Recover trades using Market Data

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Imported from previous forum

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[ original email was from Bernt Sandén - bernt.sanden@om.com ]
Hi,

In the NOREX market we publish all trades on our proprietary market data feed. For late comers or when you lose the connection to the market feed it is possible to re-play all lost messages. My question is really about how to replay public trades using Market Data Incremental refresh.

  1. Assume that the market starts at 9 and I have had problem with my connection to the market and come up 1 hour later. I want to replay all published trades (MDEntryType=2) during the time the market was not available. How do I accomplish that using FIX Market Data incremental refresh?

  2. What can I expect from the server if I request snapshot(using incremental refresh) with MDEntryType=2 (Trade)?. Is the snapshot all trades that have occurred previously the same trading day or what? Maybe it is the last paid price?

Thanks in advance,

Bernt Sandén

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[ original email was from Matt Simpson - msimpson@cme.com ]
Hello Bernt -

The Market Data Request Message is used to subscribe to a feed and allows either the Full or Incremental Refresh messages to be specified as well as the type of market data entry desired (trades, bids, asks, etc). I believe this same mechanism could be used for recovery purposes albeit with some extensions.

As part of the MDOWG book management best practices we will be addressing the issue of recovery. We expect this proposal to be available in January for review by the larger community.

Hi,

In the NOREX market we publish all trades on our proprietary market data
feed. For late comers or when you lose the connection to the market feed
it is possible to re-play all lost messages. My question is really about
how to replay public trades using Market Data Incremental refresh.

  1. Assume that the market starts at 9 and I have had problem with my
    connection to the market and come up 1 hour later. I want to replay
    all published trades (MDEntryType=2) during the time the market was
    not available. How do I accomplish that using FIX Market Data
    incremental refresh?

  2. What can I expect from the server if I request snapshot(using
    incremental refresh) with MDEntryType=2 (Trade)?. Is the snapshot all
    trades that have occurred previously the same trading day or what?
    Maybe it is the last paid price?

Thanks in advance,

Bernt Sandén