Imported from previous forum
[ original email was from Danny Shobrook - dzshobrook@dial.pipex.com ]
Hi
I wonder if using an order book idea would be better for Exchanges.
Basically you would have two new messages:
Subscribe to book
Unsubscribe
Maybe Change subscription?
There would be tags for how much detail you want - Change in best price, Change in VWAP, All orders.
It would be done by Symbol - either for individual securities or by an index such as the Footsie 100. So you could subscribe to MSFT and SUNW changes in best price and only get a new order coming in if it beats the rest for these securities.
So you would initially be sent all outstanding orders via an execution report saying "New Order". Any cancellation, replace or fills would be broadcasted as if it where on a two-party FIX link.
User should be assumed to have unsubscribed from everything on logout or connection failure.
Problems of the top of my head:
Performance, maintaining state for which user wants which info could quickly rack up for an exchange and processing each new order as to "Is it a new best price" or who has registered interest. It makes great sense for the client though. But I would guess that exchanges with current electronic books must deal with this problem already.
Information being sent out, ie open interest and volume traded today. Orders wouldn’t cover this. This may be covered by quotes as people probably will not need this continously updated?