Is there a way to send a request to get a list of the last N price candles for a particular period (for exemple “hourly”) on a particular symbol ?
You can use the market data statistics messages for this, see EP191 and EP231 for details.
The FIX MarketDataStatisticsRequest(35=DO) message lets you request hourly prices with MDStatisticIntervalType(2464)=1 (Sliding window), MDStatisticIntervalTypeUnit(2465)=“H” (Hour) and MDStatisticIntervalPeriod(2466)=1.
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I don’t see any flag that could help to retrieve prices values in a certain period like “hour” or “minutes” in FIX 4.4. Maybe I should write a client side function and dot it myself ?
Thank you!
But, correct me if i’m wrong, these are features of FIX 5.0.
I’m using the FIX API of the broker FXCM and it seems that they use FIX 4.4. Is there another way to do ?
@tessan if you are using a specific FIX API from a broker then you would need to find out from that broker if and how the function is supported. The messages I pointed out above are from FIX Latest and were not yet available in FIX 4.4. However, a FIX 4.4 interface may use messages, fields, and values from higher versions but obviously your counterparty needs to implement them first. Your broker will probably not have implemented the entire scope of FIX 4.4.
I’ll ask my broker first then.
Thank you again.