Imported from previous forum
Hi Guys,
I am trying to write a FIX market data spec. where the user will be able to ask for a product that may be traded on multiple markets (I suppose that it is the same case on US equities at least).
So the description of the Security is not enough in say Market Data request message.
Which field can I use to say e.g. I want Market Data for Security XYZ on ABC Market (or ECN) ?
Thanks in advance for your ideas on this topic…
Franck MIKULECZ
FX Tech Sub-Committee
Franck -
The Instrument component contains an InstrumentParties block which is “used to identify the parties listing a specific instrument”. There are several potential party roles that can be used in this case; 22-Exchange, 16-Executing System, 64-Multi-lateral Trading Facility. There may be others that I’ve overlooked. It should be noted that SecurityExchange/207 will usually denote the exchange that issued the security and is often used as a part of the overall security identifier.
Hi Guys, I am trying to write a FIX market data spec. where the user
will be able to ask for a product that may be traded on multiple
markets (I suppose that it is the same case on US equities at least).
So the description of the Security is not enough in say Market Data
request message.Which field can I use to say e.g. I want Market Data for Security XYZ on
ABC Market (or ECN) ?Thanks in advance for your ideas on this topic…
Franck MIKULECZ FX Tech Sub-Committee
I wonder if we should add MarketID and MarketSegmentID to the Market Data messages, including Market Data Request?
The Market Data Request has a repeating group of TradingSessionIDs to permit subscribing to the same set of instruments across more than one trading session. Now that we have expanded our market structure model to include MarketID and MarketSegmentID - we probably should add these as well. The MarketID is of datatype Exchange - so this would support subscribing to multiple exchanges.
I agree with Matt that we should not subvert the use of SecurityExchange to identify markets from which you wish to receive market data as SecurityExchange is for Security Identification purposes, even though it would be expedient. We already have lots of confusion on when to use ExDestination(100) vs. SecurityExchange(207), creating another use will likely increase confusion.
We can present this to the GEXMC at the next meeting. Might be a good thing to add for SP2.
Franck -
The Instrument component contains an InstrumentParties block which is
“used to identify the parties listing a specific instrument”. There are
several potential party roles that can be used in this case; 22-
Exchange, 16-Executing System, 64-Multi-lateral Trading Facility. There
may be others that I’ve overlooked. It should be noted that
SecurityExchange/207 will usually denote the exchange that issued the
security and is often used as a part of the overall security identifier.Hi Guys, I am trying to write a FIX market data spec. where the user
will be able to ask for a product that may be traded on multiple
markets (I suppose that it is the same case on US equities at least).
So the description of the Security is not enough in say Market Data
request message.Which field can I use to say e.g. I want Market Data for Security XYZ
on ABC Market (or ECN) ?Thanks in advance for your ideas on this topic…
Franck MIKULECZ FX Tech Sub-Committee
The result is a little different depending on what approach you take. Use of InstrumentParties allows the user to vary the listing exchange on a per security basis within the request.
The addition of MarketID to TrdgSesGrp would still require some way of indicating the market to which an instrument belongs if multiple MarketID’s were specified and that security belonged to more than one - maybe with InstrumentParties once again?
But I agree that it seems to compliment the use of MarketID in other places and is something to be discussed in the GEMC.
I wonder if we should add MarketID and MarketSegmentID to the Market
Data messages, including Market Data Request?The Market Data Request has a repeating group of TradingSessionIDs to
permit subscribing to the same set of instruments across more than one
trading session. Now that we have expanded our market structure model to
include MarketID and MarketSegmentID - we probably should add these as
well. The MarketID is of datatype Exchange - so this would support
subscribing to multiple exchanges.I agree with Matt that we should not subvert the use of SecurityExchange
to identify markets from which you wish to receive market data as
SecurityExchange is for Security Identification purposes, even though it
would be expedient. We already have lots of confusion on when to use
ExDestination(100) vs. SecurityExchange(207), creating another use will
likely increase confusion.We can present this to the GEXMC at the next meeting. Might be a good
thing to add for SP2.Franck -
The Instrument component contains an InstrumentParties block which is
“used to identify the parties listing a specific instrument”. There
are several potential party roles that can be used in this case; 22-
Exchange, 16-Executing System, 64-Multi-lateral Trading Facility.
