Tick data over FIX

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Imported from previous forum

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What is the normal way to subscribe and receive streaming tick data for equities over FIX? The closest thing I can see from the documentation is to send a TradeCaptureReportRequest for a particular symbol with a duration extending into the future. The counter party would then respond with TradeCaptureReport messages indicating the price and volume. But would it be possible to unsubscribe from this data after requesting it?

If I wanted to receive streaming updates of the best bid and ask, it looks like this would be received through the Quote message – but should it be requested by QuoteRequest or RFQRequest? I can’t figure out the difference between those two.

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[ original email was from Joseph Horowitz - jhorowitz@aegisoft.com ]
> What is the normal way to subscribe and receive streaming tick data for

equities over FIX?

For Equities I suggest using the Market Data message set (tag 35=V, W & X) for streaming tick data. But each source of market data will usually dictate which message set to use.

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What is the normal way to subscribe and receive streaming tick data
for equities over FIX?

For Equities I suggest using the Market Data message set (tag 35=V, W &
X) for streaming tick data. But each source of market data will usually
dictate which message set to use.

With tag 264=1 that would give me the current best bid/ask values and size in the book, but that’s not necessarily going to be the same as actual tick data…which is normally considered to be the last traded value and quantity.

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[ original email was from Joseph Horowitz - jhorowitz@aegisoft.com ]
> > > What is the normal way to subscribe and receive streaming tick data

for equities over FIX?

For Equities I suggest using the Market Data message set (tag
35=V, W &
X) for streaming tick data. But each source of market data will
usually dictate which message set to use.

With tag 264=1 that would give me the current best bid/ask values and
size in the book, but that’s not necessarily going to be the same as
actual tick data…which is normally considered to be the last traded
value and quantity.

Check the choices on tag 269

6

What is the normal way to subscribe and receive streaming tick
data for equities over FIX?

For Equities I suggest using the Market Data message set (tag
35=V, W &
X) for streaming tick data. But each source of market data will
usually dictate which message set to use.

With tag 264=1 that would give me the current best bid/ask values and
size in the book, but that’s not necessarily going to be the same as
actual tick data…which is normally considered to be the last traded
value and quantity.

Check the choices on tag 269

Ah, I understand now. Thanks Joseph!