Imported from previous forum
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
One thing we’ll need the ability to do in a book / quote request is get the book for multiple symbols. I’m thinking:
For a book request on a list of symbols, we can probably use NoRelatedSym / RelatdSym.
We should have the ability to request the book for, say, only NASDAQ stocks, AMEX stocks, etc. We could probably use SecurityExchange for this.
Question: Would there be a need to make SecurityExchange repeating? I.e. request all stocks on NYSE and AMEX? Or should that be done in two separate book / quote requests?
Question: What about the ability to ask for updates on all S&P500 stocks? All DJIA stocks? How should this be expressed? Create a SecurityIndex field? Should it be repeating? (I.e. have the ability to ask for updates on all S&P500 and DJIA stocks?) And what about symbology? Is there a standard symbology we can adopt and possibly add to, like Reuters + our own extensions for exchanges? Should we define an enumeration of common indexes? Leave it as free-form?
If you repeated the entire symbol identification block like in Email and News (RelatdSym, SymbolSfx, SecurityID, IDSource, SecurityType, MaturityMonthYear, MaturityDay, PutOrCall, StrikePrice, SecurityExchange, Issuer, and SecurityDesc), it would seem that you would have the appropriate flexibility. Note, however, that RelatedSym is the first field in the repeating group and value must be specified.
It seems to me that there are already some “standard” ways to represent SP500, DJIA, etc. stocks. I’m most familar with Reuters chains and values one would use to quote them (i.e. ^DJIA for Dow Jones Industrial Average). I’m sure other commonly used conventions exist.
> One thing we’ll need the ability to do in a book / quote request is get the book for multiple symbols. I’m thinking:
>
> For a book request on a list of symbols, we can probably use NoRelatedSym / RelatdSym.
>
> We should have the ability to request the book for, say, only NASDAQ stocks, AMEX stocks, etc. We could probably use SecurityExchange for this.
>
> Question: Would there be a need to make SecurityExchange repeating? I.e. request all stocks on NYSE and AMEX? Or should that be done in two separate book / quote requests?
>
> Question: What about the ability to ask for updates on all S&P500 stocks? All DJIA stocks? How should this be expressed? Create a SecurityIndex field? Should it be repeating? (I.e. have the ability to ask for updates on all S&P500 and DJIA stocks?) And what about symbology? Is there a standard symbology we can adopt and possibly add to, like Reuters + our own extensions for exchanges? Should we define an enumeration of common indexes? Leave it as free-form?
>
>
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> If you repeated the entire symbol identification block like in Email and News (RelatdSym, SymbolSfx, SecurityID, IDSource, SecurityType, MaturityMonthYear, MaturityDay, PutOrCall, StrikePrice, SecurityExchange, Issuer, and SecurityDesc), it would seem that you would have the appropriate flexibility. Note, however, that RelatedSym is the first field in the repeating group and value must be specified.
This was exactly what I was thinking.
> It seems to me that there are already some “standard” ways to represent SP500, DJIA, etc. stocks. I’m most familar with Reuters chains and values one would use to quote them (i.e. ^DJIA for Dow Jones Industrial Average). I’m sure other commonly used conventions exist.
Given that Reuters mnemonics are used for Exchanges, adding an appendix for quote chains, defining them in this format, and adding additional enumerations as needed, sounds like a good idea.
So how should the quote chain be specified in the request? In the RelatdSym field? Possibly with a new SecurityType specifying that it is a quote chain?