There may be others that I’ve overlooked. It should be noted that
SecurityExchange/207 will usually denote the exchange that issued the
security and is often used as a part of the overall security
identifier.Hi Guys, I am trying to write a FIX market data spec. where the user
will be able to ask for a product that may be traded on multiple
markets (I suppose that it is the same case on US equities at
least). So the description of the Security is not enough in say
Market Data request message.Which field can I use to say e.g. I want Market Data for Security
XYZ on ABC Market (or ECN) ?Thanks in advance for your ideas on this topic…
Franck MIKULECZ FX Tech Sub-Committee
Hi Matt,
I understand the dilema, but things are getting clearer.
As I am looking specifically at FX, the “Securities” are not primarilly listed by any exchange. Still, they will be quoted by “Markets” and MD requests will be specific to one of these markets.
Is this not the case with IBM stock in the US, can be traded by several markets and users asking their DMA router for quotes would be able to to target one or more exchange ?
Franck
The result is a little different depending on what approach you take.
Use of InstrumentParties allows the user to vary the listing exchange on
a per security basis within the request.The addition of MarketID to TrdgSesGrp would still require some way of
indicating the market to which an instrument belongs if multiple
MarketID’s were specified and that security belonged to more than one -
maybe with InstrumentParties once again?But I agree that it seems to compliment the use of MarketID in other
places and is something to be discussed in the GEMC.I wonder if we should add MarketID and MarketSegmentID to the Market
Data messages, including Market Data Request?The Market Data Request has a repeating group of TradingSessionIDs to
permit subscribing to the same set of instruments across more than one
trading session. Now that we have expanded our market structure model
to include MarketID and MarketSegmentID - we probably should add these
as well. The MarketID is of datatype Exchange - so this would support
subscribing to multiple exchanges.
The way the Market Data Request is structured now we actually have a party block at the main level as well - with no clear directions on its use.
The TradingSession repeating group was intended to indicate which trading sessions (and by extension markets) for which the request is valid.
I think the original thinking was you would have a list of instruments and then you would specify what trading sessions you wanted from that list.
The parsing of the message becomes a bit complicated if on a per instrument level you can vary the markets per instrument. Also, there is a notion that there may need to be subsequent requests downstream for the information, so grouping securities by market(s) might be a better alternative.
Using either the InstrumentParties or adding MarketID and MarketSegmentID will work. If there is a time to market issue only InstrumentParties is available now.
Hi Matt,
I understand the dilema, but things are getting clearer.
As I am looking specifically at FX, the “Securities” are not primarilly
listed by any exchange. Still, they will be quoted by “Markets” and MD
requests will be specific to one of these markets.Is this not the case with IBM stock in the US, can be traded by several
markets and users asking their DMA router for quotes would be able to to
target one or more exchange ?Franck
The result is a little different depending on what approach you take.
Use of InstrumentParties allows the user to vary the listing exchange
on a per security basis within the request.The addition of MarketID to TrdgSesGrp would still require some way of
indicating the market to which an instrument belongs if multiple
MarketID’s were specified and that security belonged to more than one
- maybe with InstrumentParties once again?
But I agree that it seems to compliment the use of MarketID in other
places and is something to be discussed in the GEMC.I wonder if we should add MarketID and MarketSegmentID to the Market
Data messages, including Market Data Request?The Market Data Request has a repeating group of TradingSessionIDs
to permit subscribing to the same set of instruments across more
than one trading session. Now that we have expanded our market
structure model to include MarketID and MarketSegmentID - we
probably should add these as well. The MarketID is of datatype
Exchange - so this would support subscribing to multiple exchanges.