Imported from previous forum
[ original email was from Michael Farthing - mick.farthing@bigfoot.com ]
Hi,
I’m developing a trading system and need to be able to provide clients with a download of all tradeable instruments, including data on the maximum instrument size.
Along with instrument IDs and description, we need to supply maximum bid and offer sizes.
My problem is that I can’t work out which, if any, application message supports this information flow.
The Security Definition is designed to download security information, but doesn’t include any size information.
Should we be using the Market Data message, with MDEntryType values of Bid and Offer, each with its own MDEntrySize?
We also need to provide the Normal Market Size (NMS) for each instrument. I believe this is specific to the London Stock Exchange. I can’t find a field within the FIX standard to support this, and I couldn’t find a registered user-defined field either. I will be looking to register a user-defined field and add this to whichever message is appropriate for the task described above. Has anyone else come across a need for this field, or does anyone have a view on my intention to add the field to one of the standard messages?
Any comments or suggestions are most appreciated.
Thanks.
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
Market Data is meant to transmit real Bids and Offers, not maximum size limits. I don’t think there’s a concept of what you are trying to do in the FIX protocol.
What are these maximum sizes? If they are broker-imposed position or order limits, such things are generally outside the scope of the FIX protocol. Note that retail concepts like margin, order history, open transactions, account balances, and positions are not addressed by FIX.
If they are inherent limits set by exchanges, hence are characteristics of the security, then I could see an argument for adding them to the Security Definition message.
[ original email was from Michael Farthing - mick.farthing@bigfoot.com ]
Normal Market Size is a limit set by the London Stock Exchange for each security.
The maximum bid & offer sizes are imposed by the broker and dictate the maximum size that the broker will accept for a trade. It is essential data for users of the application, since without it they don’t know how large an order can be.
If I understand your reply, you’re saying that there could be a case for the Normal Market Size being added to the Security Definition, but not the maximum sizes, since they’re broker specific.
If this is correct, and given that we still need to provide this data to the client, do you suggest we extend the Security Definition message with user-defined fields, although you feel that it is unlikely that the fields will ever be added to the FIX protocol?
> Market Data is meant to transmit real Bids and Offers, not maximum size limits. I don’t think there’s a concept of what you are trying to do in the FIX protocol.
>
> What are these maximum sizes? If they are broker-imposed position or order limits, such things are generally outside the scope of the FIX protocol. Note that retail concepts like margin, order history, open transactions, account balances, and positions are not addressed by FIX.
>
> If they are inherent limits set by exchanges, hence are characteristics of the security, then I could see an argument for adding them to the Security Definition message.
>
>