Imported from previous forum
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
Hi,
FIX is the standard for Trading. But what about market data?
Since the company I am working for provides deep information from 80 different markets, and each security can hold up to 400 different field of information. How can we fit this into the FIX protocol?
FIX 4.4:
“Market Data – Snapshot / Full Refresh -
… It can be used to transmit a 2-sided book of orders or list of quotes, a list of trades, index values, opening, closing, settlement, high, low, or VWAP prices, the trade volume or open interest for a security, or any combination of these.”
A information focused feed also need support for such queries as “list markets”, “for each market, what listings”, “for each list, what securities” etc.
Is this anything that is covered by FIX, or planned?
Sincerely
Jan Jonsson
Head of development ProTrader
www.ecovision.se
[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Jan,
A lot of work has been done the last two years regarding Market Data.
The FPL Market Data Optimization Working Group (MDOWG) has specified a standard for compression (FAST). It is available at the FPL Website.
http://www.fixprotocol.org/fast
A Market Data Best Practices document is also available at the FPL Web site.
The Exchange working group also has published a best practices document for exchanges. They are discussing new messages for markets and market segments. It is also possible to use Security Definition Request to request a list of traded securities.
Some exchanges already have adopted the FAST FIX for Market Data and several more are planning to do that in the next few years.
Regards,
Bernt Sandén
Hi, FIX is the standard for Trading. But what about market data? Since
the company I am working for provides deep information from 80 different
markets, and each security can hold up to 400 different field of
information. How can we fit this into the FIX protocol?FIX 4.4: “Market Data – Snapshot / Full Refresh - … It can be used
to transmit a 2-sided book of orders or list of quotes, a list of
trades, index values, opening, closing, settlement, high, low, or VWAP
prices, the trade volume or open interest for a security, or any
combination of these.”A information focused feed also need support for such queries as “list
markets”, “for each market, what listings”, “for each list, what
securities” etc. Is this anything that is covered by FIX, or planned?Sincerely Jan Jonsson Head of development ProTrader www.ecovision.se
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
Thanks,
What I really am asking, and I fail to find the answerer for on www.fixprotocol.org/fast is:
Does the Fixprotol has in it’s roadmap to become a fully functional single data provider for ”Reuters screens”?
This include a long list of fields that user want to display, end of day data, tick by tick.
Searching news, providing list of markets, lists, instrument in such way that menu structures can be build to make it easy for user to browse existing markets, opens a list such as ”OMX Large Cap (SWE)”. Supporting different access of markets such as full (trading+information in real-time) to lowest lever of access: delayed info, no trading.
Example of fields that user want to have in his list, to be able to have in his list, sort on etc.:
diff, diff1week,diff1month,diff3month, diff1year, diff5yars etc.
For derivative instruments such as:
yield, duration, volatility, volatility1week etc.
Scenario:
A company purchases a “Reuters Screen”, and a fix-server.
Connects the fix-server to a number of markets such as OMX for trading, and to some information providers for none-trading data and they just created a full range end-customer product via the “Reuters Screen”?
/ Jan Jonsson
Jan,
A lot of work has been done the last two years regarding Market Data.
The FPL Market Data Optimization Working Group (MDOWG) has specified a
standard for compression (FAST). It is available at the FPL Website.http://www.fixprotocol.org/fast
A Market Data Best Practices document is also available at the
FPL Web site.The Exchange working group also has published a best practices document
for exchanges. They are discussing new messages for markets and market
segments. It is also possible to use Security Definition Request to
request a list of traded securities.fixprotocol.org/documents/3005/EEWG%20Recommended%20Best%20Practices%20-
%20Phase%201%20V1.0.pdfSome exchanges already have adopted the FAST FIX for Market Data and
several more are planning to do that in the next few years.Regards,
Bernt Sandén
Hi, FIX is the standard for Trading. But what about market data? Since
the company I am working for provides deep information from 80
different markets, and each security can hold up to 400 different
field of information. How can we fit this into the FIX protocol?FIX 4.4: “Market Data – Snapshot / Full Refresh - … It can be used
to transmit a 2-sided book of orders or list of quotes, a list of
trades, index values, opening, closing, settlement, high, low, or VWAP
prices, the trade volume or open interest for a security, or any
combination of these.”A information focused feed also need support for such queries as “list
markets”, “for each market, what listings”, “for each list, what
securities” etc. Is this anything that is covered by FIX, or planned?Sincerely Jan Jonsson Head of development ProTrader www.ecovision.se
[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Jan,
The answer is no. FPL is working with standardization, e.g. Market Data.
