Imported from previous forum
One of my clients asked me to post this on their behalf. Any ideas? I could not think of this functionality in any of the FIX protocol versions… Thank you.
We have a need for a kind of “control” message that we wish to send using the FIX specification, but we have not found a reasonable fit and are seeking some advice.
We want to send end of day closing value report (market data) for every security, and we want to announce the beginning and end of the transmission with a special message to alert recipients that this data is starting and ending.
The sequence of messages is as follows:
...The is straightforward; it is a type “X” or “W” message containing MDEntries with the market data values.
The and messages are the ones we are having some trouble with. There does not seem to be any FIX message that fits this use case.
If someone has some advice or ideas for a FIX message type to use for the <start/end market data summary> message that reasonably fits the FIX standard, it would be appreciated.
Or if someone has advice for another way of implementing this type of functionality that better fits the FIX standard, we are somewhat open to that as well.
Hi Andy,
this is currently a gap in FIX that Eurex has closed with a user-defined message for the use case of start/end of reference data as well as for start/end of special market data including open interest and settlement prices(see http://www.eurexchange.com/blob/exchange-en/156096-176058/488968/3/data/eurex_market_ref_data_manual_v133.pdf and http://www.eurexchange.com/blob/exchange-en/156096-176058/305554/2/data/eurex_extended_market_data_service_manual_v122.pdf). Eurex added a message called MarketDataReport with a UDF MDReportEvent as key field to define the type of event. The intention was to eventually submit a gap analysis for that. Eurex just presented a gap analysis for market data extensions in the Global Exchanges & Markets Committee yesterday and we could probably also add to that (see http://www.fixprotocol.org/documents/7715/FIX%20Protocol%20Gap%20Analysis%20-%20Eurex%20Market%20Data%20Extensions%20v01.docx). This new administrative message can apply to reference data as well as to market (book) data.
Regards,
Hanno.
One of my clients asked me to post this on their behalf. Any ideas? I could not think of this functionality in any of the FIX protocol versions… Thank you.
We have a need for a kind of “control” message that we wish to send using the FIX specification, but we have not found a reasonable fit and are seeking some advice.
We want to send end of day closing value report (market data) for every security, and we want to announce the beginning and end of the transmission with a special message to alert recipients that this data is starting and ending.
The sequence of messages is as follows:
...The is straightforward; it is a type “X” or “W” message containing MDEntries with the market data values.
The and messages are the ones we are having some trouble with. There does not seem to be any FIX message that fits this use case.
If someone has some advice or ideas for a FIX message type to use for the <start/end market data summary> message that reasonably fits the FIX standard, it would be appreciated.
Or if someone has advice for another way of implementing this type of functionality that better fits the FIX standard, we are somewhat open to that as well.