Imported from previous forum
A High Frequency Trading protocol is expected to have two parts:-
-
HFT Session layer - This depends on underlying transport, HFT Session architecture / state overhead, recovery model etc. (This discussion does NOT deal with Session messages right now).
-
HFT Application layer - This would depend on the trading practices in the High Frequency trading space. My expectations are
2.1 Not all presently supported FIX application message types needs to be supported in HFT.
2.2 New application message types presently not present in FIX (c/w/sh)ould be added to HFT.
One task I would like to add to the current list of HFTWG tasks is to make a subset of FIX Message types that should be considered for inclusion in HFT. For example, I see no point in supporting current FIX message types like News, Email, etc. in HFT. There are better ways to see news, email etc. No need for HFT messages for multi-media chat, XML, junk… etc. ;-(
good point.
I’m editing the scope doc as we speak.
I’ll add subset of message types to the doc.
/Rolf
A High Frequency Trading protocol is expected to have two parts:-
HFT Session layer - This depends on underlying transport, HFT Session architecture / state overhead, recovery model etc. (This discussion does NOT deal with Session messages right now).
HFT Application layer - This would depend on the trading practices in the High Frequency trading space. My expectations are
2.1 Not all presently supported FIX application message types needs to be supported in HFT.
2.2 New application message types presently not present in FIX (c/w/sh)ould be added to HFT.One task I would like to add to the current list of HFTWG tasks is to make a subset of FIX Message types that should be considered for inclusion in HFT. For example, I see no point in supporting current FIX message types like News, Email, etc. in HFT. There are better ways to see news, email etc. No need for HFT messages for multi-media chat, XML, junk… etc. ;-(