FIX makes it possible to disseminate Market Data. It is up to the vendor of Market Data, for example an exchange, to disseminate Market Data that make sense to the Market. Normally exchanges only dissemination “raw” market data, i.e. trades and orders. Then information vendors like Reuters refine the “raw” market data into trade statistics etc that they sell to the market.
Thanks,
What I really am asking, and I fail to find the answerer for on
www.fixprotocol.org/fast is:Does the Fixprotol has in it’s roadmap to become a fully functional
single data provider for ”Reuters screens”?This include a long list of fields that user want to display, end of day
data, tick by tick. Searching news, providing list of markets, lists,
instrument in such way that menu structures can be build to make it easy
for user to browse existing markets, opens a list such as ”OMX Large Cap
(SWE)”. Supporting different access of markets such as full
(trading+information in real-time) to lowest lever of access: delayed
info, no trading.Example of fields that user want to have in his list, to be able to have
in his list, sort on etc.: diff, diff1week,diff1month,diff3month,
diff1year, diff5yars etc.For derivative instruments such as: yield, duration, volatility,
volatility1week etc.Scenario: A company purchases a “Reuters Screen”, and a fix-server.
Connects the fix-server to a number of markets such as OMX for trading,
and to some information providers for none-trading data and they just
created a full range end-customer product via the “Reuters Screen”?/ Jan Jonsson
Jan,
A lot of work has been done the last two years regarding Market Data.
The FPL Market Data Optimization Working Group (MDOWG) has specified a
standard for compression (FAST). It is available at the FPL Website.http://www.fixprotocol.org/fast
A Market Data Best Practices document is also available at the FPL
Web site.The Exchange working group also has published a best practices
document for exchanges. They are discussing new messages for markets
and market segments. It is also possible to use Security Definition
Request to request a list of traded securities.xprotocol.org/documents/3005/EEWG%20Recommended%20Best%20Practices%20-
%20Phase%201%20V1.0.pdfSome exchanges already have adopted the FAST FIX for Market Data and
several more are planning to do that in the next few years.Regards,
Bernt Sandén
Hi, FIX is the standard for Trading. But what about market data?
Since the company I am working for provides deep information from 80
different markets, and each security can hold up to 400 different
field of information. How can we fit this into the FIX protocol?FIX 4.4: “Market Data – Snapshot / Full Refresh - … It can be used
to transmit a 2-sided book of orders or list of quotes, a list of
trades, index values, opening, closing, settlement, high, low, or
VWAP prices, the trade volume or open interest for a security, or
any combination of these.”A information focused feed also need support for such queries as
“list markets”, “for each market, what listings”, “for each list,
what securities” etc. Is this anything that is covered by FIX, or
planned?Sincerely Jan Jonsson Head of development ProTrader www.ecovision.se
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
Clearification:
So vendors like Reuters can’t deliver all their data using standard fix? They have to create none standard extensions of fix, or a separate none-fix feed.
/ Jan
[ original email was from Bernt Sandén - bernt.sanden@omxgroup.com ]
Jan,
They might be able to use FIX Market Data as it is. It depends what information they want to disseminate.
/Bernt
Clearification: So vendors like Reuters can’t deliver all their data
using standard fix? They have to create none standard extensions of fix,
or a separate none-fix feed./ Jan
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
Hi,
I am thinking of the need for deeper information. Needs that I realised during the developing of Ecovision ProTrader (1991-2007).
Currently more then 400 fields for a single instrument. It would be great if the fix protocol could eliminate the need of own feed protocols. At least from a technical point of view. However politically this is maybe not true.
This could open the market and make it possible to run a Reuter screen on an Ecovision feed. Or an Ecovision ProTrader direct on a Reuter feed.
