P&L and can apply simple risk management to protect the firm. It’s usual that an OMS will use FIX to connect to the trading venue for order routing - FIX acts as the conduit for new orders, cancels, modify and executions. In some cases the OMS can and will use FIX for prices.
There is usually a 1:1 relationship between the OMS and the trading venue, in that executions for example are generally applied to a specific OMS user.
On the other hand a Market Data system concentrates providing the same information e.g. a stock price to a wide range of traders - in other words it has to fan out a large number of messages from the exchange to a wide range of people.
In addition the data transmitted becomes stale very quickly and with the exception of systems that provide price history is not stored for future use (this contrasts with the OMS).
Much of the technology involved is concerned with reducing the amount of bandwidth and the time needed to transmit these messages - for example FIX has the FAST initiative, whereas this is not such a pressing issue for order routing using FIX.
Both systems depend on access to standing data from the trading venue to correctly identify items to trade or view prices.
Anyone care to give explain the differences between an order management
system and a market data system? I’m pretty familiar with MDS in theory.Also is TIB/RV just another implementation of FIX?