Sounds lovely, or?
/ Jan Jonsson
Jan,
They might be able to use FIX Market Data as it is. It depends what
information they want to disseminate./Bernt
Clearification: So vendors like Reuters can’t deliver all their data
using standard fix? They have to create none standard extensions of
fix, or a separate none-fix feed./ Jan
Vendors such as Reuters can deliver their data using standard FIX. FIX is driven by its users, i.e. Reuters as a user would need to conduct a gap analysis to identify what they need and submit that to the FIX Global Technical Committee. The requirements would then find their way into the standard.
For example, OMX has done a lot of work that has led to extensions for FIX 5.0 in the area of trade reporting. The FPL Exchanges and ECN Working Group is conducting a technical gap analysis to enhance FIX for exchanges where needed.
There is a standard process to add new elements to the standard and interested parties seek to enhance FIX this way in one area or another. However, FIX 5.0 already provides a significant coverage so that a thorough analysis might lead to fewer gaps than expected. I do not know if Reuters has conducted such an analysis against the newest FIX version.
Regards,
Hanno Klein.
Clearification: So vendors like Reuters can’t deliver all their data
using standard fix? They have to create none standard extensions of fix,
or a separate none-fix feed./ Jan
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
It’s seems like MDEntryType in FIX version 5 is still limited to:
0 = Bid
1 = Offer
2 = Trade
3 = Index Value
4 = Opening Price <44>
5 = Closing Price <44>
6 = Settlement Price <44>
7 = Trading Session High Price <44>
8 = Trading Session Low Price <44>
9 = Trading Session VWAP Price <44>
A = Imbalance
B = Trade Volume
C = Open Interest
However it must be easy to agree agree on a standard for the “missing 400” fields needed for a vendor like Reuters,Six,Ecovision,OnLine trader or simular.
/ Jan Jonsson
[ original email was from Matt Simpson - msimpson@cme.com ]
MDEntryType supports the following values as of 5.0 (see volume 6)
0 - Bid
1 - Offer
2 - Trade
3 - Index Value
4 - Opening Price
5 - Closing Price
6 - Settlement Price
7 - Trading Session High Price
8 - Trading Session Low Price
9 - Trading Session VWAP Price
A - Imbalance
B - Trade Volume
C - Open Interest
D - Composite Underlying Price
E - Simulated Sell Price
F - Simulated Buy Price
G - Margin Rate
H - Mid Price
J - Empty Book
K - Settle High Price
L - Settle Low Price
M - Prior Settle Price
N - Session High Bid
O - Session Low Offer
P - Early Prices
Q - Auction Clearing Price
Additionally, there are a large number of quote conditions (276) that are used to qualify the entry types. As far as I know, a gap analysis verses Reuters interface has never been done. We would be glad to work with you either in the context of the Market Data Optimization Working Group or the Exchange/ECN Working Group mentioned by Hanno.
It’s seems like MDEntryType in FIX version 5 is still limited to:
= Bid 1 = Offer 2 = Trade 3 = Index Value 4 = Opening Price <44> 5 =
Closing Price <44> 6 = Settlement Price <44> 7 = Trading Session High
Price <44> 8 = Trading Session Low Price <44> 9 = Trading Session VWAP
Price <44> A = Imbalance B = Trade Volume C = Open InterestHowever it must be easy to agree agree on a standard for the “missing
400” fields needed for a vendor like Reuters,Six,Ecovision,OnLine trader
or simular./ Jan Jonsson
[ original email was from Jan Jonsson - jan@jpsoftware.se ]
ok,
I will take a deeper look at the changes in Fix5.
To clear things out: I am not working with Reuters for the moment, I just mention “Reuters screens” since most people know what that is.
I am more interesting in supporting any real-time-clients, not only with trading as a primary goal, to connect to any provider of information, and to be able to show more depth information compare to what is possible today.
The question is if any vendor of data is interesting in deliver data if any client, including competitors can be used to displaying it.
However this will most likely happen no matter vendors like it or not.
Since I am moving from an information vendor to a broker firm, my interest in fix will probably change to.
/ Jan Jonsson